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 0 2 7 146
A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing 0 0 0 0 2 2 22 1,868
A Recursive Modelling Approach to Predicting UK Stock Returns 0 0 0 625 1 1 12 1,176
A Recursive Modelling Approach to Predicting UK Stock Returns' 0 0 0 0 0 0 13 1,179
A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE 0 0 0 6 1 3 26 2,271
A SIMPLE, NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE 0 0 0 0 7 20 58 1,984
Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? 0 0 1 267 1 4 14 732
Breaks in the Phillips Curve: Evidence from Panel Data 0 0 0 54 0 2 23 82
Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities 0 0 0 3 0 0 7 577
Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities 0 0 0 155 0 1 9 425
Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis 0 0 3 133 0 3 30 517
Choice of Sample Split in Out-of-Sample Forecast Evaluation 0 1 4 244 1 7 35 894
Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average? 0 0 0 90 1 2 21 267
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 0 2 12 789
Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns 0 1 2 39 0 2 12 132
Data-Snooping, Technical Trading Rule Performance and the Bootstrap 0 1 3 343 1 8 33 1,118
Data-Snooping, Technical Trading, Rule Performance and the Bootstrap 0 1 4 1,035 14 20 61 2,777
Decentralized Investment Management: Evidence from the Pension Fund Industry 0 0 0 52 0 0 7 221
Decentralized investment management: evidence from the pension fund industry 0 0 0 20 1 2 15 160
Disagreement and Biases in Inflation Expectations 0 0 4 142 0 0 21 414
Disagreement and Biases in Inflation Expectations 0 0 0 0 0 0 8 235
Disagreement and Biases in Inflation Expectations 0 0 0 99 1 4 14 352
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 1 1 2 373 2 2 25 1,036
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 0 1 703 0 1 19 1,920
Economic Forecasting 1 1 3 487 1 1 26 890
Economic Implications of Bull and Bear Regimes in UK Stock Returns 0 0 0 132 0 1 15 351
Efficient Market Hypothesis and Forecasting 1 1 8 1,257 1 2 34 3,419
Estimating Loss Function Parameters 0 0 1 281 0 1 13 1,237
Firm Size and Cyclical Variations in Stock Returns 0 1 6 433 1 2 21 1,376
Forecast Combination With Entry and Exit of Experts 0 0 0 88 0 0 12 297
Forecast Combination with Entry and Exit of Experts 0 0 0 100 0 4 21 403
Forecast Combinations 0 1 6 1,410 2 5 33 3,301
Forecast Combinations 0 1 13 342 2 5 50 842
Forecast Combinations 2 8 23 516 6 19 85 1,180
Forecast Evaluation with Shared Data Sets 0 0 0 121 0 0 12 385
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 1 47 2 2 15 211
Forecasting Stock Returns 0 0 0 0 0 1 10 1,160
Forecasting Time Series Subject to Multiple Structural Breaks 1 1 1 628 3 13 41 1,603
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 0 167 0 2 28 524
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 1 170 0 3 26 552
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 0 201 0 0 14 564
Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach 0 0 0 280 0 0 16 765
How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? 0 1 1 225 0 3 18 498
How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? 0 0 2 279 0 6 26 617
How Stable are Financial Prediction Models? Evidence from US and International Stock Market Data 0 0 0 11 0 0 5 65
Implied Learning Paths from Option Prices 0 0 0 139 0 0 6 300
International Asset Allocation with Time-Varying Investment Opportunities 0 0 0 187 0 1 12 485
Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts 0 0 0 147 0 4 12 386
Learning, Structural Instability and Present Value Calculations 0 0 0 61 0 1 16 342
Learning, Structural Instability and Present Value Calculations 0 0 0 55 0 0 15 260
Learning, Structural Instability and Present Value Calculations 0 0 0 138 0 0 14 718
Learning, structural instability and present value calculations 0 0 0 31 0 0 15 281
Learning, structural instability and present value calculations 0 0 0 146 0 3 17 539
Market Timing and Return Prediction under Model Instability 0 0 1 509 0 2 14 1,223
Model Instability and Choice of Observation Window 0 0 1 27 0 6 13 140
Moments of Markov Switching Models 0 0 0 552 2 4 23 1,143
Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions 0 0 1 27 0 3 12 226
Optimal Forecast Combination Under Regime Switching 0 0 1 164 1 4 16 352
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities 0 0 0 326 0 2 10 923
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities 0 0 0 355 0 0 12 968
Option prices and implied volatility dynamics under Bayesian learning 0 0 0 0 0 0 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 1 9 1,242
Properties of Optimal Forecasts 0 0 0 184 0 1 14 723
Properties of Optimal Forecasts 0 0 0 287 0 1 25 673
Real Time Econometrics 0 0 0 82 0 2 13 301
Real Time Econometrics 0 0 0 90 0 2 7 323
Real Time Econometrics 0 0 0 211 0 0 7 590
Real Time Econometrics 0 0 0 368 0 2 11 783
Regime Changes and Financial Markets 1 1 9 84 3 9 61 369
Regime Changes and Financial Markets 3 7 12 222 7 28 136 619
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 97 0 3 12 665
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 108 0 2 12 554
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 53 1 1 14 370
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 91 0 0 8 460
Return Predictability under Equilibrium Constraints on the Equity Premium 0 0 0 28 0 2 16 167
Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications 0 0 0 100 1 2 13 383
Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks 0 0 0 111 2 5 12 466
Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks 0 0 0 244 0 0 13 786
Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks 0 0 0 178 0 5 21 571
Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching 0 0 0 10 0 1 19 804
Structural Breaks, Incomplete Information and Stock Prices 0 0 0 14 1 2 14 68
Structural Breaks, Incomplete Information and Stock Prices 0 0 0 187 0 0 10 464
THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXCESS RETURNS ON COMMON STOCKS 0 0 0 0 0 1 7 667
THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXESS RETURNS ON COMMON STOCKS 0 0 0 0 0 0 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 0 1 11 774
Testing Dependence among Serially Correlated Multi-Category Variables 0 0 0 74 1 3 21 332
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 0 1 238 0 3 14 767
The Forecasing time series subject to multiple structure breaks 0 0 0 0 1 1 7 281
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 0 16 0 1 6 152
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 0 140 0 0 6 675
The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast 0 1 1 118 0 2 15 354
The Use of Recursive Model Selection Strategies in Forecasting Stock Returns 0 0 0 0 0 0 4 727
The performance of European equity mutual funds 0 0 0 31 0 0 7 185
Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability 0 0 0 27 0 0 8 177
Variable Selection and Inference for Multi-period Forecasting Problems 0 0 0 95 0 0 11 256
Variable Selection and Inference for Multi-period Forecasting Problems 0 0 0 101 0 1 11 205
Variable Selection and Inference for Multi-period Forecasting Problems 0 0 0 62 0 0 6 217
Total Working Papers 10 29 118 19,204 71 271 1,869 69,533

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 1 1 9 885
A Simple Nonparametric Test of Predictive Performance 0 0 0 0 8 17 52 2,794
A generalization of the non-parametric Henriksson-Merton test of market timing 0 0 0 595 1 4 13 1,409
An Evaluation of the World Economic Outlook Forecasts 0 0 0 84 0 0 6 274
An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns 0 0 0 371 1 2 11 894
Annals issue on forecasting--Guest editors' introduction 0 0 0 21 1 1 8 85
Asset Allocation Dynamics and Pension Fund Performance 2 4 11 747 2 6 25 2,717
Asset allocation under multivariate regime switching 1 5 18 510 8 37 140 1,244
Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? 0 0 0 160 0 3 16 492
Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities 0 0 3 164 0 1 17 508
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 0 6 174
Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis 0 0 9 349 3 14 61 1,120
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 2 19 330
Completion time structures of stock price movements 0 0 0 35 0 0 9 201
Dangers of data mining: The case of calendar effects in stock returns 3 6 10 1,181 13 22 47 3,012
Data mining with local model specification uncertainty: a discussion of Hoover and Perez 0 0 0 1 0 0 8 491
Disagreement and Biases in Inflation Expectations 0 0 0 179 0 1 33 624
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 1 1 2 242 5 7 32 603
Economic Forecasting 0 0 4 216 1 3 25 1,088
Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns 0 0 0 343 1 1 10 727
Efficient market hypothesis and forecasting 0 0 5 417 4 16 54 1,169
Elusive return predictability 0 1 2 157 0 2 11 397
Forecast Combination With Entry and Exit of Experts 0 0 1 70 0 3 53 280
Forecast evaluation with shared data sets 0 0 0 71 1 1 7 202
Forecasts of US short-term interest rates: A flexible forecast combination approach 0 0 1 243 0 0 6 639
How costly is it to ignore breaks when forecasting the direction of a time series? 0 0 0 97 0 3 23 346
Instability of return prediction models 1 1 7 214 2 2 20 498
International Asset Allocation with Time-Varying Investment Opportunities 0 0 0 95 0 2 8 368
International asset allocation under regime switching, skew, and kurtosis preferences 0 2 4 225 1 16 38 628
Learning, Structural Instability, and Present Value Calculations 0 0 0 52 0 2 14 294
Market timing and return prediction under model instability 0 1 6 304 1 3 35 790
Moments of Markov switching models 1 1 3 495 3 4 19 1,009
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts 0 0 2 319 1 7 27 1,193
OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING * 0 0 0 106 0 1 9 336
On the optimality of adaptive expectations: Muth revisited 0 0 0 88 0 0 5 218
Optimal forecast combinations under general loss functions and forecast error distributions 0 0 3 187 4 5 28 595
Optimal properties of exponentially weighted forecasts in the presence of different information sources 0 0 0 101 0 0 3 268
Option prices under Bayesian learning: implied volatility dynamics and predictive densities 0 1 3 314 1 2 20 680
Persistence in forecasting performance and conditional combination strategies 0 2 5 377 0 6 42 910
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 0 0 0 37 0 0 8 162
Predictability of Stock Returns: Robustness and Economic Significance 0 0 7 1,084 0 3 30 2,076
Predictability of stock returns and asset allocation under structural breaks 1 1 1 179 3 6 22 543
Present value models with feedback: Solutions, stability, bubbles, and some empirical evidence 0 0 0 55 0 0 7 198
Properties of equilibrium asset prices under alternative learning schemes 0 0 1 118 1 1 8 285
Properties of optimal forecasts under asymmetric loss and nonlinearity 0 0 1 122 1 2 14 309
REAL-TIME ECONOMETRICS 0 0 0 61 0 1 13 193
Recursive Modeling of Nonlinear Dynamics in UK Stock Returns 0 0 0 85 0 1 9 243
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 52 1 1 10 337
Reply to the discussion of Elusive Return Predictability 0 0 0 25 0 1 6 83
Selection of estimation window in the presence of breaks 1 4 10 567 12 24 46 1,194
Size and Value Anomalies under Regime Shifts 1 1 1 101 2 2 11 259
Small sample properties of forecasts from autoregressive models under structural breaks 0 1 2 142 2 8 37 523
Structural Breaks, Incomplete Information, and Stock Prices 0 0 0 0 0 1 9 346
Term structure of risk under alternative econometric specifications 0 1 1 160 1 3 16 383
Testing Dependence Among Serially Correlated Multicategory Variables 0 0 1 114 0 1 20 312
Testing Forecast Optimality Under Unknown Loss 0 0 0 77 0 1 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 0 6 102
Variable selection, estimation and inference for multi-period forecasting problems 0 1 1 120 0 1 6 347
Why do dividend yields forecast stock returns? 0 0 0 84 0 1 3 194
Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion 0 1 4 221 2 3 27 628
Total Journal Articles 12 35 132 13,450 88 258 1,300 40,780

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Forecast Combinations 8 35 98 1,633 40 127 430 4,730
Total Chapters 8 35 98 1,633 40 127 430 4,730

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-08-07