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Details about Allan Timmermann

E-mail:
Homepage:http://rady.ucsd.edu/faculty/directory/timmermann/
Phone:+1 858 534 0894
Postal address:University of California San Diego Rady School of Management, 9500 Gilman Drive La Jolla CA 92093-0553, USA
Workplace:Department of Economics, University of California-San Diego (UCSD), (more information at EDIRC)
Rady School of Management, University of California-San Diego (UCSD), (more information at EDIRC)
Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business), Aarhus Universitet (University of Aarhus), (more information at EDIRC)

Access statistics for papers by Allan Timmermann.

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Working Papers

2012

  1. Choice of Sample Split in Out-of-Sample Forecast Evaluation
    Economics Working Papers, European University Institute Downloads View citations (32)

2011

  1. Forecast Rationality Tests Based on Multi-Horizon Bounds
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
  2. Regime Changes and Financial Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (25)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) Downloads View citations (24)

2010

  1. Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average?
    Working Paper Series, European Central Bank Downloads View citations (10)
  2. Common Factors in Latin America’s Business Cycles
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    Also in IMF Working Papers, International Monetary Fund (2006) Downloads View citations (14)

    See also Journal Article in Journal of Development Economics (2011)
  3. Decentralized Investment Management: Evidence from the Pension Fund Industry
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads
  4. Forecast Combinations
    Working Papers, Banco de México Downloads View citations (14)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads View citations (12)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads View citations (14)

    See also Chapter (2006)
  5. Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    See also Journal Article in Journal of Financial Econometrics (2010)
  6. Variable Selection, Estimation and Inference for Multi-period Forecasting Problems
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2011)

2009

  1. Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  2. The performance of European equity mutual funds
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR)
  3. Variable Selection and Inference for Multi-period Forecasting Problems
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) Downloads
    CESifo Working Paper Series, CESifo Group Munich (2009) Downloads

2008

  1. Disagreement and Biases in Inflation Expectations
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (22)
    Also in Working Papers, Banco de México (2006) Downloads View citations (3)
    Computing in Economics and Finance 2006, Society for Computational Economics (2006) View citations (5)

    See also Journal Article in Journal of Money, Credit and Banking (2009)
  2. Forecast Combination With Entry and Exit of Experts
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in Working Papers, Banco de México (2006) Downloads View citations (107)

    See also Journal Article in Journal of Business & Economic Statistics (2009)
  3. Return Predictability under Equilibrium Constraints on the Equity Premium
    Working Papers, Brandeis University, Department of Economics and International Businesss School Downloads View citations (1)
  4. The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)

2007

  1. Economic Forecasting
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)
    See also Journal Article in Journal of Economic Literature (2008)
  2. Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (12)
    See also Journal Article in Journal of Econometrics (2009)
  3. Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
  4. Performance Measurement and Evaluation
    FMG Discussion Papers, Financial Markets Group Downloads View citations (2)

2006

  1. An Evaluation of the World Economic Outlook Forecasts
    IMF Working Papers, International Monetary Fund Downloads View citations (14)
    See also Journal Article in IMF Staff Papers (2007)
  2. Learning, Structural Instability and Present Value Calculations
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (6)
    Also in CESifo Working Paper Series, CESifo Group Munich (2006) Downloads View citations (1)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) Downloads View citations (29)
    Computing in Economics and Finance 2006, Society for Computational Economics (2006) Downloads View citations (1)
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2006) Downloads View citations (1)

    See also Journal Article in Econometric Reviews (2007)
  3. Testing Dependence Among Serially Correlated Multi-category Variables
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (1)
    Also in IZA Discussion Papers, Institute for the Study of Labor (IZA) (2006) Downloads View citations (1)
    CESifo Working Paper Series, CESifo Group Munich (2006) Downloads View citations (2)

    See also Journal Article in Journal of the American Statistical Association (2009)

2005

  1. Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) Downloads View citations (9)
    See also Journal Article in Journal of Finance (2006)
  2. Relative Performance Evaluation Contracts and Asset Market Equilibrium
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics Downloads View citations (10)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) Downloads View citations (2)
    Finance, EconWPA (2004) Downloads
    Finance, EconWPA (2004) Downloads View citations (2)

    See also Journal Article in Economic Journal (2005)
  3. 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

  1. Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?
    Econometric Society 2004 North American Summer Meetings, Econometric Society Downloads View citations (14)
    See also Journal Article in Journal of the European Economic Association (2008)
  2. Country and Industry Dynamics in Stock Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  3. Forecasting Time Series Subject to Multiple Structural Breaks
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (20)
    Also in IZA Discussion Papers, Institute for the Study of Labor (IZA) (2004) Downloads View citations (12)
    CESifo Working Paper Series, CESifo Group Munich (2004) Downloads View citations (12)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (27)
  4. Optimal Forecast Combination Under Regime Switching
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    See also Journal Article in International Economic Review (2005)
  5. Properties of Optimal Forecasts
    Econometric Society 2004 North American Winter Meetings, Econometric Society Downloads View citations (6)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) Downloads View citations (12)
  6. Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity
    Working Papers, Warwick Business School, Finance Group Downloads View citations (5)
    See also Journal Article in Journal of Econometrics (2007)
  7. Real Time Econometrics
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)
    Also in CESifo Working Paper Series, CESifo Group Munich (2004) Downloads View citations (4)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) Downloads View citations (6)
    IZA Discussion Papers, Institute for the Study of Labor (IZA) (2004) Downloads View citations (5)

    See also Journal Article in Econometric Theory (2005)
  8. Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (9)
    Also in CESifo Working Paper Series, CESifo Group Munich (2003) Downloads
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2005)
  9. Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (10)
  10. Term Structure of Risk Under Alternative Econometric Specifications
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2006)

2003

  1. Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (10)

    See also Journal Article in Journal of Business & Economic Statistics (2004)
  2. Economic Implications of Bull and Bear Regimes in UK Stock Returns
    Royal Economic Society Annual Conference 2003, Royal Economic Society Downloads
  3. Estimating Loss Function Parameters
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (11)
  4. 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 Downloads View citations (3)
    Also in CESifo Working Paper Series, CESifo Group Munich (2003) Downloads View citations (4)

    See also Journal Article in International Journal of Forecasting (2004)

2002

  1. (UBS Pensions Series 2) International Asset Allocation with Time-Varying Investment Opportunities
    FMG Discussion Papers, Financial Markets Group Downloads
  2. (UBS Pensions Series 3) Performance Clustering and Incentives in the UK Pension Fund Industry
    FMG Discussion Papers, Financial Markets Group Downloads View citations (8)
  3. (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 Downloads
  4. Efficient Market Hypothesis and Forecasting
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    See also Journal Article in International Journal of Forecasting (2004)
  5. 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 Downloads View citations (5)
  6. International Asset Allocation with Time-Varying Investment Opportunities
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    See also Journal Article in The Journal of Business (2005)
  7. Market Timing and Return Prediction under Model Instability
    FMG Discussion Papers, Financial Markets Group Downloads View citations (100)
    See also Journal Article in Journal of Empirical Finance (2002)
  8. 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 Downloads View citations (5)
    See also Journal Article in Journal of Econometrics (2004)

2001

  1. Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities
    Working Papers, Quebec a Montreal - Recherche en gestion View citations (68)
    Also in FMG Discussion Papers, Financial Markets Group (2000) Downloads View citations (2)
    Working Paper Series, European Central Bank (2001) Downloads View citations (60)

    See also Journal Article in Journal of Econometrics (2001)
  2. Forecast Evaluation with Shared Data Sets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    See also Journal Article in International Journal of Forecasting (2003)
  3. Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in FMG Discussion Papers, Financial Markets Group (2001) Downloads View citations (4)

    See also Journal Article in Journal of Economic Dynamics and Control (2003)
  4. 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 (5)
  5. Structural Breaks, Incomplete Information and Stock Prices
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (35)
    Also in FMG Discussion Papers, Financial Markets Group (1998) Downloads

    See also Journal Article in Journal of Business & Economic Statistics (2001)

2000

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

1999

  1. A Recursive Modelling Approach to Predicting UK Stock Returns
    FMG Discussion Papers, Financial Markets Group Downloads
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1996) View citations (4)

    See also Journal Article in Economic Journal (2000)
  2. Firm Size and Cyclical Variations in Stock Returns
    FMG Discussion Papers, Financial Markets Group Downloads View citations (4)
    See also Journal Article in Journal of Finance (2000)
  3. Model Instability and Choice of Observation Window
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (6)
  4. Moments of Markov Switching Models
    FMG Discussion Papers, Financial Markets Group Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2000)

1998

  1. 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 Downloads View citations (7)
  2. Data-Snooping, Technical Trading Rule Performance and the Bootstrap
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (17)
    Also in FMG Discussion Papers, Financial Markets Group (1998) Downloads View citations (29)

    See also Journal Article in Journal of Finance (1999)
  3. The Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns
    FMG Discussion Papers, Financial Markets Group Downloads View citations (6)
  4. 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 Downloads
    Also in FMG Discussion Papers, Financial Markets Group (1998) Downloads View citations (1)

    See also Journal Article in Journal of Empirical Finance (1999)

1997

  1. Performance Measurement using Multiple Asset Class Portfolio Data
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)

1995

  1. The Use of Recursive Model Selection Strategies in Forecasting Stock Returns
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge

1992

  1. 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)
  2. Forecasting Stock Returns
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)

1990

  1. A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE
    Working Papers, California Los Angeles - Applied Econometrics View citations (9)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990) View citations (10)

    See also Journal Article in Journal of Business & Economic Statistics (1992)
  2. THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXCESS RETURNS ON COMMON STOCKS
    Working Papers, California Los Angeles - Applied Econometrics View citations (1)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990)

Journal Articles

2011

  1. Annals issue on forecasting--Guest editors' introduction
    Journal of Econometrics, 2011, 164, (1), 1-3 Downloads
  2. Common factors in Latin America's business cycles
    Journal of Development Economics, 2011, 95, (2), 212-228 Downloads View citations (13)
    See also Working Paper (2010)
  3. Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach
    Journal of Business & Economic Statistics, 2011, 29, (3), 397-410 Downloads View citations (6)
  4. Predictability of stock returns and asset allocation under structural breaks
    Journal of Econometrics, 2011, 164, (1), 60-78 Downloads View citations (47)
  5. Variable selection, estimation and inference for multi-period forecasting problems
    Journal of Econometrics, 2011, 164, (1), 173-187 Downloads View citations (34)
    See also Working Paper (2010)

2010

  1. Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts
    Journal of Financial Economics, 2010, 98, (3), 605-625 Downloads View citations (24)
  2. Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability
    Journal of Financial Econometrics, 2010, 8, (3), 305-334 Downloads View citations (1)
    See also Working Paper (2010)
  3. Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion
    Journal of Monetary Economics, 2010, 57, (7), 803-820 Downloads View citations (60)

2009

  1. Disagreement and Biases in Inflation Expectations
    Journal of Money, Credit and Banking, 2009, 41, (2-3), 365-396 Downloads View citations (64)
    See also Working Paper (2008)
  2. Forecast Combination With Entry and Exit of Experts
    Journal of Business & Economic Statistics, 2009, 27, (4), 428-440 Downloads View citations (31)
    See also Working Paper (2008)
  3. Forecasts of US short-term interest rates: A flexible forecast combination approach
    Journal of Econometrics, 2009, 150, (2), 297-311 Downloads View citations (30)
    See also Working Paper (2007)
  4. Testing Dependence Among Serially Correlated Multicategory Variables
    Journal of the American Statistical Association, 2009, 104, (485), 325-337 Downloads View citations (70)
    See also Working Paper (2006)

2008

  1. Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?
    Journal of the European Economic Association, 2008, 6, (1), 122-157 Downloads View citations (78)
    See also Working Paper (2004)
  2. Economic Forecasting
    Journal of Economic Literature, 2008, 46, (1), 3-56 Downloads View citations (102)
    See also Working Paper (2007)
  3. Elusive return predictability
    International Journal of Forecasting, 2008, 24, (1), 1-18 Downloads View citations (43)
  4. International asset allocation under regime switching, skew, and kurtosis preferences
    Review of Financial Studies, 2008, 21, (2), 889-935 Downloads View citations (76)
  5. Reply to the discussion of Elusive Return Predictability
    International Journal of Forecasting, 2008, 24, (1), 29-30 Downloads View citations (25)
  6. Size and Value Anomalies under Regime Shifts
    Journal of Financial Econometrics, 2008, 6, (1), 1-48 Downloads View citations (22)

2007

  1. An Evaluation of the World Economic Outlook Forecasts
    IMF Staff Papers, 2007, 54, (1), 1-33 Downloads View citations (35)
    See also Working Paper (2006)
  2. Asset allocation under multivariate regime switching
    Journal of Economic Dynamics and Control, 2007, 31, (11), 3503-3544 Downloads View citations (93)
  3. Learning, Structural Instability, and Present Value Calculations
    Econometric Reviews, 2007, 26, (2-4), 253-288 Downloads View citations (7)
    See also Working Paper (2006)
  4. Properties of equilibrium asset prices under alternative learning schemes
    Journal of Economic Dynamics and Control, 2007, 31, (1), 161-217 Downloads View citations (18)
  5. Properties of optimal forecasts under asymmetric loss and nonlinearity
    Journal of Econometrics, 2007, 140, (2), 884-918 Downloads View citations (48)
    See also Working Paper (2004)
  6. Selection of estimation window in the presence of breaks
    Journal of Econometrics, 2007, 137, (1), 134-161 Downloads View citations (136)
  7. Testing Forecast Optimality Under Unknown Loss
    Journal of the American Statistical Association, 2007, 102, 1172-1184 Downloads View citations (57)

2006

  1. An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns
    Journal of Applied Econometrics, 2006, 21, (1), 1-22 Downloads View citations (87)
  2. Can Mutual Fund "Stars" Really Pick Stocks? New Evidence from a Bootstrap Analysis
    Journal of Finance, 2006, 61, (6), 2551-2595 Downloads View citations (133)
    See also Working Paper (2005)
  3. Instability of return prediction models
    Journal of Empirical Finance, 2006, 13, (3), 274-315 Downloads View citations (95)
  4. Persistence in forecasting performance and conditional combination strategies
    Journal of Econometrics, 2006, 135, (1-2), 31-53 Downloads View citations (90)
  5. Term structure of risk under alternative econometric specifications
    Journal of Econometrics, 2006, 131, (1-2), 285-308 Downloads View citations (50)
    See also Working Paper (2004)

2005

  1. Completion time structures of stock price movements
    Annals of Finance, 2005, 1, (3), 293-326 Downloads View citations (5)
  2. Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns
    Economic Journal, 2005, 115, (500), 111-143 Downloads View citations (82)
  3. International Asset Allocation with Time-Varying Investment Opportunities
    The Journal of Business, 2005, 78, (1), 71-98 Downloads View citations (12)
    See also Working Paper (2002)
  4. OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING *
    International Economic Review, 2005, 46, (4), 1081-1102 Downloads View citations (27)
    See also Working Paper (2004)
  5. REAL-TIME ECONOMETRICS
    Econometric Theory, 2005, 21, (01), 212-231 Downloads View citations (21)
    See also Working Paper (2004)
  6. Relative Performance Evaluation Contracts and Asset Market Equilibrium
    Economic Journal, 2005, 115, (506), 1077-1102 Downloads View citations (14)
    See also Working Paper (2005)
  7. Small sample properties of forecasts from autoregressive models under structural breaks
    Journal of Econometrics, 2005, 129, (1-2), 183-217 Downloads View citations (87)
    See also Working Paper (2004)

2004

  1. Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets
    Journal of Business & Economic Statistics, 2004, 22, 253-273 Downloads View citations (49)
    See also Working Paper (2003)
  2. Efficient market hypothesis and forecasting
    International Journal of Forecasting, 2004, 20, (1), 15-27 Downloads View citations (75)
    See also Working Paper (2002)
  3. How costly is it to ignore breaks when forecasting the direction of a time series?
    International Journal of Forecasting, 2004, 20, (3), 411-425 Downloads View citations (56)
    See also Working Paper (2003)
  4. Optimal forecast combinations under general loss functions and forecast error distributions
    Journal of Econometrics, 2004, 122, (1), 47-79 Downloads View citations (63)
    See also Working Paper (2002)

2003

  1. Forecast evaluation with shared data sets
    International Journal of Forecasting, 2003, 19, (2), 217-227 Downloads View citations (16)
    See also Working Paper (2001)
  2. Option prices under Bayesian learning: implied volatility dynamics and predictive densities
    Journal of Economic Dynamics and Control, 2003, 27, (5), 717-769 Downloads View citations (34)
    See also Working Paper (2001)
  3. Recursive Modeling of Nonlinear Dynamics in UK Stock Returns
    Manchester School, 2003, 71, (4), 381-395 Downloads View citations (12)

2002

  1. Market timing and return prediction under model instability
    Journal of Empirical Finance, 2002, 9, (5), 495-510 Downloads View citations (97)
    See also Working Paper (2002)

2001

  1. Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities
    Journal of Econometrics, 2001, 103, (1-2), 259-306 Downloads View citations (64)
    See also Working Paper (2001)
  2. Dangers of data mining: The case of calendar effects in stock returns
    Journal of Econometrics, 2001, 105, (1), 249-286 Downloads View citations (52)
  3. Structural Breaks, Incomplete Information, and Stock Prices
    Journal of Business & Economic Statistics, 2001, 19, (3), 299-314 View citations (45)
    See also Working Paper (2001)

2000

  1. A Recursive Modelling Approach to Predicting UK Stock Returns
    Economic Journal, 2000, 110, (460), 159-91 Downloads View citations (88)
    See also Working Paper (1999)
  2. Firm Size and Cyclical Variations in Stock Returns
    Journal of Finance, 2000, 55, (3), 1229-1262 Downloads View citations (173)
    See also Working Paper (1999)
  3. Moments of Markov switching models
    Journal of Econometrics, 2000, 96, (1), 75-111 Downloads View citations (103)
    See also Working Paper (1999)

1999

  1. Asset Allocation Dynamics and Pension Fund Performance
    The Journal of Business, 1999, 72, (4), 429-61 Downloads View citations (60)
  2. Data mining with local model specification uncertainty: a discussion of Hoover and Perez
    Econometrics Journal, 1999, 2, (2), 220-225 View citations (7)
  3. Data-Snooping, Technical Trading Rule Performance, and the Bootstrap
    Journal of Finance, 1999, 54, (5), 1647-1691 Downloads View citations (164)
    See also Working Paper (1998)
  4. Risk sharing and transition costs in the reform of pension systems in Europe
    Economic Policy, 1999, 14, (29), 251-286 Downloads View citations (32)
  5. The hazards of mutual fund underperformance: A Cox regression analysis
    Journal of Empirical Finance, 1999, 6, (2), 121-152 Downloads View citations (25)
    See also Working Paper (1998)

1996

  1. Variation in Expected Stock Returns: Evidence on the Pricing of Equities from a Cross-Section of UK Companies
    Economica, 1996, 63, (251), 369-82 Downloads View citations (11)

1995

  1. Cointegration Tests of Present Value Models with a Time-Varying Discount Factor
    Journal of Applied Econometrics, 1995, 10, (1), 17-31 Downloads View citations (18)
  2. On the optimality of adaptive expectations: Muth revisited
    International Journal of Forecasting, 1995, 11, (3), 407-416 Downloads View citations (9)
  3. Predictability of Stock Returns: Robustness and Economic Significance
    Journal of Finance, 1995, 50, (4), 1201-28 Downloads View citations (265)

1994

  1. A generalization of the non-parametric Henriksson-Merton test of market timing
    Economics Letters, 1994, 44, (1-2), 1-7 Downloads View citations (34)
    See also Working Paper (1992)
  2. 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 Downloads View citations (9)
  3. Optimal properties of exponentially weighted forecasts in the presence of different information sources
    Economics Letters, 1994, 45, (2), 169-174 Downloads
  4. Present value models with feedback: Solutions, stability, bubbles, and some empirical evidence
    Journal of Economic Dynamics and Control, 1994, 18, (6), 1093-1119 Downloads View citations (13)
  5. Why do dividend yields forecast stock returns?
    Economics Letters, 1994, 46, (2), 149-158 Downloads View citations (1)

1993

  1. Learning, Specification Search and Market Efficiency. With an Application to the Danish Stock Market
    Scandinavian Journal of Economics, 1993, 95, (2), 157-73

1992

  1. A Simple Nonparametric Test of Predictive Performance
    Journal of Business & Economic Statistics, 1992, 10, (4), 561-65 View citations (257)
    See also Working Paper (1990)

Books

Edited books

2006

  1. Handbook of Economic Forecasting, vol 1
    Handbook of Economic Forecasting, Elsevier Downloads View citations (76)

Chapters

2006

  1. Forecast Combinations
    Elsevier Downloads View citations (207)
    See also Working Paper (2010)

Editor

  1. Handbook of Economic Forecasting
    Elsevier
  2. Handbook of Economic Forecasting
    Elsevier
 
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