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 4 139
(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 0 5 144
A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing 0 0 0 0 4 6 21 1,866
A Recursive Modelling Approach to Predicting UK Stock Returns 0 0 0 625 3 5 12 1,175
A Recursive Modelling Approach to Predicting UK Stock Returns' 0 0 0 0 3 5 14 1,179
A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE 0 0 0 6 1 8 23 2,268
A SIMPLE, NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE 0 0 0 0 6 20 39 1,964
Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? 1 1 1 267 2 4 11 728
Breaks in the Phillips Curve: Evidence from Panel Data 0 0 1 54 4 5 23 80
Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities 0 0 0 3 1 1 7 577
Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities 0 0 0 155 3 3 8 424
Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis 0 0 4 133 4 5 28 514
Choice of Sample Split in Out-of-Sample Forecast Evaluation 1 2 3 243 6 11 29 887
Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average? 0 0 0 90 3 7 20 265
Common Factors in Latin America?s Business Cycles 0 0 0 38 0 1 8 175
Country and Industry Dynamics in Stock Returns 0 0 1 217 4 5 11 787
Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns 1 1 1 38 2 2 10 130
Data-Snooping, Technical Trading Rule Performance and the Bootstrap 0 1 3 342 5 14 27 1,110
Data-Snooping, Technical Trading, Rule Performance and the Bootstrap 1 1 4 1,034 8 18 50 2,757
Decentralized Investment Management: Evidence from the Pension Fund Industry 0 0 0 52 5 5 7 221
Decentralized investment management: evidence from the pension fund industry 0 0 0 20 1 1 13 158
Disagreement and Biases in Inflation Expectations 0 0 0 0 2 4 8 235
Disagreement and Biases in Inflation Expectations 2 3 4 142 4 5 21 414
Disagreement and Biases in Inflation Expectations 0 0 0 99 3 4 13 348
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 1 2 372 4 13 25 1,034
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 1 3 703 2 6 23 1,919
Economic Forecasting 1 2 5 486 7 10 29 889
Economic Implications of Bull and Bear Regimes in UK Stock Returns 0 0 0 132 3 6 14 350
Efficient Market Hypothesis and Forecasting 0 2 8 1,256 5 8 35 3,417
Estimating Loss Function Parameters 0 0 1 281 1 3 13 1,236
Firm Size and Cyclical Variations in Stock Returns 1 3 5 432 3 7 22 1,374
Forecast Combination With Entry and Exit of Experts 0 0 0 88 1 5 14 297
Forecast Combination with Entry and Exit of Experts 0 0 0 100 2 6 19 399
Forecast Combinations 2 5 6 1,409 4 16 34 3,296
Forecast Combinations 3 5 15 341 6 15 51 837
Forecast Combinations 4 6 19 508 9 22 78 1,161
Forecast Evaluation with Shared Data Sets 0 0 0 121 4 6 13 385
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 1 47 3 8 13 209
Forecasting Stock Returns 0 0 0 0 1 3 9 1,159
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 1 170 8 12 24 549
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 0 167 5 6 27 522
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 1 627 7 16 31 1,590
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 0 201 5 7 14 564
Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach 0 0 0 280 1 1 16 765
How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? 0 0 0 224 3 7 15 495
How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? 1 1 2 279 4 10 20 611
How Stable are Financial Prediction Models? Evidence from US and International Stock Market Data 0 0 0 11 1 2 5 65
Implied Learning Paths from Option Prices 0 0 0 139 1 1 6 300
International Asset Allocation with Time-Varying Investment Opportunities 0 0 0 187 4 5 12 484
Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts 0 0 0 147 1 1 8 382
Learning, Structural Instability and Present Value Calculations 0 0 0 138 2 3 14 718
Learning, Structural Instability and Present Value Calculations 0 0 0 55 1 2 15 260
Learning, Structural Instability and Present Value Calculations 0 0 0 61 2 6 16 341
Learning, structural instability and present value calculations 0 0 0 31 1 7 15 281
Learning, structural instability and present value calculations 0 0 1 146 0 4 16 536
Market Timing and Return Prediction under Model Instability 0 0 1 509 3 4 13 1,221
Model Instability and Choice of Observation Window 0 0 1 27 2 3 8 134
Moments of Markov Switching Models 0 0 0 552 5 8 20 1,139
Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions 0 0 1 27 2 5 9 223
Optimal Forecast Combination Under Regime Switching 1 1 1 164 2 5 12 348
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities 0 0 0 326 1 1 8 921
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities 0 0 0 355 2 5 12 968
Option prices and implied volatility dynamics under Bayesian learning 0 0 0 0 1 1 10 668
Performance Measurement and Evaluation 0 0 0 108 0 4 12 318
Performance Measurement using Multiple Asset Class Portfolio Data 0 0 0 299 1 2 8 1,241
Properties of Optimal Forecasts 0 0 0 184 3 4 13 722
Properties of Optimal Forecasts 0 0 0 287 5 13 24 672
Real Time Econometrics 0 0 0 82 2 4 12 299
Real Time Econometrics 0 0 0 211 1 2 7 590
Real Time Econometrics 0 0 0 90 1 1 6 321
Real Time Econometrics 0 0 0 368 1 2 9 781
Regime Changes and Financial Markets 1 2 7 215 12 44 119 591
Regime Changes and Financial Markets 1 2 9 83 9 27 63 360
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 108 5 6 11 552
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 53 5 6 13 369
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 97 2 2 9 662
Return Predictability under Equilibrium Constraints on the Equity Premium 0 0 0 28 3 3 14 165
Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications 0 0 0 100 4 6 11 381
Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks 0 0 0 111 1 3 7 461
Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks 0 0 0 178 4 5 16 566
Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks 0 0 0 244 4 6 13 786
Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching 0 0 0 10 2 7 18 803
Structural Breaks, Incomplete Information and Stock Prices 0 0 1 187 1 2 11 464
Structural Breaks, Incomplete Information and Stock Prices 0 0 1 14 4 8 14 66
THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXCESS RETURNS ON COMMON STOCKS 0 0 0 0 1 1 6 666
THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXESS RETURNS ON COMMON STOCKS 0 0 0 0 1 2 7 554
Term Structure of Risk Under Alternative Econometric Specifications 0 0 0 114 0 2 9 350
Testing Dependence Among Serially Correlated Multi-category Variables 0 0 0 191 2 5 11 773
Testing Dependence among Serially Correlated Multi-Category Variables 0 0 0 74 4 5 18 329
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 1 1 1 238 3 5 12 764
The Forecasing time series subject to multiple structure breaks 0 0 0 0 2 2 7 280
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 0 140 1 1 6 675
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 0 16 0 2 6 151
The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast 0 0 0 117 3 6 13 352
The Use of Recursive Model Selection Strategies in Forecasting Stock Returns 0 0 0 0 1 1 4 727
The performance of European equity mutual funds 0 0 0 31 4 5 7 185
Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability 0 0 0 27 1 1 8 177
Variable Selection and Inference for Multi-period Forecasting Problems 0 0 0 101 2 2 10 204
Variable Selection and Inference for Multi-period Forecasting Problems 0 0 0 62 3 3 6 217
Variable Selection and Inference for Multi-period Forecasting Problems 0 0 0 95 3 4 11 256
Total Working Papers 22 41 115 19,175 294 599 1,717 69,262

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 2 9 884
A Simple Nonparametric Test of Predictive Performance 0 0 0 0 4 11 37 2,777
A generalization of the non-parametric Henriksson-Merton test of market timing 0 0 0 595 2 2 9 1,405
An Evaluation of the World Economic Outlook Forecasts 0 0 0 84 1 3 8 274
An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns 0 0 0 371 3 3 12 892
Annals issue on forecasting--Guest editors' introduction 0 0 0 21 1 3 7 84
Asset Allocation Dynamics and Pension Fund Performance 0 1 9 743 0 2 28 2,711
Asset allocation under multivariate regime switching 2 5 15 505 19 47 112 1,207
Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? 0 0 0 160 2 5 16 489
Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities 0 1 3 164 7 11 17 507
Can Agents Learn to Form Rational Expectations? Some Results on Convergence and Stability of Learning in the UK Stock Market 0 0 0 59 1 2 7 174
Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis 0 3 10 349 7 18 57 1,106
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 1 2 89 2 7 18 328
Completion time structures of stock price movements 0 0 0 35 2 4 9 201
Dangers of data mining: The case of calendar effects in stock returns 0 0 4 1,175 3 5 32 2,990
Data mining with local model specification uncertainty: a discussion of Hoover and Perez 0 0 0 1 3 5 9 491
Disagreement and Biases in Inflation Expectations 0 0 0 179 3 9 35 623
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 1 5 241 8 11 33 596
Economic Forecasting 0 2 5 216 4 7 29 1,085
Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns 0 0 0 343 3 5 9 726
Efficient market hypothesis and forecasting 0 2 7 417 2 13 50 1,153
Elusive return predictability 0 0 1 156 1 1 10 395
Forecast Combination With Entry and Exit of Experts 0 0 1 70 1 17 51 277
Forecast evaluation with shared data sets 0 0 0 71 2 2 7 201
Forecasts of US short-term interest rates: A flexible forecast combination approach 0 0 1 243 2 2 8 639
How costly is it to ignore breaks when forecasting the direction of a time series? 0 0 0 97 1 5 20 343
Instability of return prediction models 1 3 7 213 2 5 20 496
International Asset Allocation with Time-Varying Investment Opportunities 0 0 0 95 1 2 6 366
International asset allocation under regime switching, skew, and kurtosis preferences 0 1 2 223 3 7 24 612
Learning, Structural Instability, and Present Value Calculations 0 0 0 52 1 1 12 292
Market timing and return prediction under model instability 1 1 5 303 6 14 38 787
Moments of Markov switching models 0 0 2 494 0 2 17 1,005
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts 0 1 2 319 2 7 21 1,186
OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING * 0 0 0 106 1 3 9 335
On the optimality of adaptive expectations: Muth revisited 0 0 0 88 2 2 5 218
Optimal forecast combinations under general loss functions and forecast error distributions 0 2 3 187 9 16 24 590
Optimal properties of exponentially weighted forecasts in the presence of different information sources 0 0 0 101 1 1 3 268
Option prices under Bayesian learning: implied volatility dynamics and predictive densities 0 0 2 313 2 6 18 678
Persistence in forecasting performance and conditional combination strategies 0 1 4 375 6 11 40 904
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 0 0 0 37 1 2 9 162
Predictability of Stock Returns: Robustness and Economic Significance 1 4 9 1,084 6 12 34 2,073
Predictability of stock returns and asset allocation under structural breaks 0 0 0 178 2 7 21 537
Present value models with feedback: Solutions, stability, bubbles, and some empirical evidence 0 0 0 55 1 2 8 198
Properties of equilibrium asset prices under alternative learning schemes 0 1 1 118 0 2 7 284
Properties of optimal forecasts under asymmetric loss and nonlinearity 0 1 2 122 2 4 14 307
REAL-TIME ECONOMETRICS 0 0 0 61 2 5 12 192
Recursive Modeling of Nonlinear Dynamics in UK Stock Returns 0 0 0 85 2 4 9 242
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 52 2 3 10 336
Reply to the discussion of Elusive Return Predictability 0 0 0 25 1 1 6 82
Selection of estimation window in the presence of breaks 0 2 7 563 6 12 28 1,170
Size and Value Anomalies under Regime Shifts 0 0 0 100 1 1 12 257
Small sample properties of forecasts from autoregressive models under structural breaks 0 0 3 141 7 14 32 515
Structural Breaks, Incomplete Information, and Stock Prices 0 0 0 0 3 3 9 345
Term structure of risk under alternative econometric specifications 0 0 0 159 1 6 14 380
Testing Dependence Among Serially Correlated Multicategory Variables 0 0 1 114 0 1 21 311
Testing Forecast Optimality Under Unknown Loss 0 0 1 77 1 2 11 226
The hazards of mutual fund underperformance: A Cox regression analysis 0 0 1 133 0 1 7 493
Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability 0 0 0 11 2 2 7 102
Variable selection, estimation and inference for multi-period forecasting problems 0 0 1 119 0 1 8 346
Why do dividend yields forecast stock returns? 0 0 0 84 0 1 3 193
Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion 0 0 5 220 5 6 34 625
Total Journal Articles 5 33 121 13,415 166 371 1,197 40,522

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Forecast Combinations 17 30 83 1,598 56 124 361 4,603
Total Chapters 17 30 83 1,598 56 124 361 4,603

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Statistics updated 2026-05-06