Allan Timmermann

Names

Identifer

Contact

Affiliations

• University of California-San Diego (UCSD) / Department of Economics (weight: 34%)
  • EDIRC entry
  • location:
• University of California-San Diego (UCSD) / Rady School of Management (weight: 33%)
  • EDIRC entry
  • location:
• Aarhus Universitet / Institut for Økonomi / Center for Research in Econometric Analysis of Time Series (CREATES) (weight: 33%)
  • EDIRC entry
  • location:

Research profile

author of:

• The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast
  CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008)
  by Andrew J. Patton & Allan Timmermann
  (ReDIF-paper, aah:create:2008-54)
• Forecast Combination With Entry and Exit of Experts
  CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008)
  by Carlos Capistrán & Allan Timmermann
  (ReDIF-paper, aah:create:2008-55)
• Disagreement and Biases in Inflation Expectations
  CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008)
  by Carlos Capistrán & Allan Timmermann
  (ReDIF-paper, aah:create:2008-56)
• Forecast Combinations
  CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010)
  by Marco Aiolfi & Carlos Capistrán & Allan Timmermann
  (ReDIF-paper, aah:create:2010-21)
• Economic Forecasting
  Journal of Economic Literature, American Economic Association (2008)
  by Graham Elliott & Allan Timmermann
  (ReDIF-article, aea:jeclit:v:46:y:2008:i:1:p:3-56)
• Option prices and implied volatility dynamics under Bayesian learning
  CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2001)
  by Allan Timmerman & Massimo Guidolin
  (ReDIF-paper, ams:cdws01:p3)
• Relative Performance Evaluation Contracts and Asset Market Equilibrium
  Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2005)
  by Sandeep Kapur & Allan Timmermann
  (ReDIF-paper, bbk:bbkefp:0503)
• Disagreement and Biases in Inflation Expectations
  Working Papers, Banco de México (2006)
  by Timmermann Allan & Capistrán Carlos
  (ReDIF-paper, bdm:wpaper:2006-07)
• Forecast Combination with Entry and Exit of Experts
  Working Papers, Banco de México (2006)
  by Timmermann Allan & Capistrán Carlos
  (ReDIF-paper, bdm:wpaper:2006-08)
• Forecast Combinations
  Working Papers, Banco de México (2010)
  by Aiolfi Marco & Capistrán Carlos & Timmermann Allan
  (ReDIF-paper, bdm:wpaper:2010-04)
• Testing Forecast Optimality Under Unknown Loss
  Journal of the American Statistical Association, American Statistical Association (2007)
  by Patton, Andrew J. & Timmermann, Allan
  (ReDIF-article, bes:jnlasa:v:102:y:2007:m:december:p:1172-1184)
• Testing Dependence Among Serially Correlated Multicategory Variables
  Journal of the American Statistical Association, American Statistical Association (2009)
  by Pesaran, M. Hashem & Timmermann, Allan
  (ReDIF-article, bes:jnlasa:v:104:i:485:y:2009:p:325-337)
• A Simple Nonparametric Test of Predictive Performance
  Journal of Business & Economic Statistics, American Statistical Association (1992)
  by Pesaran, M Hashem & Timmermann, Allan
  (ReDIF-article, bes:jnlbes:v:10:y:1992:i:4:p:561-65)
• Structural Breaks, Incomplete Information, and Stock Prices
  Journal of Business & Economic Statistics, American Statistical Association (2001)
  by Timmermann, Allan
  (ReDIF-article, bes:jnlbes:v:19:y:2001:i:3:p:299-314)
• Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets
  Journal of Business & Economic Statistics, American Statistical Association (2004)
  by Lunde A. & Timmermann A.
  (ReDIF-article, bes:jnlbes:v:22:y:2004:p:253-273)
• Forecast Combination With Entry and Exit of Experts
  Journal of Business & Economic Statistics, American Statistical Association (2009)
  by Capistrán, Carlos & Timmermann, Allan
  (ReDIF-article, bes:jnlbes:v:27:i:4:y:2009:p:428-440)
• Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach
  Journal of Business & Economic Statistics, American Statistical Association (2011)
  by Patton, Andrew J. & Timmermann, Allan
  (ReDIF-article, bes:jnlbes:v:29:i:3:y:2011:p:397-410)
• Predictability of Stock Returns: Robustness and Economic Significance
  Journal of Finance, American Finance Association (1995)
  by Pesaran, M Hashem & Timmermann, Allan
  (ReDIF-article, bla:jfinan:v:50:y:1995:i:4:p:1201-28)
• Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis
  Journal of Finance, American Finance Association (2006)
  by Robert Kosowski & Allan Timmermann & Russ Wermers & Hal White
  (ReDIF-article, bla:jfinan:v:61:y:2006:i:6:p:2551-2595)
• Recursive Modeling of Nonlinear Dynamics in UK Stock Returns
  Manchester School, University of Manchester (2003)
  by Massimo Guidolin & Allan Timmermann
  (ReDIF-article, bla:manchs:v:71:y:2003:i:4:p:381-395)
• Return Predictability under Equilibrium Constraints on the Equity Premium
  Working Papers, Brandeis University, Department of Economics and International Business School (2008)
  by Davide Pettenuzzo & Allan G. Timmermann & Rossen I. Valkanov
  (ReDIF-paper, brd:wpaper:37)
• How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?
  Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003)
  by Pesaran, H.M. & Timmermann, A.
  (ReDIF-paper, cam:camdae:0306)
• Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks
  Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003)
  by Pesaran, M.H. & Timmermann, A.
  (ReDIF-paper, cam:camdae:0331)
• ‘Real Time Econometrics’
  Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004)
  by Pesaran, M.H. & Timmermann, A.
  (ReDIF-paper, cam:camdae:0432)
• ‘Forecasting Time Series Subject to Multiple Structural Breaks’
  Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004)
  by Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A.
  (ReDIF-paper, cam:camdae:0433)
• Learning, Structural Instability and Present Value Calculations
  Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006)
  by Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A.
  (ReDIF-paper, cam:camdae:0602)
• Testing Dependence Among Serially Correlated Multi-category Variables
  Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006)
  by Pesaran, M.H. & Timmermann, A.
  (ReDIF-paper, cam:camdae:0648)
• Variable Selection and Inference for Multi-period Forecasting Problems
  Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2009)
  by Pesaran, M.H. & Pick, A. & Timmermann, A.
  (ReDIF-paper, cam:camdae:0901)
• A Simple, Non-Parametric Test Of Predictive Performance
  Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990)
  by Pesaran, M.H. & Timmermann, A.
  (ReDIF-paper, cam:camdae:9021)
• The Statistical And Economic Significance Of The Predictability Of Exess Returns On Common Stocks
  Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990)
  by Pesaran, M.H. & Timmermann, G.
  (ReDIF-paper, cam:camdae:9022)
• Forecasting Stock Returns
  Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1992)
  by Pesaran, M.H. & Timmermann, A.
  (ReDIF-paper, cam:camdae:9216)
• A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing
  Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1992)
  by Pesaran, M.H. & Timmermann, A.G.
  (ReDIF-paper, cam:camdae:9218)
• The Use of Recursive Model Selection Strategies in Forecasting Stock Returns
  Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1995)
  by Pesaran, H. & Timmermann, A.
  (ReDIF-paper, cam:camdae:9406)
• A Recursive Modelling Approach to Predicting UK Stock Returns'
  Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1996)
  by Pesaran, M. H. & Timmermann, A.
  (ReDIF-paper, cam:camdae:9625)
• Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions
  University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2002)
  by Elliott, Graham & Timmermann, Allan
  (ReDIF-paper, cdl:ucsdec:qt15r9t2q2)
• The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis
  University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1998)
  by Lunde, Asger & Timmermann, Allan & Blake, David
  (ReDIF-paper, cdl:ucsdec:qt1pd3z1hm)
• Structural Breaks, Incomplete Information and Stock Prices
  University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2001)
  by Timmermann, Allan
  (ReDIF-paper, cdl:ucsdec:qt1sn269d7)
• Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns
  University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1998)
  by Sullivan, Ryan & Timmermann, Allan & White, Halbert
  (ReDIF-paper, cdl:ucsdec:qt2z02z6d9)
• How Stable are Financial Prediction Models? Evidence from US and International Stock Market Data
  University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2002)
  by Paye, Bradley S. & Timmermann, Allan
  (ReDIF-paper, cdl:ucsdec:qt74v515fr)
• Model Instability and Choice of Observation Window
  University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1999)
  by Pesaran, Hashem & Timmermann, Allan
  (ReDIF-paper, cdl:ucsdec:qt8zx626k6)
• Real Time Econometrics
  CESifo Working Paper Series, CESifo (2004)
  by M. Hashem Pesaran & Allan Timmermann
  (ReDIF-paper, ces:ceswps:_1169)
• Forecasting Time Series Subject to Multiple Structural Breaks
  CESifo Working Paper Series, CESifo (2004)
  by M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann
  (ReDIF-paper, ces:ceswps:_1237)
• Learning, Structural Instability and Present Value Calculations
  CESifo Working Paper Series, CESifo (2006)
  by M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann
  (ReDIF-paper, ces:ceswps:_1650)
• Testing Dependence among Serially Correlated Multi-category Variables
  CESifo Working Paper Series, CESifo (2006)
  by M. Hashem Pesaran & Allan Timmermann
  (ReDIF-paper, ces:ceswps:_1770)
• Variable Selection and Inference for Multi-period Forecasting Problems
  CESifo Working Paper Series, CESifo (2009)
  by M. Hashem Pesaran & Andreas Pick & Allan Timmermann
  (ReDIF-paper, ces:ceswps:_2543)
• How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?
  CESifo Working Paper Series, CESifo (2003)
  by Allan Timmermann & M. Hashem Pesaran
  (ReDIF-paper, ces:ceswps:_875)
• Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks
  CESifo Working Paper Series, CESifo (2003)
  by Allan Timmermann & M. Hashem Pesaran
  (ReDIF-paper, ces:ceswps:_990)
• Performance Measurement using Multiple Asset Class Portfolio Data
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (1997)
  by Blake, David & Lehmann, Bruce N & Timmermann, Allan G
  (ReDIF-paper, cpr:ceprdp:1618)
• Data-Snooping, Technical Trading Rule Performance and the Bootstrap
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (1998)
  by Sullivan, Ryan & Timmermann, Allan G & White, Halbert
  (ReDIF-paper, cpr:ceprdp:1976)
• Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001)
  by Timmermann, Allan & Guidolin, Massimo
  (ReDIF-paper, cpr:ceprdp:3005)
• Forecast Evaluation with Shared Data Sets
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001)
  by White, Halbert & Timmermann, Allan & Sullivan, Ryan
  (ReDIF-paper, cpr:ceprdp:3060)
• International Asset Allocation with Time-Varying Investment Opportunities
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002)
  by Blake, David & Timmermann, Allan
  (ReDIF-paper, cpr:ceprdp:3464)
• Efficient Market Hypothesis and Forecasting
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002)
  by Timmermann, Allan & Granger, Clive
  (ReDIF-paper, cpr:ceprdp:3593)
• Estimating Loss Function Parameters
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003)
  by Timmermann, Allan & Elliott, Graham & Komunjer, Ivana
  (ReDIF-paper, cpr:ceprdp:3821)
• Properties of Optimal Forecasts
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003)
  by Timmermann, Allan & Patton, Andrew
  (ReDIF-paper, cpr:ceprdp:4037)
• Relative Performance Evaluation Contracts and Asset Market Equilibrium
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003)
  by Timmermann, Allan & Kapur, Sandeep
  (ReDIF-paper, cpr:ceprdp:4038)
• Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003)
  by Timmermann, Allan & Lunde, Asger
  (ReDIF-paper, cpr:ceprdp:4104)
• Country and Industry Dynamics in Stock Returns
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004)
  by Timmermann, Allan & Catão, Luís
  (ReDIF-paper, cpr:ceprdp:4368)
• Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004)
  by Pesaran, M. Hashem & Timmermann, Allan
  (ReDIF-paper, cpr:ceprdp:4401)
• Real Time Econometrics
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004)
  by Pesaran, M. Hashem & Timmermann, Allan
  (ReDIF-paper, cpr:ceprdp:4402)
• Forecasting Time Series Subject to Multiple Structural Breaks
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004)
  by Pesaran, M. Hashem & Timmermann, Allan & Pettenuzzo, Davide
  (ReDIF-paper, cpr:ceprdp:4636)
• Term Structure of Risk Under Alternative Econometric Specifications
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004)
  by Timmermann, Allan & Guidolin, Massimo
  (ReDIF-paper, cpr:ceprdp:4645)
• Optimal Forecast Combination Under Regime Switching
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004)
  by Timmermann, Allan & Elliott, Graham
  (ReDIF-paper, cpr:ceprdp:4649)
• Forecast Combinations
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005)
  by Timmermann, Allan
  (ReDIF-paper, cpr:ceprdp:5361)
• Economic Forecasting
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007)
  by Timmermann, Allan & Elliott, Graham
  (ReDIF-paper, cpr:ceprdp:6158)
• Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007)
  by Timmermann, Allan & Guidolin, Massimo
  (ReDIF-paper, cpr:ceprdp:6188)
• Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007)
  by Timmermann, Allan & Patton, Andrew
  (ReDIF-paper, cpr:ceprdp:6526)
• Variable Selection and Inference for Multi-period Forecasting Problems
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009)
  by Pesaran, M. Hashem & Timmermann, Allan & Pick, Andreas
  (ReDIF-paper, cpr:ceprdp:7139)
• Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009)
  by Timmermann, Allan & Liu, Jun
  (ReDIF-paper, cpr:ceprdp:7188)
• Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010)
  by Timmermann, Allan & Aiolfi, Marco & Rodriguez, Marius
  (ReDIF-paper, cpr:ceprdp:7656)
• Common Factors in Latin America?s Business Cycles
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010)
  by Timmermann, Allan & Aiolfi, Marco & Catão, Luís
  (ReDIF-paper, cpr:ceprdp:7671)
• Decentralized Investment Management: Evidence from the Pension Fund Industry
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010)
  by Blake, David & Tonks, Ian & Timmermann, Allan & Wermers, Russ
  (ReDIF-paper, cpr:ceprdp:7679)
• Forecast Rationality Tests Based on Multi-Horizon Bounds
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011)
  by Timmermann, Allan & Patton, Andrew
  (ReDIF-paper, cpr:ceprdp:8194)
• Regime Changes and Financial Markets
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011)
  by Timmermann, Allan & Ang, Andrew
  (ReDIF-paper, cpr:ceprdp:8480)
• Real-Time Econometrics
  Econometric Theory, Cambridge University Press (2005)
  by Pesaran, Hashem & Timmermann, Allan
  (ReDIF-article, cup:etheor:v:21:y:2005:i:01:p:212-231_05)
• Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average?
  Working Paper Series, European Central Bank (2010)
  by Kenny, Geoff & Genre, Véronique & Meyler, Aidan & Timmermann, Allan
  (ReDIF-paper, ecb:ecbwps:20101277)
• Economic Implications of Bull and Bear Regimes in UK Stock Returns
  Royal Economic Society Annual Conference 2003, Royal Economic Society (2003)
  by Guidolin, Massimo & Allan Timmermann
  (ReDIF-paper, ecj:ac2003:95)
• Can Agents Learn to Form Rational Expectations? Some Results on Convergence and Stability of Learning in the UK Stock Market
  Economic Journal, Royal Economic Society (1994)
  by Timmermann, Allan
  (ReDIF-article, ecj:econjl:v:104:y:1994:i:425:p:777-97)
• A Recursive Modelling Approach to Predicting UK Stock Returns
  Economic Journal, Royal Economic Society (2000)
  by Pesaran, M Hashem & Timmermann, Allan
  (ReDIF-article, ecj:econjl:v:110:y:2000:i:460:p:159-91)
• Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns
  Economic Journal, Royal Economic Society (2005)
  by Massimo Guidolin & Allan Timmermann
  (ReDIF-article, ecj:econjl:v:115:y:2005:i:500:p:111-143)
• Relative Performance Evaluation Contracts and Asset Market Equilibrium
  Economic Journal, Royal Economic Society (2005)
  by Sandeep Kapur & Allan Timmermann
  (ReDIF-article, ecj:econjl:v:115:y:2005:i:506:p:1077-1102)
• Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching
  Econometric Society 2004 Australasian Meetings, Econometric Society (2004)
  by Massimo Guidolin, University of Virginia & Allan Timmermann
  (ReDIF-paper, ecm:ausm04:349)
• Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?
  Econometric Society 2004 North American Summer Meetings, Econometric Society (2004)
  by Allan Timmermann & Graham Elliott & Ivana Komunjer
  (ReDIF-paper, ecm:nasm04:601)
• Properties of Optimal Forecasts
  Econometric Society 2004 North American Winter Meetings, Econometric Society (2004)
  by Allan Timmermann & Andrew J. Patton
  (ReDIF-paper, ecm:nawm04:234)
• Implied Learning Paths from Option Prices
  Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000)
  by Massimo Guidolin & Allan Timmermann
  (ReDIF-paper, ecm:wc2000:0447)
• Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets
  Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000)
  by Asger Lunde & Allan Timmermann
  (ReDIF-paper, ecm:wc2000:1216)
• Data mining with local model specification uncertainty: a discussion of Hoover and Perez
  Econometrics Journal, Royal Economic Society (1999)
  by Clive Granger & Allan Timmermann
  (ReDIF-article, ect:emjrnl:v:2:y:1999:i:2:p:220-225)
• Common factors in Latin America's business cycles
  Journal of Development Economics, Elsevier (2011)
  by Aiolfi, Marco & Catão, Luis A.V. & Timmermann, Allan
  (ReDIF-article, eee:deveco:v:95:y:2011:i:2:p:212-228)
• Present value models with feedback : Solutions, stability, bubbles, and some empirical evidence
  Journal of Economic Dynamics and Control, Elsevier (1994)
  by Timmermann, Allan
  (ReDIF-article, eee:dyncon:v:18:y:1994:i:6:p:1093-1119)
• Option prices under Bayesian learning: implied volatility dynamics and predictive densities
  Journal of Economic Dynamics and Control, Elsevier (2003)
  by Guidolin, Massimo & Timmermann, Allan
  (ReDIF-article, eee:dyncon:v:27:y:2003:i:5:p:717-769)
• Asset allocation under multivariate regime switching
  Journal of Economic Dynamics and Control, Elsevier (2007)
  by Guidolin, Massimo & Timmermann, Allan
  (ReDIF-article, eee:dyncon:v:31:y:2007:i:11:p:3503-3544)
• Properties of equilibrium asset prices under alternative learning schemes
  Journal of Economic Dynamics and Control, Elsevier (2007)
  by Guidolin, Massimo & Timmermann, Allan
  (ReDIF-article, eee:dyncon:v:31:y:2007:i:1:p:161-217)
• Handbook of Economic Forecasting (RePEc:repec:eee:ecofch)
  from Elsevier as editor
• Forecast Combinations
  Handbook of Economic Forecasting, Elsevier (2006)
  by Timmermann, Allan
  (ReDIF-chapter, eee:ecofch:1-04)
• Handbook of Economic Forecasting (RePEc:repec:eee:ecofor)
  from Elsevier as editor
• Handbook of Economic Forecasting
  Handbook of Economic Forecasting, Elsevier (2006)
  by
  (ReDIF-book, eee:ecofor:1)
• A generalization of the non-parametric Henriksson-Merton test of market timing
  Economics Letters, Elsevier (1994)
  by Pesaran, M. Hashem & Timmermann, Allan G.
  (ReDIF-article, eee:ecolet:v:44:y:1994:i:1-2:p:1-7)
• Optimal properties of exponentially weighted forecasts in the presence of different information sources
  Economics Letters, Elsevier (1994)
  by Satchell, Steve & Timmermann, Allan
  (ReDIF-article, eee:ecolet:v:45:y:1994:i:2:p:169-174)
• Why do dividend yields forecast stock returns?
  Economics Letters, Elsevier (1994)
  by Timmermann, Allan
  (ReDIF-article, eee:ecolet:v:46:y:1994:i:2:p:149-158)
• Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities
  Journal of Econometrics, Elsevier (2001)
  by Perez-Quiros, Gabriel & Timmermann, Allan
  (ReDIF-article, eee:econom:v:103:y:2001:i:1-2:p:259-306)
• Dangers of data mining: The case of calendar effects in stock returns
  Journal of Econometrics, Elsevier (2001)
  by Sullivan, Ryan & Timmermann, Allan & White, Halbert
  (ReDIF-article, eee:econom:v:105:y:2001:i:1:p:249-286)
• Optimal forecast combinations under general loss functions and forecast error distributions
  Journal of Econometrics, Elsevier (2004)
  by Elliott, Graham & Timmermann, Allan
  (ReDIF-article, eee:econom:v:122:y:2004:i:1:p:47-79)
• Small sample properties of forecasts from autoregressive models under structural breaks
  Journal of Econometrics, Elsevier (2005)
  by Pesaran, M. Hashem & Timmermann, Allan
  (ReDIF-article, eee:econom:v:129:y:2005:i:1-2:p:183-217)
• Term structure of risk under alternative econometric specifications
  Journal of Econometrics, Elsevier (2006)
  by Guidolin, Massimo & Timmermann, Allan
  (ReDIF-article, eee:econom:v:131:y:2006:i:1-2:p:285-308)
• Persistence in forecasting performance and conditional combination strategies
  Journal of Econometrics, Elsevier (2006)
  by Aiolfi, Marco & Timmermann, Allan
  (ReDIF-article, eee:econom:v:135:y:2006:i:1-2:p:31-53)
• Selection of estimation window in the presence of breaks
  Journal of Econometrics, Elsevier (2007)
  by Pesaran, M. Hashem & Timmermann, Allan
  (ReDIF-article, eee:econom:v:137:y:2007:i:1:p:134-161)
• Properties of optimal forecasts under asymmetric loss and nonlinearity
  Journal of Econometrics, Elsevier (2007)
  by Patton, Andrew J. & Timmermann, Allan
  (ReDIF-article, eee:econom:v:140:y:2007:i:2:p:884-918)
• Forecasts of US short-term interest rates: A flexible forecast combination approach
  Journal of Econometrics, Elsevier (2009)
  by Guidolin, Massimo & Timmermann, Allan
  (ReDIF-article, eee:econom:v:150:y:2009:i:2:p:297-311)
• Annals issue on forecasting--Guest editors' introduction
  Journal of Econometrics, Elsevier (2011)
  by Issler, João Victor & Linton, Oliver & Timmermann, Allan
  (ReDIF-article, eee:econom:v:164:y:2011:i:1:p:1-3)
• Variable selection, estimation and inference for multi-period forecasting problems
  Journal of Econometrics, Elsevier (2011)
  by Pesaran, M. Hashem & Pick, Andreas & Timmermann, Allan
  (ReDIF-article, eee:econom:v:164:y:2011:i:1:p:173-187)
• Predictability of stock returns and asset allocation under structural breaks
  Journal of Econometrics, Elsevier (2011)
  by Pettenuzzo, Davide & Timmermann, Allan
  (ReDIF-article, eee:econom:v:164:y:2011:i:1:p:60-78)
• Moments of Markov switching models
  Journal of Econometrics, Elsevier (2000)
  by Timmermann, Allan
  (ReDIF-article, eee:econom:v:96:y:2000:i:1:p:75-111)
• Instability of return prediction models
  Journal of Empirical Finance, Elsevier (2006)
  by Paye, Bradley S. & Timmermann, Allan
  (ReDIF-article, eee:empfin:v:13:y:2006:i:3:p:274-315)
• The hazards of mutual fund underperformance: A Cox regression analysis
  Journal of Empirical Finance, Elsevier (1999)
  by Lunde, Asger & Timmermann, Allan & Blake, David
  (ReDIF-article, eee:empfin:v:6:y:1999:i:2:p:121-152)
• Market timing and return prediction under model instability
  Journal of Empirical Finance, Elsevier (2002)
  by Pesaran, M. Hashem & Timmermann, Allan
  (ReDIF-article, eee:empfin:v:9:y:2002:i:5:p:495-510)
• On the optimality of adaptive expectations: Muth revisited
  International Journal of Forecasting, Elsevier (1995)
  by Satchell, Steve & Timmermann, Allan
  (ReDIF-article, eee:intfor:v:11:y:1995:i:3:p:407-416)
• Forecast evaluation with shared data sets
  International Journal of Forecasting, Elsevier (2003)
  by Sullivan, Ryan & Timmermann, Allan & White, Halbert
  (ReDIF-article, eee:intfor:v:19:y:2003:i:2:p:217-227)
• Efficient market hypothesis and forecasting
  International Journal of Forecasting, Elsevier (2004)
  by Timmermann, Allan & Granger, Clive W. J.
  (ReDIF-article, eee:intfor:v:20:y:2004:i:1:p:15-27)
• How costly is it to ignore breaks when forecasting the direction of a time series?
  International Journal of Forecasting, Elsevier (2004)
  by Pesaran, M. Hashem & Timmermann, Allan
  (ReDIF-article, eee:intfor:v:20:y:2004:i:3:p:411-425)
• Elusive return predictability
  International Journal of Forecasting, Elsevier (2008)
  by Timmermann, Allan
  (ReDIF-article, eee:intfor:v:24:y:2008:i:1:p:1-18)
• Reply to the discussion of Elusive Return Predictability
  International Journal of Forecasting, Elsevier (2008)
  by Timmermann, Allan
  (ReDIF-article, eee:intfor:v:24:y:2008:i:1:p:29-30)
• Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts
  Journal of Financial Economics, Elsevier (2010)
  by Patton, Andrew J. & Timmermann, Allan
  (ReDIF-article, eee:jfinec:v:98:y:2010:i:3:p:605-625)
• Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion
  Journal of Monetary Economics, Elsevier (2010)
  by Patton, Andrew J. & Timmermann, Allan
  (ReDIF-article, eee:moneco:v:57:y:2010:i:7:p:803-820)
• Choice of Sample Split in Out-of-Sample Forecast Evaluation
  Economics Working Papers, European University Institute (2012)
  by Peter Reinhard HANSEN & Allan TIMMERMANN
  (ReDIF-paper, eui:euiwps:eco2012/10)
• The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis
  FMG Discussion Papers, Financial Markets Group (1998)
  by Allan Timmermann & Asger Lunde
  (ReDIF-paper, fmg:fmgdps:dp302)
• Data-Snooping, Technical Trading, Rule Performance and the Bootstrap
  FMG Discussion Papers, Financial Markets Group (1998)
  by Allan Timmermann & Halbert White & Ryan Sullivan
  (ReDIF-paper, fmg:fmgdps:dp303)
• The Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns
  FMG Discussion Papers, Financial Markets Group (1998)
  by Allan Timmermann & Halbert White & Ryan Sullivan
  (ReDIF-paper, fmg:fmgdps:dp304)
• Structural Breaks, Incomplete Information and Stock Prices
  FMG Discussion Papers, Financial Markets Group (1998)
  by Allan Timmermann
  (ReDIF-paper, fmg:fmgdps:dp311)
• A Recursive Modelling Approach to Predicting UK Stock Returns
  FMG Discussion Papers, Financial Markets Group (1999)
  by Allan Timmermann & M. Hashem Pesaran
  (ReDIF-paper, fmg:fmgdps:dp322)
• Moments of Markov Switching Models
  FMG Discussion Papers, Financial Markets Group (1999)
  by Allan Timmermann
  (ReDIF-paper, fmg:fmgdps:dp323)
• Firm Size and Cyclical Variations in Stock Returns
  FMG Discussion Papers, Financial Markets Group (1999)
  by Allan Timmermann & Gabriel Perez-Quiros
  (ReDIF-paper, fmg:fmgdps:dp335)
• Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities
  FMG Discussion Papers, Financial Markets Group (2000)
  by Allan Timmermann & Gabriel Perez-Quiros
  (ReDIF-paper, fmg:fmgdps:dp360)
• Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities
  FMG Discussion Papers, Financial Markets Group (2001)
  by Allan Timmermann & Massimo Guidolin
  (ReDIF-paper, fmg:fmgdps:dp397)
• Market Timing and Return Prediction under Model Instability
  FMG Discussion Papers, Financial Markets Group (2002)
  by Allan Timmermann & M. Hashem Pesaran
  (ReDIF-paper, fmg:fmgdps:dp412)
• (UBS Pensions Series 2) International Asset Allocation with Time-Varying Investment Opportunities
  FMG Discussion Papers, Financial Markets Group (2002)
  by Allan Timmermann
  (ReDIF-paper, fmg:fmgdps:dp424)
• (UBS Pensions Series 3) Performance Clustering and Incentives in the UK Pension Fund Industry
  FMG Discussion Papers, Financial Markets Group (2002)
  by Bruce N. Lehmann & Allan Timmermann
  (ReDIF-paper, fmg:fmgdps:dp425)
• (UBS Pensions Series 4) Returns from Active Management in International Equity Markets; Evidence from a Panel of UK Pension Funds
  FMG Discussion Papers, Financial Markets Group (2002)
  by Allan Timmermann
  (ReDIF-paper, fmg:fmgdps:dp426)
• Performance Measurement and Evaluation
  FMG Discussion Papers, Financial Markets Group (2007)
  by Allan Timmermann & Bruce N. Lehmann
  (ReDIF-paper, fmg:fmgdps:dp604)
• The Statistical And Economic Significance Of The Predictability Of Excess Returns On Common Stocks
  Papers, California Los Angeles - Applied Econometrics (1990)
  by Pesaran, M.H. & Timmermann, A.G.
  (ReDIF-paper, fth:callaa:26)
• A Simple Non-Parametric Test Of Predictive Performance
  Papers, California Los Angeles - Applied Econometrics (1990)
  by Pesaran, M.H. & Timmermann, A.
  (ReDIF-paper, fth:callaa:29)
• Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities
  Papers, Quebec a Montreal - Recherche en gestion (2001)
  by Perez-Quiros, G. & Timmermann, A.
  (ReDIF-paper, fth:uqamge:58)
• Optimal Forecast Combination Under Regime Switching
  International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2005)
  by Graham Elliott & Allan Timmermann
  (ReDIF-article, ier:iecrev:v:46:y:2005:i:4:p:1081-1102)
• Real Time Econometrics
  IZA Discussion Papers, Institute of Labor Economics (IZA) (2004)
  by Pesaran, M. Hashem & Timmermann, Allan
  (ReDIF-paper, iza:izadps:dp1108)
• Forecasting Time Series Subject to Multiple Structural Breaks
  IZA Discussion Papers, Institute of Labor Economics (IZA) (2004)
  by Pesaran, M. Hashem & Pettenuzzo, Davide & Timmermann, Allan
  (ReDIF-paper, iza:izadps:dp1196)
• Testing Dependence among Serially Correlated Multi-Category Variables
  IZA Discussion Papers, Institute of Labor Economics (IZA) (2006)
  by Pesaran, M. Hashem & Timmermann, Allan
  (ReDIF-paper, iza:izadps:dp2196)
• Cointegration Tests of Present Value Models with a Time-Varying Discount Factor
  Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1995)
  by Timmermann, Allan
  (ReDIF-article, jae:japmet:v:10:y:1995:i:1:p:17-31)
• An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns
  Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006)
  by Allan Timmermann & Massimo Guidolin
  (ReDIF-article, jae:japmet:v:21:y:2006:i:1:p:1-22)
• Completion time structures of stock price movements
  Annals of Finance, Springer (2005)
  by Asger Lunde & Allan Timmermann
  (ReDIF-article, kap:annfin:v:1:y:2005:i:3:p:293-326)
• Disagreement and Biases in Inflation Expectations
  Journal of Money, Credit and Banking, Blackwell Publishing (2009)
  by Carlos Capistr¡N & Allan Timmermann
  (ReDIF-article, mcb:jmoncb:v:41:y:2009:i:2-3:p:365-396)
• The Forecasing time series subject to multiple structure breaks
  Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group (2005)
  by Profoessor Hashem Pesaran & Allan Timmermann & Davide Pettenuzzo
  (ReDIF-paper, mmf:mmfc05:33)
• Regime Changes and Financial Markets
  NBER Working Papers, National Bureau of Economic Research, Inc (2011)
  by Andrew Ang & Allan Timmermann
  (ReDIF-paper, nbr:nberwo:17182)
• Breaks in the Phillips Curve: Evidence from Panel Data
  NBER Working Papers, National Bureau of Economic Research, Inc (2023)
  by Simon Smith & Allan Timmermann & Jonathan H. Wright
  (ReDIF-paper, nbr:nberwo:31153)
• Size and Value Anomalies under Regime Shifts
  The Journal of Financial Econometrics, Society for Financial Econometrics (2008)
  by Massimo Guidolin & Allan Timmermann
  (ReDIF-article, oup:jfinec:v:6:y:2008:i:1:p:1-48)
• Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability
  The Journal of Financial Econometrics, Society for Financial Econometrics (2010)
  by Marco Aiolfi & Marius Rodriguez & Allan Timmermann
  (ReDIF-article, oup:jfinec:v:8:y:2010:i:3:p:305-334)
• International asset allocation under regime switching, skew, and kurtosis preferences
  Review of Financial Studies, Society for Financial Studies (2008)
  by Massimo Guidolin & Allan Timmermann
  (ReDIF-article, oup:rfinst:v:21:y:2008:i:2:p:889-935)
• An Evaluation of the World Economic Outlook Forecasts
  IMF Staff Papers, Palgrave Macmillan (2007)
  by Allan Timmermann
  (ReDIF-article, pal:imfstp:v:54:y:2007:i:1:p:1-33)
• Decentralized investment management: evidence from the pension fund industry
  MPRA Paper, University Library of Munich, Germany (2010)
  by Blake, David & Timmermann, Allan & Tonks, Ian & Wermers, Russ
  (ReDIF-paper, pra:mprapa:35767)
• Disagreement and Biases in Inflation Expectations
  Computing in Economics and Finance 2006, Society for Computational Economics (2006)
  by Carlos Capistrán & Allan Timmermann
  (ReDIF-paper, sce:scecfa:3)
• Learning, structural instability and present value calculations
  Computing in Economics and Finance 2006, Society for Computational Economics (2006)
  by M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann
  (ReDIF-paper, sce:scecfa:529)
• Learning, Structural Instability and Present Value Calculations
  IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2006)
  by Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann
  (ReDIF-paper, scp:wpaper:06-42)
• Learning, Structural Instability, and Present Value Calculations
  Econometric Reviews, Taylor & Francis Journals (2007)
  by Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann
  (ReDIF-article, taf:emetrv:v:26:y:2007:i:2-4:p:253-288)
• Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?
  Journal of the European Economic Association, MIT Press (2008)
  by Graham Elliott & Ivana Komunjer & Allan Timmermann
  (ReDIF-article, tpr:jeurec:v:6:y:2008:i:1:p:122-157)
• Asset Allocation Dynamics and Pension Fund Performance
  The Journal of Business, University of Chicago Press (1999)
  by Blake, David & Lehmann, Bruce N & Timmermann, Allan
  (ReDIF-article, ucp:jnlbus:v:72:y:1999:i:4:p:429-61)
• International Asset Allocation with Time-Varying Investment Opportunities
  The Journal of Business, University of Chicago Press (2005)
  by Allan Timmermann & David Blake
  (ReDIF-article, ucp:jnlbus:v:78:y:2005:i:1:p:71-98)
• Relative Performance Evaluation Contracts and Asset Market Equilibrium
  Finance, University Library of Munich, Germany (2004)
  by Sandeep Kapur & Allan Timmermann
  (ReDIF-paper, wpa:wuwpfi:0408001)
• Relative Performance Evaluation Contracts and Asset Market Equilibrium
  Finance, University Library of Munich, Germany (2004)
  by Sandeep Kapur & Allan Timmermann
  (ReDIF-paper, wpa:wuwpfi:0408005)
• Learning, structural instability and present value calculations
  Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2006)
  by Pesaran, Mohammad Hashem & Pettenuzzo, Davide & Timmermann, Allan
  (ReDIF-paper, zbw:bubdp1:4756)
• Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis
  CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2005)
  by Kosowski, Robert & Timmermann, Allan & Wermers, Russ & White, Hal
  (ReDIF-paper, zbw:cfrwps:0514)
• The performance of European equity mutual funds
  CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2009)
  by Banegas, Ayelen & Gillen, Ben & Timmermann, Allan & Wermers, Russ
  (ReDIF-paper, zbw:cfrwps:0903)