Access Statistics for Allan Timmermann

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
(UBS Pensions Series 2) International Asset Allocation with Time-Varying Investment Opportunities 0 0 0 35 0 0 3 119
(UBS Pensions Series 3) Performance Clustering and Incentives in the UK Pension Fund Industry 0 0 0 38 0 0 3 139
(UBS Pensions Series 4) Returns from Active Management in International Equity Markets; Evidence from a Panel of UK Pension Funds 0 0 0 39 1 2 7 146
A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing 0 0 0 0 0 4 21 1,866
A Recursive Modelling Approach to Predicting UK Stock Returns 0 0 0 625 0 3 12 1,175
A Recursive Modelling Approach to Predicting UK Stock Returns' 0 0 0 0 0 3 13 1,179
A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE 0 0 0 6 2 3 25 2,270
A SIMPLE, NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE 0 0 0 0 10 19 51 1,977
Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? 0 1 1 267 1 5 14 731
Breaks in the Phillips Curve: Evidence from Panel Data 0 0 0 54 0 6 23 82
Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities 0 0 0 155 0 4 9 425
Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities 0 0 0 3 0 1 7 577
Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis 0 0 3 133 3 7 30 517
Choice of Sample Split in Out-of-Sample Forecast Evaluation 1 2 4 244 3 12 35 893
Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average? 0 0 0 90 0 4 20 266
Common Factors in Latin America?s Business Cycles 0 0 0 38 0 0 8 175
Country and Industry Dynamics in Stock Returns 0 0 1 217 2 6 12 789
Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns 1 2 2 39 1 4 12 132
Data-Snooping, Technical Trading Rule Performance and the Bootstrap 1 1 3 343 5 12 33 1,117
Data-Snooping, Technical Trading, Rule Performance and the Bootstrap 1 2 4 1,035 5 14 50 2,763
Decentralized Investment Management: Evidence from the Pension Fund Industry 0 0 0 52 0 5 7 221
Decentralized investment management: evidence from the pension fund industry 0 0 0 20 1 2 14 159
Disagreement and Biases in Inflation Expectations 0 0 0 99 0 6 13 351
Disagreement and Biases in Inflation Expectations 0 0 0 0 0 2 8 235
Disagreement and Biases in Inflation Expectations 0 2 4 142 0 4 21 414
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 0 2 372 0 4 25 1,034
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 0 2 703 0 3 20 1,920
Economic Forecasting 0 1 4 486 0 7 28 889
Economic Implications of Bull and Bear Regimes in UK Stock Returns 0 0 0 132 1 4 15 351
Efficient Market Hypothesis and Forecasting 0 0 7 1,256 0 6 33 3,418
Estimating Loss Function Parameters 0 0 1 281 0 2 13 1,237
Firm Size and Cyclical Variations in Stock Returns 0 2 6 433 0 4 21 1,375
Forecast Combination With Entry and Exit of Experts 0 0 0 88 0 1 12 297
Forecast Combination with Entry and Exit of Experts 0 0 0 100 2 6 21 403
Forecast Combinations 2 10 21 514 6 22 81 1,174
Forecast Combinations 0 4 14 342 1 9 49 840
Forecast Combinations 0 3 6 1,410 0 7 31 3,299
Forecast Evaluation with Shared Data Sets 0 0 0 121 0 4 12 385
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 1 47 0 3 13 209
Forecasting Stock Returns 0 0 0 0 0 2 10 1,160
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 0 201 0 5 14 564
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 0 167 0 7 28 524
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 1 170 2 11 26 552
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 1 627 2 17 40 1,600
Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach 0 0 0 280 0 1 16 765
How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? 0 1 2 279 2 10 26 617
How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? 0 1 1 225 1 6 18 498
How Stable are Financial Prediction Models? Evidence from US and International Stock Market Data 0 0 0 11 0 1 5 65
Implied Learning Paths from Option Prices 0 0 0 139 0 1 6 300
International Asset Allocation with Time-Varying Investment Opportunities 0 0 0 187 1 5 12 485
Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts 0 0 0 147 2 5 12 386
Learning, Structural Instability and Present Value Calculations 0 0 0 61 0 3 16 342
Learning, Structural Instability and Present Value Calculations 0 0 0 55 0 1 15 260
Learning, Structural Instability and Present Value Calculations 0 0 0 138 0 2 14 718
Learning, structural instability and present value calculations 0 0 1 146 2 3 18 539
Learning, structural instability and present value calculations 0 0 0 31 0 1 15 281
Market Timing and Return Prediction under Model Instability 0 0 1 509 0 5 14 1,223
Model Instability and Choice of Observation Window 0 0 1 27 3 8 13 140
Moments of Markov Switching Models 0 0 0 552 1 7 22 1,141
Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions 0 0 1 27 3 5 12 226
Optimal Forecast Combination Under Regime Switching 0 1 1 164 0 5 15 351
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities 0 0 0 355 0 2 12 968
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities 0 0 0 326 1 3 10 923
Option prices and implied volatility dynamics under Bayesian learning 0 0 0 0 0 1 9 668
Performance Measurement and Evaluation 0 0 0 108 0 0 12 318
Performance Measurement using Multiple Asset Class Portfolio Data 0 0 0 299 0 2 9 1,242
Properties of Optimal Forecasts 0 0 0 184 1 4 14 723
Properties of Optimal Forecasts 0 0 0 287 0 6 25 673
Real Time Econometrics 0 0 0 82 1 4 13 301
Real Time Econometrics 0 0 0 90 0 3 7 323
Real Time Econometrics 0 0 0 211 0 1 7 590
Real Time Econometrics 0 0 0 368 1 3 11 783
Regime Changes and Financial Markets 0 1 8 83 1 15 64 366
Regime Changes and Financial Markets 2 5 10 219 9 33 130 612
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 91 0 0 8 460
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 108 0 7 13 554
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 97 0 5 12 665
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 53 0 5 13 369
Return Predictability under Equilibrium Constraints on the Equity Premium 0 0 0 28 2 5 16 167
Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications 0 0 0 100 0 5 12 382
Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks 0 0 0 111 2 4 10 464
Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks 0 0 0 178 5 9 21 571
Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks 0 0 0 244 0 4 13 786
Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching 0 0 0 10 1 3 19 804
Structural Breaks, Incomplete Information and Stock Prices 0 0 0 187 0 1 10 464
Structural Breaks, Incomplete Information and Stock Prices 0 0 0 14 0 5 13 67
THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXCESS RETURNS ON COMMON STOCKS 0 0 0 0 0 2 7 667
THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXESS RETURNS ON COMMON STOCKS 0 0 0 0 0 1 6 554
Term Structure of Risk Under Alternative Econometric Specifications 0 0 0 114 0 1 10 351
Testing Dependence Among Serially Correlated Multi-category Variables 0 0 0 191 1 3 12 774
Testing Dependence among Serially Correlated Multi-Category Variables 0 0 0 74 1 6 20 331
Testing Dependence among Serially Correlated Multi-category Variables 0 0 0 52 0 0 5 261
The Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns 0 1 1 238 1 6 14 767
The Forecasing time series subject to multiple structure breaks 0 0 0 0 0 2 7 280
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 0 16 1 1 6 152
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 0 140 0 1 6 675
The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast 0 1 1 118 1 5 15 354
The Use of Recursive Model Selection Strategies in Forecasting Stock Returns 0 0 0 0 0 1 4 727
The performance of European equity mutual funds 0 0 0 31 0 4 7 185
Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability 0 0 0 27 0 1 8 177
Variable Selection and Inference for Multi-period Forecasting Problems 0 0 0 62 0 3 6 217
Variable Selection and Inference for Multi-period Forecasting Problems 0 0 0 95 0 3 11 256
Variable Selection and Inference for Multi-period Forecasting Problems 0 0 0 101 1 3 11 205
Total Working Papers 8 41 116 19,194 93 494 1,830 69,462

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Recursive Modelling Approach to Predicting UK Stock Returns 0 0 0 373 0 1 8 884
A Simple Nonparametric Test of Predictive Performance 0 0 0 0 7 13 45 2,786
A generalization of the non-parametric Henriksson-Merton test of market timing 0 0 0 595 1 5 12 1,408
An Evaluation of the World Economic Outlook Forecasts 0 0 0 84 0 1 6 274
An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns 0 0 0 371 1 4 10 893
Annals issue on forecasting--Guest editors' introduction 0 0 0 21 0 1 7 84
Asset Allocation Dynamics and Pension Fund Performance 0 2 9 745 1 4 23 2,715
Asset allocation under multivariate regime switching 2 6 18 509 18 48 135 1,236
Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? 0 0 0 160 2 5 17 492
Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities 0 0 3 164 1 8 18 508
Can Agents Learn to Form Rational Expectations? Some Results on Convergence and Stability of Learning in the UK Stock Market 0 0 0 59 0 1 7 174
Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis 0 0 9 349 5 18 60 1,117
Cointegration Tests of Present Value Models with a Time-Varying Discount Factor 0 0 0 251 0 0 5 851
Common factors in Latin America's business cycles 0 0 2 89 0 4 19 330
Completion time structures of stock price movements 0 0 0 35 0 2 9 201
Dangers of data mining: The case of calendar effects in stock returns 2 3 7 1,178 8 12 36 2,999
Data mining with local model specification uncertainty: a discussion of Hoover and Perez 0 0 0 1 0 3 8 491
Disagreement and Biases in Inflation Expectations 0 0 0 179 0 4 34 624
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 0 2 241 1 10 29 598
Economic Forecasting 0 0 5 216 2 6 26 1,087
Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns 0 0 0 343 0 3 9 726
Efficient market hypothesis and forecasting 0 0 6 417 7 14 54 1,165
Elusive return predictability 1 1 2 157 2 3 12 397
Forecast Combination With Entry and Exit of Experts 0 0 1 70 1 4 54 280
Forecast evaluation with shared data sets 0 0 0 71 0 2 6 201
Forecasts of US short-term interest rates: A flexible forecast combination approach 0 0 1 243 0 2 7 639
How costly is it to ignore breaks when forecasting the direction of a time series? 0 0 0 97 1 4 23 346
Instability of return prediction models 0 1 6 213 0 2 19 496
International Asset Allocation with Time-Varying Investment Opportunities 0 0 0 95 0 3 8 368
International asset allocation under regime switching, skew, and kurtosis preferences 2 2 4 225 12 18 37 627
Learning, Structural Instability, and Present Value Calculations 0 0 0 52 0 3 14 294
Market timing and return prediction under model instability 0 2 6 304 0 8 36 789
Moments of Markov switching models 0 0 2 494 1 1 16 1,006
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts 0 0 2 319 2 8 26 1,192
OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING * 0 0 0 106 1 2 9 336
On the optimality of adaptive expectations: Muth revisited 0 0 0 88 0 2 5 218
Optimal forecast combinations under general loss functions and forecast error distributions 0 0 3 187 0 10 24 591
Optimal properties of exponentially weighted forecasts in the presence of different information sources 0 0 0 101 0 1 3 268
Option prices under Bayesian learning: implied volatility dynamics and predictive densities 0 1 3 314 0 3 19 679
Persistence in forecasting performance and conditional combination strategies 0 2 5 377 1 12 42 910
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 0 0 0 37 0 1 8 162
Predictability of Stock Returns: Robustness and Economic Significance 0 1 7 1,084 2 9 33 2,076
Predictability of stock returns and asset allocation under structural breaks 0 0 0 178 2 5 23 540
Present value models with feedback: Solutions, stability, bubbles, and some empirical evidence 0 0 0 55 0 1 8 198
Properties of equilibrium asset prices under alternative learning schemes 0 0 1 118 0 0 7 284
Properties of optimal forecasts under asymmetric loss and nonlinearity 0 0 1 122 0 3 13 308
REAL-TIME ECONOMETRICS 0 0 0 61 0 3 13 193
Recursive Modeling of Nonlinear Dynamics in UK Stock Returns 0 0 0 85 0 3 9 243
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 52 0 2 10 336
Reply to the discussion of Elusive Return Predictability 0 0 0 25 0 2 7 83
Selection of estimation window in the presence of breaks 2 3 10 566 8 18 38 1,182
Size and Value Anomalies under Regime Shifts 0 0 0 100 0 1 11 257
Small sample properties of forecasts from autoregressive models under structural breaks 1 1 4 142 3 13 38 521
Structural Breaks, Incomplete Information, and Stock Prices 0 0 0 0 0 4 9 346
Term structure of risk under alternative econometric specifications 0 1 1 160 0 3 15 382
Testing Dependence Among Serially Correlated Multicategory Variables 0 0 1 114 1 1 21 312
Testing Forecast Optimality Under Unknown Loss 0 0 0 77 1 2 11 227
The hazards of mutual fund underperformance: A Cox regression analysis 0 0 1 133 0 0 7 493
Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability 0 0 0 11 0 2 6 102
Variable selection, estimation and inference for multi-period forecasting problems 0 1 1 120 0 1 7 347
Why do dividend yields forecast stock returns? 0 0 0 84 0 1 4 194
Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion 0 1 5 221 0 6 27 626
Total Journal Articles 10 28 128 13,438 92 336 1,262 40,692

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Forecast Combinations 14 44 95 1,625 43 143 408 4,690
Total Chapters 14 44 95 1,625 43 143 408 4,690

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Statistics updated 2026-07-10