Allan Timmermann

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M. Hashem Pesaran, M H Pesaran, M...John Elliot Distinguished Chair in Economics at USC, Director, Centre for Applied FinancialVerified email at usc.edu
Russ WermersProfessor of FinanceVerified email at umd.edu
Massimo GuidolinBocconi UniversityVerified email at unibocconi.it
Davide PettenuzzoAssociate Professor of Financial Econometrics, Brandeis International Business SchoolVerified email at brandeis.edu
Andrew PattonZelter Family Professor of Economics and Finance, Duke UniversityVerified email at duke.edu
Alberto RossiGeorgetown UniversityVerified email at georgetown.edu
Asger LundePartner, Copenhagen EconomicsVerified email at copenhageneconomics.com
Lawrence D. W. SchmidtMassachusetts Institute of TechnologyVerified email at mit.edu
Ian TonksProfessor of FinanceVerified email at bristol.ac.uk
Antonio GarganoAssistant Professor of Finance, C.T. Bauer College of BusinessVerified email at cougarnet.uh.edu
Tolga CenesizogluAssociate Professor of Finance, HEC MontrealVerified email at hec.ca
rossen valkanovprofessor of finance, ucsdVerified email at ucsd.edu
Benjamin GillenAssistant Professor of Economics, Claremont McKenna CollegeVerified email at cmc.edu
Luís CatãoLisbon School of Economics and Management (ISEG) and Centre for Economic Policy Research (CEPR)Verified email at iseg.ulisboa.pt
Robert KosowskiImperial College LondonVerified email at imperial.ac.uk
David MilesImperial CollegeVerified email at imperial.ac.uk
Andrew AngBlackRockVerified email at blackrock.com
Bradley PayeVirginia TechVerified email at vt.edu
Aidan MeylerEuropean Central BankVerified email at ecb.europa.eu
Geoff KennyEuropean Central BankVerified email at ecb.int

Allan Timmermann

Professor of Finance and Economics, UCSD

Verified email at ucsd.edu - Homepage

Economic forecasting asset pricing investment performance forecast combination applied econometrics


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Forecast combinations A Timmermann Handbook of economic forecasting 1, 135-196, 2006	1931	2006
Data‐snooping, technical trading rule performance, and the bootstrap R Sullivan, A Timmermann, H White The journal of Finance 54 (5), 1647-1691, 1999	1346	1999
Can mutual fund “stars” really pick stocks? New evidence from a bootstrap analysis R Kosowski, A Timmermann, R Wermers, H White The Journal of finance 61 (6), 2551-2595, 2006	1312	2006
Predictability of stock returns: Robustness and economic significance MH Pesaran, A Timmermann The Journal of Finance 50 (4), 1201-1228, 1995	1224	1995
A simple nonparametric test of predictive performance MH Pesaran, A Timmermann Journal of Business & Economic Statistics 10 (4), 461-465, 1992	990	1992
Firm size and cyclical variations in stock returns G Perez‐Quiros, A Timmermann The Journal of Finance 55 (3), 1229-1262, 2000	858	2000
Efficient market hypothesis and forecasting A Timmermann, CWJ Granger International Journal of forecasting 20 (1), 15-27, 2004	742	2004
Selection of estimation window in the presence of breaks MH Pesaran, A Timmermann Journal of Econometrics 137 (1), 134-161, 2007	476	2007
Moments of Markov switching models A Timmermann Journal of econometrics 96 (1), 75-111, 2000	476	2000
Regime changes and financial markets A Ang, A Timmermann Annu. Rev. Financ. Econ. 4 (1), 313-337, 2012	474	2012
Asset allocation dynamics and pension fund performance D Blake, BN Lehmann, A Timmermann The Journal of Business 72 (4), 429-461, 1999	464	1999
How learning in financial markets generates excess volatility and predictability in stock prices AG Timmermann The Quarterly Journal of Economics 108 (4), 1135-1145, 1993	459	1993
International asset allocation under regime switching, skew, and kurtosis preferences M Guidolin, A Timmermann The Review of Financial Studies 21 (2), 889-935, 2008	455	2008
Asset allocation under multivariate regime switching M Guidolin, A Timmermann Journal of Economic Dynamics and Control 31 (11), 3503-3544, 2007	455	2007
Instability of return prediction models BS Paye, A Timmermann Journal of Empirical Finance 13 (3), 274-315, 2006	441	2006
Handbook of economic forecasting G Elliott, A Timmermann Elsevier, 2013	429	2013
Economic forecasting G Elliott, A Timmermann Journal of Economic Literature 46 (1), 3-56, 2008	405	2008
Forecasting time series subject to multiple structural breaks MH Pesaran, D Pettenuzzo, A Timmermann The Review of Economic Studies 73 (4), 1057-1084, 2006	400	2006
Persistence in forecasting performance and conditional combination strategies M Aiolfi, A Timmermann Journal of Econometrics 135 (1-2), 31-53, 2006	390	2006
Dangers of data mining: The case of calendar effects in stock returns R Sullivan, A Timmermann, H White Journal of Econometrics 105 (1), 249-286, 2001	384	2001

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