Details about Allan Timmermann

Access statistics for papers by Allan Timmermann.

Last updated 2008-12-05. Update your information in the RePEc Author Service.

Short-id: pti8

Working Papers

2006

1. An Evaluation of the World Economic Outlook Forecasts
   IMF Working Papers, International Monetary Fund View citations
2. Common Factors in Latin America's Business Cycles
   IMF Working Papers, International Monetary Fund View citations
3. Disagreement and Biases in Inflation Expectations
   Computing in Economics and Finance 2006, Society for Computational Economics View citations
4. Learning, Structural Instability and Present Value Calculations
   CESifo Working Paper Series, CESifo Group Munich
   Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006)
   Computing in Economics and Finance 2006, Society for Computational Economics (2006)
   Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2006)
   IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2006)
5. Testing Dependence Among Serially Correlated Multi-category Variables
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
   Also in IZA Discussion Papers, Institute for the Study of Labor (IZA) (2006) View citations
   CESifo Working Paper Series, CESifo Group Munich (2006) View citations

2005

6. BIASES IN MACROECONOMIC FORECASTS: IRRATIONALITY OR ASYMMETRIC LOSS?
   CAMA Working Papers, Australian National University, Centre for Applied Macroeconomic Analysis View citations
   Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) View citations
7. Relative Performance Evaluation Contracts and Asset Market Equilibrium
   Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics View citations
   Also in Finance, EconWPA (2004) View citations
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003)
   Finance, EconWPA (2004)
   See also Journal Article in Economic Journal (2005)
8. Testable Implications of Forecast Optimality
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
9. The Forecasing time series subject to multiple structure breaks
   Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group

2004

10. Country and Industry Dynamics in Stock Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
11. Forecasting Time Series Subject to Multiple Structural Breaks
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
    Also in IZA Discussion Papers, Institute for the Study of Labor (IZA) (2004) View citations
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations
    CESifo Working Paper Series, CESifo Group Munich (2004) View citations
    See also Journal Article in Review of Economic Studies (2006)
12. Optimal Forecast Combination Under Regime Switching
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    See also Journal Article in International Economic Review (2005)
13. Properties of Optimal Forecasts
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) View citations
14. Real Time Econometrics
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) View citations
    IZA Discussion Papers, Institute for the Study of Labor (IZA) (2004) View citations
    CESifo Working Paper Series, CESifo Group Munich (2004) View citations
15. Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) View citations
    CESifo Working Paper Series, CESifo Group Munich (2003)
    See also Journal Article in Journal of Econometrics (2005)
16. Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations
17. Term Structure of Risk Under Alternative Econometric Specifications
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    See also Journal Article in Journal of Econometrics (2006)

2003

18. Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations
    See also Journal Article in Journal of Business & Economic Statistics (2004)
19. Economic Implications of Bull and Bear Regimes in UK Stock Returns
    Royal Economic Society Annual Conference 2003, Royal Economic Society
20. Estimating Loss Function Parameters
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
21. How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?
    CESifo Working Paper Series, CESifo Group Munich View citations
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) View citations
    See also Journal Article in International Journal of Forecasting (2004)

2002

22. (UBS Pensions Series 2) International Asset Allocation with Time-Varying Investment Opportunities
    FMG Discussion Papers, Financial Markets Group
23. (UBS Pensions Series 3) Performance Clustering and Incentives in the UK Pension Fund Industry
    FMG Discussion Papers, Financial Markets Group
24. (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
25. Efficient Market Hypothesis and Forecasting
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    See also Journal Article in International Journal of Forecasting (2004)
26. International Asset Allocation with Time-Varying Investment Opportunities
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    See also Journal Article in Journal of Business (2005)
27. Market Timing and Return Prediction under Model Instability
    FMG Discussion Papers, Financial Markets Group View citations
    See also Journal Article in Journal of Empirical Finance (2002)

2001

28. Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities
    Working Papers, Quebec a Montreal - Recherche en gestion View citations
    Also in Working Paper Series, European Central Bank (2001) View citations
    FMG Discussion Papers, Financial Markets Group (2000) View citations
    See also Journal Article in Journal of Econometrics (2001)
29. Forecast Evaluation with Shared Data Sets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    See also Journal Article in International Journal of Forecasting (2003)
30. Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in FMG Discussion Papers, Financial Markets Group (2001) View citations
    See also Journal Article in Journal of Economic Dynamics and Control (2003)
31. 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 View citations

2000

32. Implied Learning Paths from Option Prices
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society

1999

33. A Recursive Modelling Approach to Predicting UK Stock Returns
    FMG Discussion Papers, Financial Markets Group
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1996) View citations
    See also Journal Article in Economic Journal (2000)
34. Firm Size and Cyclical Variations in Stock Returns
    FMG Discussion Papers, Financial Markets Group View citations
    See also Journal Article in Journal of Finance (2000)
35. Model Instability and Choice of Observation Window
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
36. Moments of Markov Switching Models
    FMG Discussion Papers, Financial Markets Group View citations
    See also Journal Article in Journal of Econometrics (2000)

1998

37. 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 View citations
38. Data-Snooping, Technical Trading Rule Performance and the Bootstrap
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in FMG Discussion Papers, Financial Markets Group (1998) View citations
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1997) View citations
    See also Journal Article in Journal of Finance (1999)
39. Structural Breaks, Incomplete Information and Stock Prices
    FMG Discussion Papers, Financial Markets Group View citations
    See also Journal Article in Journal of Business & Economic Statistics (2001)
40. The Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns
    FMG Discussion Papers, Financial Markets Group View citations
41. 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 View citations
    Also in FMG Discussion Papers, Financial Markets Group (1998)
    See also Journal Article in Journal of Empirical Finance (1999)

1997

42. Performance Measurement using Multiple Asset Class Portfolio Data
    CEPR Discussion Papers, C.E.P.R. Discussion Papers

1996

43. Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    See also Journal Article in Review of Economic Studies (1996)
44. On Business Cycle Variation in the Mean, Volatility and Conditional Distribution of Stock Returns
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations

1995

45. An Assessment of the Economic Value of Nonlinear Foreign Exchange Rate Forecasts
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
46. Predictability of Stock Returns: Robustness and Economic Significance
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    See also Journal Article in Journal of Finance (1995)
47. The Use of Recursive Model Selection Strategies in Forecasting Stock Returns
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
48. Variation in Expected Stock Returns: Evidence on the Pricing of Equities from a Cross-Section of UK Companies
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    See also Journal Article in Economica (1996)
49. Volatility Clustering and Mean Reversion of Stock Returns in an Asset Pricing Model with Incomplete Learning
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations

1994

50. On the Optimality of Adaptive Expectations: Muth Revisited
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    See also Journal Article in International Journal of Forecasting (1995)

1992

51. A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
    See also Journal Article in Economics Letters (1994)
52. Forecasting Stock Returns
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations

1990

53. A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE
    Working Papers, California Los Angeles - Applied Econometrics View citations
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990) View citations
    See also Journal Article in Journal of Business & Economic Statistics (1992)
54. THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXCESS RETURNS ON COMMON STOCKS
    Working Papers, California Los Angeles - Applied Econometrics View citations
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990)

Journal Articles

2007

1. Properties of equilibrium asset prices under alternative learning schemes
   Journal of Economic Dynamics and Control, 2007, 31, (1), 161-217 View citations
2. Selection of estimation window in the presence of breaks
   Journal of Econometrics, 2007, 137, (1), 134-161 View citations

2006

3. An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns
   Journal of Applied Econometrics, 2006, 21, (1), 1-22 View citations
4. Can Mutual Fund "Stars" Really Pick Stocks? New Evidence from a Bootstrap Analysis
   Journal of Finance, 2006, 61, (6), 2551-2595 View citations
5. Forecasting Time Series Subject to Multiple Structural Breaks
   Review of Economic Studies, 2006, 73, (4), 1057-1084 View citations
   See also Working Paper (2004)
6. Instability of return prediction models
   Journal of Empirical Finance, 2006, 13, (3), 274-315 View citations
7. Persistence in forecasting performance and conditional combination strategies
   Journal of Econometrics, 2006, 135, (1-2), 31-53 View citations
8. Term structure of risk under alternative econometric specifications
   Journal of Econometrics, 2006, 131, (1-2), 285-308 View citations
   See also Working Paper (2004)

2005

9. Completion time structures of stock price movements
   Annals of Finance, 2005, 1, (3), 293-326 View citations
10. Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns
    Economic Journal, 2005, 115, (500), 111-143 View citations
11. International Asset Allocation with Time-Varying Investment Opportunities
    Journal of Business, 2005, 78, (1), 71-98 View citations
    See also Working Paper (2002)
12. OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING *
    International Economic Review, 2005, 46, (4), 1081-1102
    See also Working Paper (2004)
13. Relative Performance Evaluation Contracts and Asset Market Equilibrium
    Economic Journal, 2005, 115, (506), 1077-1102 View citations
    See also Working Paper (2005)
14. Small sample properties of forecasts from autoregressive models under structural breaks
    Journal of Econometrics, 2005, 129, (1-2), 183-217 View citations
    See also Working Paper (2004)

2004

15. Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets
    Journal of Business & Economic Statistics, 2004, 22, 253-273 View citations
    See also Working Paper (2003)
16. Efficient market hypothesis and forecasting
    International Journal of Forecasting, 2004, 20, (1), 15-27 View citations
    See also Working Paper (2002)
17. How costly is it to ignore breaks when forecasting the direction of a time series?
    International Journal of Forecasting, 2004, 20, (3), 411-425 View citations
    See also Working Paper (2003)
18. Optimal forecast combinations under general loss functions and forecast error distributions
    Journal of Econometrics, 2004, 122, (1), 47-79 View citations

2003

19. Forecast evaluation with shared data sets
    International Journal of Forecasting, 2003, 19, (2), 217-227 View citations
    See also Working Paper (2001)
20. Option prices under Bayesian learning: implied volatility dynamics and predictive densities
    Journal of Economic Dynamics and Control, 2003, 27, (5), 717-769 View citations
    See also Working Paper (2001)
21. Recursive Modeling of Nonlinear Dynamics in UK Stock Returns
    Manchester School, 2003, 71, (4), 381-395 View citations

2002

22. Market timing and return prediction under model instability
    Journal of Empirical Finance, 2002, 9, (5), 495-510 View citations
    See also Working Paper (2002)

2001

23. Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities
    Journal of Econometrics, 2001, 103, (1-2), 259-306 View citations
    See also Working Paper (2001)
24. Dangers of data mining: The case of calendar effects in stock returns
    Journal of Econometrics, 2001, 105, (1), 249-286 View citations
25. Structural Breaks, Incomplete Information, and Stock Prices
    Journal of Business & Economic Statistics, 2001, 19, (3), 299-314 View citations
    See also Working Paper (1998)

2000

26. A Recursive Modelling Approach to Predicting UK Stock Returns
    Economic Journal, 2000, 110, (460), 159-91 View citations
    See also Working Paper (1999)
27. Firm Size and Cyclical Variations in Stock Returns
    Journal of Finance, 2000, 55, (3), 1229-1262 View citations
    See also Working Paper (1999)
28. Moments of Markov switching models
    Journal of Econometrics, 2000, 96, (1), 75-111 View citations
    See also Working Paper (1999)

1999

29. Asset Allocation Dynamics and Pension Fund Performance
    Journal of Business, 1999, 72, (4), 429-61 View citations
30. Data mining with local model specification uncertainty: a discussion of Hoover and Perez
    Econometrics Journal, 1999, 2, (2), 220-225 View citations
31. Data-Snooping, Technical Trading Rule Performance, and the Bootstrap
    Journal of Finance, 1999, 54, (5), 1647-1691 View citations
    See also Working Paper (1998)
32. Risk sharing and transition costs in the reform of pension systems in Europe
    Economic Policy, 1999, 14, (29), 251-286 View citations
33. The hazards of mutual fund underperformance: A Cox regression analysis
    Journal of Empirical Finance, 1999, 6, (2), 121-152 View citations
    See also Working Paper (1998)

1996

34. Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning
    Review of Economic Studies, 1996, 63, (4), 523-57 View citations
    See also Working Paper (1996)
35. Variation in Expected Stock Returns: Evidence on the Pricing of Equities from a Cross-Section of UK Companies
    Economica, 1996, 63, (251), 369-82 View citations
    See also Working Paper (1995)

1995

36. Cointegration Tests of Present Value Models with a Time-Varying Discount Factor
    Journal of Applied Econometrics, 1995, 10, (1), 17-31 View citations
37. On the optimality of adaptive expectations: Muth revisited
    International Journal of Forecasting, 1995, 11, (3), 407-416 View citations
    See also Working Paper (1994)
38. Predictability of Stock Returns: Robustness and Economic Significance
    Journal of Finance, 1995, 50, (4), 1201-28 View citations
    See also Working Paper (1995)

1994

39. A generalization of the non-parametric Henriksson-Merton test of market timing
    Economics Letters, 1994, 44, (1-2), 1-7 View citations
    See also Working Paper (1992)
40. Can Agents Learn to Form Rational Expectations? Some Results on Convergence and Stability of Learning in the UK Stock Market
    Economic Journal, 1994, 104, (425), 777-97 View citations
41. Optimal properties of exponentially weighted forecasts in the presence of different information sources
    Economics Letters, 1994, 45, (2), 169-174
42. Present value models with feedback: Solutions, stability, bubbles, and some empirical evidence
    Journal of Economic Dynamics and Control, 1994, 18, (6), 1093-1119 View citations
43. Why do dividend yields forecast stock returns?
    Economics Letters, 1994, 46, (2), 149-158

1993

44. How Learning in Financial Markets Generates Excess Volatility and Predictability in Stock Prices
    The Quarterly Journal of Economics, 1993, 108, (4), 1135-45 View citations
45. Learning, Specification Search and Market Efficiency. With an Application to the Danish Stock Market
    Scandinavian Journal of Economics, 1993, 95, (2), 157-73 View citations

1992

46. A Simple Nonparametric Test of Predictive Performance
    Journal of Business & Economic Statistics, 1992, 10, (4), 561-65 View citations
    See also Working Paper (1990)