43
H index
67
i10 index
6117
Citations
Allan Timmermann : Citation Profile
University of California-San Diego (UCSD) (34% share) | RESEARCH PRODUCTION: 63 Articles 105 Papers 1 Chapters EDITOR: RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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22 years (1990 - 2012). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Allan Timmermann. | Is cited by:
| Cites to:
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Main data
Where Allan Timmermann has published?
Recent works citing Allan Timmermann (2018 and 2017)
| Year | Title of citing document | |
|---|---|---|
| 2017 | Picking Funds with Confidence. (2017). Timmermann, Allan ; Lunde, Asger ; Gronborg, Niels S ; Wermers, Russ. In: CREATES Research Papers. RePEc:aah:create:2017-13. Full description at Econpapers || Download paper | |
| 2017 | Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19. Full description at Econpapers || Download paper | |
| 2018 | Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-13. Full description at Econpapers || Download paper | |
| 2018 | Time-varying parameters: New test tailored to applications in finance and macroeconomics. (2018). Davidson, Russell ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-22. Full description at Econpapers || Download paper | |
| 2018 | Forecasters’ utility and forecast coherence. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-23. Full description at Econpapers || Download paper | |
| 2018 | Mutual Fund Selection for Realistically Short Samples. (2018). Christiansen, Charlotte ; Nielsen, Ole L ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-36. Full description at Econpapers || Download paper | |
| 2019 | Assessing predictive accuracy in panel data models with long-range dependence. (2019). Christensen, Bent Jesper ; Borup, Daniel ; Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2019-04. Full description at Econpapers || Download paper | |
| 2019 | Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors. (2019). Hillebrand, Eric ; Koopman, Siem Jan ; Bennedsen, Mikkel. In: CREATES Research Papers. RePEc:aah:create:2019-21. Full description at Econpapers || Download paper | |
| 2020 | On bootstrapping tests of equal forecast accuracy for nested models. (2020). Haque, Qazi ; Doko Tchatoka, Firmin. In: School of Economics Working Papers. RePEc:adl:wpaper:2020-03. Full description at Econpapers || Download paper | |
| 2017 | The Social Cost of Near-Rational Investment. (2017). Hassan, Tarek ; Mertens, Thomas M. In: American Economic Review. RePEc:aea:aecrev:v:107:y:2017:i:4:p:1059-1103. Full description at Econpapers || Download paper | |
| 2017 | Twenty Years of Time Series Econometrics in Ten Pictures. (2017). Watson, Mark ; Stock, James H. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:31:y:2017:i:2:p:59-86. Full description at Econpapers || Download paper | |
| 2018 | Does exchange rate always affect the number of inbound tourists significantly in China?. (2018). Su, Chi-Wei ; Chang, Hsu-Ling ; Gao, Xue. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(614):y:2018:i:1(614):p:55-72. Full description at Econpapers || Download paper | |
| 2017 | Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers. (2017). Manera, Matteo ; Galeotti, Marzio ; Bastianin, Andrea. In: Economic Theory and Applications Working Papers. RePEc:ags:feemet:253725. Full description at Econpapers || Download paper | |
| 2020 | Beating the naive: Combining LASSO with naive intraday electricity price forecasts. (2020). Weron, Rafał ; Uniejewski, Bartosz ; Marcjasz, Grzegorz. In: WORking papers in Management Science (WORMS). RePEc:ahh:wpaper:worms2001. Full description at Econpapers || Download paper | |
| 2020 | PCA forecast averaging - predicting day-ahead and intraday electricity prices. (2020). Uniejewski, Bartosz ; Serafin, Tomasz ; Maciejowska, Katarzyna. In: WORking papers in Management Science (WORMS). RePEc:ahh:wpaper:worms2002. Full description at Econpapers || Download paper | |
| 2018 | BUBBLES IN THE PRICES OF HOUSING? EVIDENCE TO BRAZIL?S ECONOMY. (2018). Silva, Marcelo ; da Nobrega, Cassio ; Paes, Nelson Leito. In: Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting]. RePEc:anp:en2016:118. Full description at Econpapers || Download paper | |
| 2018 | Measuring Investor Sentiment. (2018). Zhou, Guofu. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:10:y:2018:p:239-259. Full description at Econpapers || Download paper | |
| 2018 | Forecasting Methods in Finance. (2018). Timmermann, Allan. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:10:y:2018:p:449-479. Full description at Econpapers || Download paper | |
| 2018 | Provision for Bad & Doubtful Financing and Contingency Reserve Management: Assessing Resilient and Stable Islamic Banks. (2018). Ahmad, Asmalia Che ; Kamsi, Nor Samsinar ; Abd, Farrah Dina ; Nasir, Noormahayu Mohd ; Abu, Mohd Afandi. In: The Journal of Social Sciences Research. RePEc:arp:tjssrr:2018:p:621-627. Full description at Econpapers || Download paper | |
| 2018 | Trading Performance Analysis: A Comparisons Between the Original MA Crossover and Modified MA Crossover Strategy. (2018). Chuen, Yean Soh ; Hamzah, Ahmad Husni ; Yaacob, Mohd Hasimi ; Tapa, Afiruddin. In: The Journal of Social Sciences Research. RePEc:arp:tjssrr:2018:p:933-941. Full description at Econpapers || Download paper | |
| 2018 | Frequentist size of Bayesian inequality tests. (2018). Kaplan, David ; Zhuo, Longhao. In: Papers. RePEc:arx:papers:1607.00393. Full description at Econpapers || Download paper | |
| 2017 | How Wave - Wavelet Trading Wins and Beats the Market. (2017). Tran, Lanh . In: Papers. RePEc:arx:papers:1704.00383. Full description at Econpapers || Download paper | |
| 2017 | Residual Value Forecasting Using Asymmetric Cost Functions. (2017). von Mettenheim, Hans-Jörg ; Lessmann, Stefan ; Dress, Korbinian . In: Papers. RePEc:arx:papers:1707.02736. Full description at Econpapers || Download paper | |
| 2019 | Forecasting dynamic return distributions based on ordered binary choice. (2019). BarunÃk, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681. Full description at Econpapers || Download paper | |
| 2019 | A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2019). Pigato, Paolo ; Lejay, Antoine. In: Papers. RePEc:arx:papers:1712.08329. Full description at Econpapers || Download paper | |
| 2018 | Generalized Information Ratio. (2018). He, Zhongzhi Lawrence. In: Papers. RePEc:arx:papers:1803.01381. Full description at Econpapers || Download paper | |
| 2018 | Large-Scale Dynamic Predictive Regressions. (2018). Bianchi, Daniele ; McAlinn, Kenichiro. In: Papers. RePEc:arx:papers:1803.06738. Full description at Econpapers || Download paper | |
| 2018 | Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers. (2018). Manera, Matteo ; Galeotti, Marzio ; Bastianin, Andrea. In: Papers. RePEc:arx:papers:1804.08315. Full description at Econpapers || Download paper | |
| 2018 | Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1805.03807. Full description at Econpapers || Download paper | |
| 2019 | The Evolution of Security Prices Is Not Stochastic but Governed by a Physicomathematical Law. (2019). Tzara, Wally. In: Papers. RePEc:arx:papers:1807.10114. Full description at Econpapers || Download paper | |
| 2018 | Using Stock Prices as Ground Truth in Sentiment Analysis to Generate Profitable Trading Signals. (2018). Cliff, Dave ; Birbeck, Ellie. In: Papers. RePEc:arx:papers:1811.02886. Full description at Econpapers || Download paper | |
| 2018 | How does stock market volatility react to oil shocks?. (2018). Manera, Matteo ; Bastianin, Andrea. In: Papers. RePEc:arx:papers:1811.03820. Full description at Econpapers || Download paper | |
| 2019 | Technical Analysis and Discrete False Discovery Rate: Evidence from MSCI Indices. (2019). Psaradellis, Ioannis ; Stasinakis, Charalampos ; Hassanniakalager, Arman ; Sermpinis, Georgios. In: Papers. RePEc:arx:papers:1811.06766. Full description at Econpapers || Download paper | |
| 2018 | The value of forecasts: Quantifying the economic gains of accurate quarter-hourly electricity price forecasts. (2018). Ziel, Florian ; Kath, Christopher. In: Papers. RePEc:arx:papers:1811.08604. Full description at Econpapers || Download paper | |
| 2018 | Quantification of market efficiency based on informational-entropy. (2018). Rothenstein, Roland . In: Papers. RePEc:arx:papers:1812.02371. Full description at Econpapers || Download paper | |
| 2018 | Robust Tests for Convergence Clubs. (2018). Yazgan, Ege ; Stengos, Thanasis ; Corrado, Luisa ; Weeks, Melvyn . In: Papers. RePEc:arx:papers:1812.09518. Full description at Econpapers || Download paper | |
| 2020 | On the bail-out dividend problem for spectrally negative Markov additive models. (2019). Yu, Xiang ; Jos'e-Luis P'erez, ; Noba, Kei. In: Papers. RePEc:arx:papers:1901.03021. Full description at Econpapers || Download paper | |
| 2019 | A novel dynamic asset allocation system using Feature Saliency Hidden Markov models for smart beta investing. (2019). Keane, John ; Zeng, Xiao-Jun ; Yau, Jeffrey ; Dawson, Paula ; Fons, Elizabeth. In: Papers. RePEc:arx:papers:1902.10849. Full description at Econpapers || Download paper | |
| 2019 | Forecasting in Big Data Environments: an Adaptable and Automated Shrinkage Estimation of Neural Networks (AAShNet). (2019). Maasoumi, Esfandiar ; Habibnia, Ali. In: Papers. RePEc:arx:papers:1904.11145. Full description at Econpapers || Download paper | |
| 2019 | Avoiding Backtesting Overfitting by Covariance-Penalties: an empirical investigation of the ordinary and total least squares cases. (2019). Firoozye, Nick ; Koshiyama, Adriano. In: Papers. RePEc:arx:papers:1905.05023. Full description at Econpapers || Download paper | |
| 2019 | Bayesian nonparametric graphical models for time-varying parameters VAR. (2019). Rossini, Luca ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:1906.02140. Full description at Econpapers || Download paper | |
| 2019 | Forecast Encompassing Tests for the Expected Shortfall. (2019). Schnaitmann, Julie ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1908.04569. Full description at Econpapers || Download paper | |
| 2019 | PAGAN: Portfolio Analysis with Generative Adversarial Networks. (2019). Cristiano, A ; Bekas, Costas ; Istrate, Roxana ; Scheidegger, Florian ; Li, Jianbo ; Zhu, Yada ; Mariani, Giovanni. In: Papers. RePEc:arx:papers:1909.10578. Full description at Econpapers || Download paper | |
| 2019 | Implied volatility surface predictability: the case of commodity markets. (2019). Shang, Han Lin ; Sheenan, Lisa ; Kearney, Fearghal. In: Papers. RePEc:arx:papers:1909.11009. Full description at Econpapers || Download paper | |
| 2019 | Boosting High Dimensional Predictive Regressions with Time Varying Parameters. (2019). Ng, Serena ; Yousuf, Kashif. In: Papers. RePEc:arx:papers:1910.03109. Full description at Econpapers || Download paper | |
| 2019 | Forecasting under Long Memory and Nonstationarity. (2019). Hassler, Uwe ; Pohle, Marc-Oliver. In: Papers. RePEc:arx:papers:1910.08202. Full description at Econpapers || Download paper | |
| 2019 | Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545. Full description at Econpapers || Download paper | |
| 2019 | Structural stability of infinite-order regression. (2019). SEO, MYUNG HWAN ; Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:1911.08637. Full description at Econpapers || Download paper | |
| 2019 | Adaptive Dynamic Model Averaging with an Application to House Price Forecasting. (2019). Pavlidis, Efthymios ; Yusupova, Alisa . In: Papers. RePEc:arx:papers:1912.04661. Full description at Econpapers || Download paper | |
| 2019 | Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism. (2019). Zhang, Zili ; Chen, Shengli. In: Papers. RePEc:arx:papers:1912.11059. Full description at Econpapers || Download paper | |
| 2019 | Focused Bayesian Prediction. (2019). Frazier, David T ; Martin, Gael M ; Loaiza-Maya, Ruben. In: Papers. RePEc:arx:papers:1912.12571. Full description at Econpapers || Download paper | |
| 2020 | Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598. Full description at Econpapers || Download paper | |
| 2020 | Equal risk option pricing with deep reinforcement learning. (2020). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2002.08492. Full description at Econpapers || Download paper | |
| 2020 | Time-varying neural network for stock return prediction. (2020). , Richard ; Azizi, Lamiae ; Chan, Jennifer ; Steven, . In: Papers. RePEc:arx:papers:2003.02515. Full description at Econpapers || Download paper | |
| 2020 | Machine Learning Algorithms for Financial Asset Price Forecasting. (2020). Ndikum, Philip. In: Papers. RePEc:arx:papers:2004.01504. Full description at Econpapers || Download paper | |
| 2019 | Regime-Dependent Effects on Stock Market Return Dynamics: Evidence from SAARC Countries. (2019). Mustafa, Khalid ; Ahmed, Zobia Israr. In: Asian Development Policy Review. RePEc:asi:adprev:2019:p:111-132. Full description at Econpapers || Download paper | |
| 2020 | Forecasting GDP growth from outer space. (2020). Galimberti, Jaqueson. In: Working Papers. RePEc:aut:wpaper:202002. Full description at Econpapers || Download paper | |
| 2017 | Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence*. (2017). Guidolin, Massimo ; Chincoli, Francesco . In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1754. Full description at Econpapers || Download paper | |
| 2017 | Volatility as an Alternative asset Class: Does It Improve Portfolio Performance?. (2017). Guidolin, Massimo ; Caloiero, Elvira. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1763. Full description at Econpapers || Download paper | |
| 2018 | Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds Alphas?. (2018). Guidolin, Massimo ; Pedio, Manuela ; Berglund, Alexander. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1884. Full description at Econpapers || Download paper | |
| 2018 | Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence. (2018). Guidolin, Massimo ; Orlov, Alexei G. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1887. Full description at Econpapers || Download paper | |
| 2018 | Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence. (2018). Guidolin, Massimo ; Orlov, Alexei. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1890. Full description at Econpapers || Download paper | |
| 2019 | Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19106. Full description at Econpapers || Download paper | |
| 2019 | The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis. (2019). Guidolin, Massimo ; Petrova, Milena ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19122. Full description at Econpapers || Download paper | |
| 2019 | Dynamic Responses of the Economy to Monetary Shocks in the United Kingdom. (2019). Raffiee, Kambiz ; Baade, Hannah ; Adrangi, Bahram. In: Review of Economics & Finance. RePEc:bap:journl:190104. Full description at Econpapers || Download paper | |
| 2019 | Stock Market Cycle and Business Cycle in China: Evidence from a Bootstrap Rolling Window Approach. (2019). Bai, LU ; Li, Yi-Na. In: Review of Economics & Finance. RePEc:bap:journl:190303. Full description at Econpapers || Download paper | |
| 2017 | Markov-Switching Three-Pass Regression Filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre. In: Staff Working Papers. RePEc:bca:bocawp:17-13. Full description at Econpapers || Download paper | |
| 2018 | Evaluating the Bank of Canada Staff Economic Projections Using a New Database of Real-Time Data and Forecasts. (2018). Champagne, Julien ; Sekkel, Rodrigo ; Poulin-Bellisle, Guillaume. In: Staff Working Papers. RePEc:bca:bocawp:18-52. Full description at Econpapers || Download paper | |
| 2019 | Central Bank Communication That Works: Lessons from Lab Experiments. (2019). Kryvtsov, Oleksiy ; Petersen, Luba. In: Staff Working Papers. RePEc:bca:bocawp:19-21. Full description at Econpapers || Download paper | |
| 2017 | Empirical Findings on Inflation Expectations in Brazil: a survey. (2017). Gaglianone, Wagner. In: Working Papers Series. RePEc:bcb:wpaper:464. Full description at Econpapers || Download paper | |
| 2017 | A suite of inflation forecasting models. (2017). Alvarez, Luis ; Sanchez, Isabel. In: Occasional Papers. RePEc:bde:opaper:1703. Full description at Econpapers || Download paper | |
| 2017 | Monetary policy, stock market and sectoral comovement. (2017). Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre. In: Working Papers. RePEc:bde:wpaper:1731. Full description at Econpapers || Download paper | |
| 2017 | Markov-switching three-pass regression filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; Guérin, Pierre. In: Working Papers. RePEc:bde:wpaper:1748. Full description at Econpapers || Download paper | |
| 2017 | Optimal density forecast combinations. (2017). Ganics, Gergely. In: Working Papers. RePEc:bde:wpaper:1751. Full description at Econpapers || Download paper | |
| 2018 | Nowcasting private consumption: traditional indicators, uncertainty measures, credit cards and some internet data. (2018). Urtasun, Alberto ; Sanchez Fuentes, Antonio Jesus ; Pérez, Javier ; Perez, Javier J ; Gil, Maria. In: Working Papers. RePEc:bde:wpaper:1842. Full description at Econpapers || Download paper | |
| 2019 | From fixed-event to fixed-horizon density forecasts: obtaining measures of multi-horizon uncertainty from survey density forecasts. (2019). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: Working Papers. RePEc:bde:wpaper:1947. Full description at Econpapers || Download paper | |
| 2018 | Macroeconomics determinants of the correlation between stocks and bonds. (2018). Pericoli, Marcello. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1198_18. Full description at Econpapers || Download paper | |
| 2020 | Asymmetry in the conditional distribution of euro-area inflation. (2020). Tagliabracci, Alex. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1270_20. Full description at Econpapers || Download paper | |
| 2020 | From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multi-Horizon Uncertainty from Survey Density Forecasts. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: Working Papers. RePEc:bge:wpaper:1142. Full description at Econpapers || Download paper | |
| 2019 | Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2019). Rossi, Barbara. In: Working Papers. RePEc:bge:wpaper:1162. Full description at Econpapers || Download paper | |
| 2020 | Optimal Policy Perturbations. (2020). Mesters, Geert ; Barnichon, Regis. In: Working Papers. RePEc:bge:wpaper:1171. Full description at Econpapers || Download paper | |
| 2018 | Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M. In: BIS Papers. RePEc:bis:bisbps:95. Full description at Econpapers || Download paper | |
| 2017 | The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?. (2017). Moessner, Richhild ; Funke, Michael ; Loermann, Julius. In: BIS Working Papers. RePEc:bis:biswps:652. Full description at Econpapers || Download paper | |
| 2017 | Asset prices and macroeconomic outcomes: a survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: BIS Working Papers. RePEc:bis:biswps:676. Full description at Econpapers || Download paper | |
| 2019 | Forecasting Quarterly Russian GDP Growth with Mixed-Frequency Data. (2019). Mikosch, Heiner ; Solanko, Laura. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:78:y:2019:i:1:p:19-35. Full description at Econpapers || Download paper | |
| 2018 | When are credit gap estimates reliable?. (2018). Ponomarenko, Alexey ; Deryugina, Elena ; Rozhkova, Anna. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps34. Full description at Econpapers || Download paper | |
| 2017 | Firm life cycle, corporate risk-taking and investor sentiment. (2017). Habib, Ahsan ; Hasan, Mostafa Monzur. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:2:p:465-497. Full description at Econpapers || Download paper | |
| 2018 | Dividend persistence and dividend behaviour. (2018). Chan, Kam Fong ; Smith, Tom ; Shi, Jing ; Powell, John G. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:1:p:127-147. Full description at Econpapers || Download paper | |
| 2018 | A new perspective on performance persistence: evidence using portfolio holdings. (2018). Bennett, Scott ; Warren, Geoffrey J ; Harman, Graham ; Gallagher, David R. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:1:p:91-125. Full description at Econpapers || Download paper | |
| 2018 | Out‐of‐sample stock return predictability in emerging markets. (2018). Bahrami, Afsaneh ; Uylangco, Katherine ; Shamsuddin, Abul. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:3:p:727-750. Full description at Econpapers || Download paper | |
| 2018 | Improving equity premium forecasts by incorporating structural break uncertainty. (2018). Tian, Jing ; Zhou, Qing. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:619-656. Full description at Econpapers || Download paper | |
| 2019 | Performance attribution of mutual funds in India: outperformance or mis‐representation?. (2019). Chauhan, Gaurav Singh. In: Accounting and Finance. RePEc:bla:acctfi:v:59:y:2019:i:s1:p:383-409. Full description at Econpapers || Download paper | |
| 2018 | Predictive Power of us Monetary Policy Uncertainty Shock on Stock Returns in Australia and New Zealand. (2018). Cai, Yifei. In: Australian Economic Papers. RePEc:bla:ausecp:v:57:y:2018:i:4:p:470-488. Full description at Econpapers || Download paper | |
| 2017 | OUTPUT GROWTH AND STRUCTURAL REFORM IN LATIN AMERICA: HAVE BUSINESS CYCLES CHANGED?. (2017). Fossati, Sebastian. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:35:y:2017:i:1:p:62-75. Full description at Econpapers || Download paper | |
| 2018 | EUROPEAN CENTRAL BANK FOOTPRINTS ON INFLATION FORECAST UNCERTAINTY. (2018). Makarova, Svetlana . In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:1:p:637-652. Full description at Econpapers || Download paper | |
| 2018 | MONETARY POLICY SHOCKS, EXPECTATIONS, AND INFORMATION RIGIDITIES. (2018). Czudaj, Robert ; Beckmann, Joscha. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:4:p:2158-2176. Full description at Econpapers || Download paper | |
| 2017 | Risk Control: Who Cares?. (2017). Taylor, Nick. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:1:p:153-179. Full description at Econpapers || Download paper | |
| 2018 | Non†myopic portfolio choice with unpredictable returns: The jump†to†default case. (2018). Battauz, Anna ; Sbuelz, Alessandro. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:2:p:192-208. Full description at Econpapers || Download paper | |
| 2018 | Income uncertainty and the decision to invest in bulk shipping. (2018). Kyriakou, Ioannis ; Nomikos, Nikos K ; Papapostolou, Nikos C ; Pouliasis, Panos K. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:3:p:387-417. Full description at Econpapers || Download paper | |
| 2017 | Timing the Market with a Combination of Moving Averages. (2017). Glabadanidis, Paskalis. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:353-394. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Allan Timmermann is editor of
| Journal | |
|---|---|
| Handbook of Economic Forecasting | |
| Handbook of Economic Forecasting |
Allan Timmermann has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Allan Timmermann:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2008 | The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
| 2008 | Forecast Combination With Entry and Exit of Experts In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 197 |
| 2006 | Forecast Combination with Entry and Exit of Experts.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 197 | paper | |
| 2009 | Forecast Combination With Entry and Exit of Experts.(2009) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 197 | article | |
| 2008 | Disagreement and Biases in Inflation Expectations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 115 |
| 2006 | Disagreement and Biases in Inflation Expectations.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 115 | paper | |
| 2009 | Disagreement and Biases in Inflation Expectations.(2009) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has another version. Agregated cites: 115 | article | |
| 2006 | Disagreement and Biases in Inflation Expectations.(2006) In: Computing in Economics and Finance 2006. [Citation analysis] This paper has another version. Agregated cites: 115 | paper | |
| 2010 | Forecast Combinations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 287 |
| 2010 | Forecast Combinations.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 287 | paper | |
| 2005 | Forecast Combinations.(2005) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 287 | paper | |
| 2006 | Forecast Combinations.(2006) In: Handbook of Economic Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 287 | chapter | |
| 2008 | Economic Forecasting In: Journal of Economic Literature. [Full Text][Citation analysis] | article | 159 |
| 2007 | Economic Forecasting.(2007) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 159 | paper | |
| 2001 | Option prices and implied volatility dynamics under Bayesian learning In: CeNDEF Workshop Papers, January 2001. [Citation analysis] | paper | 6 |
| 2005 | Relative Performance Evaluation Contracts and Asset Market Equilibrium In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 18 |
| 2003 | Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2003) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 2005 | Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2005) In: Economic Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | article | |
| 2004 | Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2004) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 2004 | Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2004) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 2007 | Testing Forecast Optimality Under Unknown Loss In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 75 |
| 2009 | Testing Dependence Among Serially Correlated Multicategory Variables In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 110 |
| 2006 | Testing Dependence Among Serially Correlated Multi-category Variables.(2006) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 110 | paper | |
| 2006 | Testing Dependence among Serially Correlated Multi-Category Variables.(2006) In: IZA Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 110 | paper | |
| 1992 | A Simple Nonparametric Test of Predictive Performance. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 329 |
| 1990 | A SIMPLE, NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE..(1990) In: Cambridge Working Papers in Economics. [Citation analysis] This paper has another version. Agregated cites: 329 | paper | |
| 1990 | A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE..(1990) In: California Los Angeles - Applied Econometrics. [Citation analysis] This paper has another version. Agregated cites: 329 | paper | |
| 2001 | Structural Breaks, Incomplete Information, and Stock Prices. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 41 |
| 2001 | Structural Breaks, Incomplete Information and Stock Prices.(2001) In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | paper | |
| 1998 | Structural Breaks, Incomplete Information and Stock Prices.(1998) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | paper | |
| 2004 | Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 76 |
| 2003 | Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets.(2003) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 76 | paper | |
| 2000 | Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 76 | paper | |
| 2011 | Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 18 |
| 1999 | Risk sharing and transition costs in the reform of pension systems in Europe In: Economic Policy. [Full Text][Citation analysis] | article | 35 |
| 1995 | Predictability of Stock Returns: Robustness and Economic Significance. In: Journal of Finance. [Full Text][Citation analysis] | article | 328 |
| 2006 | Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis In: Journal of Finance. [Full Text][Citation analysis] | article | 195 |
| 2005 | Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis.(2005) In: CFR Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 195 | paper | |
| 2003 | Recursive Modeling of Nonlinear Dynamics in UK Stock Returns In: Manchester School. [Full Text][Citation analysis] | article | 12 |
| 2008 | Return Predictability under Equilibrium Constraints on the Equity Premium In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2003 | How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 80 |
| 2004 | How costly is it to ignore breaks when forecasting the direction of a time series?.(2004) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 80 | article | |
| 2003 | Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 122 |
| 2004 | Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks.(2004) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 122 | paper | |
| 2005 | Small sample properties of forecasts from autoregressive models under structural breaks.(2005) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 122 | article | |
| 2004 | ‘Real Time Econometrics’ In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 26 |
| 2004 | Real Time Econometrics.(2004) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
| 2005 | REAL-TIME ECONOMETRICS.(2005) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | article | |
| 2004 | Real Time Econometrics.(2004) In: IZA Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
| 2004 | ‘Forecasting Time Series Subject to Multiple Structural Breaks’ In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 172 |
| 2004 | Forecasting Time Series Subject to Multiple Structural Breaks.(2004) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 172 | paper | |
| 2004 | Forecasting Time Series Subject to Multiple Structural Breaks.(2004) In: IZA Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 172 | paper | |
| 2006 | Learning, Structural Instability and Present Value Calculations In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 40 |
| 2006 | Learning, structural instability and present value calculations.(2006) In: Computing in Economics and Finance 2006. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
| 2006 | Learning, Structural Instability and Present Value Calculations.(2006) In: IEPR Working Papers. [Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
| 2007 | Learning, Structural Instability, and Present Value Calculations.(2007) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | article | |
| 2006 | Learning, structural instability and present value calculations.(2006) In: Discussion Paper Series 1: Economic Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
| 2009 | Variable Selection and Inference for Multi-period Forecasting Problems In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Variable Selection and Inference for Multi-period Forecasting Problems.(2009) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1990 | THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXESS RETURNS ON COMMON STOCKS. In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 1 |
| 1990 | THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXCESS RETURNS ON COMMON STOCKS..(1990) In: California Los Angeles - Applied Econometrics. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 1992 | Forecasting Stock Returns. In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 4 |
| 1992 | A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing. In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 41 |
| 1994 | A generalization of the non-parametric Henriksson-Merton test of market timing.(1994) In: Economics Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | article | |
| 1995 | The Use of Recursive Model Selection Strategies in Forecasting Stock Returns. In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 0 |
| 1996 | A Recursive Modelling Approach to Predicting UK Stock Returns In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 106 |
| 2000 | A Recursive Modelling Approach to Predicting UK Stock Returns..(2000) In: Economic Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 106 | article | |
| 1999 | A Recursive Modelling Approach to Predicting UK Stock Returns.(1999) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 106 | paper | |
| 2002 | Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 75 |
| 2004 | Optimal forecast combinations under general loss functions and forecast error distributions.(2004) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 75 | article | |
| 1998 | The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 31 |
| 1999 | The hazards of mutual fund underperformance: A Cox regression analysis.(1999) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | article | |
| 1998 | The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis.(1998) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
| 1998 | Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 9 |
| 1998 | The Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns.(1998) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2002 | How Stable are Financial Prediction Models? Evidence from US and International Stock Market Data In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 5 |
| 1999 | Model Instability and Choice of Observation Window In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 6 |
| 2004 | Real Time Econometrics In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2004 | Forecasting Time Series Subject to Multiple Structural Breaks In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 12 |
| 2006 | Learning, Structural Instability and Present Value Calculations In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2006 | Testing Dependence among Serially Correlated Multi-category Variables In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2009 | Variable Selection and Inference for Multi-period Forecasting Problems In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2003 | How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 4 |
| 2003 | Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 1997 | Performance Measurement using Multiple Asset Class Portfolio Data In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
| 1998 | Data-Snooping, Technical Trading Rule Performance and the Bootstrap In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 245 |
| 1998 | Data-Snooping, Technical Trading, Rule Performance and the Bootstrap.(1998) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 245 | paper | |
| 2001 | Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 43 |
| 2003 | Option prices under Bayesian learning: implied volatility dynamics and predictive densities.(2003) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | article | |
| 2001 | Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities.(2001) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
| 2001 | Forecast Evaluation with Shared Data Sets In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 18 |
| 2003 | Forecast evaluation with shared data sets.(2003) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | article | |
| 2002 | International Asset Allocation with Time-Varying Investment Opportunities In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 16 |
| 2005 | International Asset Allocation with Time-Varying Investment Opportunities.(2005) In: The Journal of Business. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | article | |
| 2002 | Efficient Market Hypothesis and Forecasting In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 100 |
| 2004 | Efficient market hypothesis and forecasting.(2004) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 100 | article | |
| 2003 | Estimating Loss Function Parameters In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
| 2003 | Properties of Optimal Forecasts In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
| 2004 | Properties of Optimal Forecasts.(2004) In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2004 | Country and Industry Dynamics in Stock Returns In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
| 2004 | Term Structure of Risk Under Alternative Econometric Specifications In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 60 |
| 2006 | Term structure of risk under alternative econometric specifications.(2006) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 60 | article | |
| 2004 | Optimal Forecast Combination Under Regime Switching In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 39 |
| 2005 | OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING *.(2005) In: International Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | article | |
| 2007 | Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 52 |
| 2009 | Forecasts of US short-term interest rates: A flexible forecast combination approach.(2009) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 52 | article | |
| 2007 | Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
| 2009 | Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Understanding Analysts Earnings Expectations: Biases, Nonlinearities and Predictability In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Understanding Analysts Earnings Expectations: Biases, Nonlinearities, and Predictability.(2010) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2010 | Common Factors in Latin America’s Business Cycles In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 36 |
| 2011 | Common factors in Latin Americas business cycles.(2011) In: Journal of Development Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | article | |
| 2006 | Common Factors in Latin Americas Business Cycles.(2006) In: IMF Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
| 2010 | Decentralized Investment Management: Evidence from the Pension Fund Industry In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 23 |
| 2010 | Decentralized investment management: evidence from the pension fund industry.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
| 2011 | Forecast Rationality Tests Based on Multi-Horizon Bounds In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
| 2011 | Regime Changes and Financial Markets In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 84 |
| 2011 | Regime Changes and Financial Markets.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 84 | paper | |
| 2010 | Variable Selection, Estimation and Inference for Multi-period Forecasting Problems In: DNB Working Papers. [Full Text][Citation analysis] | paper | 42 |
| 2011 | Variable selection, estimation and inference for multi-period forecasting problems.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 42 | article | |
| 2010 | Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average? In: Working Paper Series. [Full Text][Citation analysis] | paper | 10 |
| 2003 | Economic Implications of Bull and Bear Regimes in UK Stock Returns In: Royal Economic Society Annual Conference 2003. [Full Text][Citation analysis] | paper | 0 |
| 1994 | Can Agents Learn to Form Rational Expectations? Some Results on Convergence and Stability of Learning in the UK Stock Market. In: Economic Journal. [Full Text][Citation analysis] | article | 9 |
| 2005 | Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns In: Economic Journal. [Full Text][Citation analysis] | article | 101 |
| 2004 | Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching In: Econometric Society 2004 Australasian Meetings. [Citation analysis] | paper | 14 |
| 2004 | Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? In: Econometric Society 2004 North American Summer Meetings. [Full Text][Citation analysis] | paper | 130 |
| 2008 | Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?.(2008) In: Journal of the European Economic Association. [Full Text][Citation analysis] This paper has another version. Agregated cites: 130 | article | |
| 2000 | Implied Learning Paths from Option Prices In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Data mining with local model specification uncertainty: a discussion of Hoover and Perez In: Econometrics Journal. [Citation analysis] | article | 7 |
| 1994 | Present value models with feedback : Solutions, stability, bubbles, and some empirical evidence In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 13 |
| 2007 | Asset allocation under multivariate regime switching In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 145 |
| 2007 | Properties of equilibrium asset prices under alternative learning schemes In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 26 |
| 1994 | Optimal properties of exponentially weighted forecasts in the presence of different information sources In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 1994 | Why do dividend yields forecast stock returns? In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2001 | Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities In: Journal of Econometrics. [Full Text][Citation analysis] | article | 83 |
| 2000 | Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities.(2000) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 83 | paper | |
| 2001 | Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities..(2001) In: Quebec a Montreal - Recherche en gestion. [Citation analysis] This paper has another version. Agregated cites: 83 | paper | |
| 2001 | Dangers of data mining: The case of calendar effects in stock returns In: Journal of Econometrics. [Full Text][Citation analysis] | article | 71 |
| 2006 | Persistence in forecasting performance and conditional combination strategies In: Journal of Econometrics. [Full Text][Citation analysis] | article | 111 |
| 2007 | Selection of estimation window in the presence of breaks In: Journal of Econometrics. [Full Text][Citation analysis] | article | 197 |
| 2007 | Properties of optimal forecasts under asymmetric loss and nonlinearity In: Journal of Econometrics. [Full Text][Citation analysis] | article | 65 |
| 2011 | Annals issue on forecasting--Guest editors introduction In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2011 | Predictability of stock returns and asset allocation under structural breaks In: Journal of Econometrics. [Full Text][Citation analysis] | article | 60 |
| 2000 | Moments of Markov switching models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 126 |
| 1999 | Moments of Markov Switching Models.(1999) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 126 | paper | |
| 2006 | Instability of return prediction models In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 131 |
| 2002 | Market timing and return prediction under model instability In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 109 |
| 2002 | Market Timing and Return Prediction under Model Instability.(2002) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 109 | paper | |
| 1995 | On the optimality of adaptive expectations: Muth revisited In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 9 |
| 2008 | Elusive return predictability In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 67 |
| 2008 | Reply to the discussion of Elusive Return Predictability In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 49 |
| 2010 | Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 54 |
| 2010 | Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 96 |
| 2012 | Choice of Sample Split in Out-of-Sample Forecast Evaluation In: Economics Working Papers. [Full Text][Citation analysis] | paper | 47 |
| 1999 | Firm Size and Cyclical Variations in Stock Returns In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 214 |
| 2002 | (UBS Pensions Series 2) International Asset Allocation with Time-Varying Investment Opportunities In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | (UBS Pensions Series 3) Performance Clustering and Incentives in the UK Pension Fund Industry In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
| 2002 | (UBS Pensions Series 4) Returns from Active Management in International Equity Markets; Evidence from a Panel of UK Pension Funds In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Performance Measurement and Evaluation In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2006 | An Evaluation of the World Economic Outlook Forecasts In: IMF Working Papers. [Full Text][Citation analysis] | paper | 74 |
| 2007 | An Evaluation of the World Economic Outlook Forecasts.(2007) In: IMF Staff Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 74 | article | |
| 1995 | Cointegration Tests of Present Value Models with a Time-Varying Discount Factor. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 22 |
| 2006 | An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 122 |
| 2005 | Completion time structures of stock price movements In: Annals of Finance. [Full Text][Citation analysis] | article | 8 |
| 2005 | The Forecasing time series subject to multiple structure breaks In: Money Macro and Finance (MMF) Research Group Conference 2005. [Citation analysis] | paper | 0 |
| 2008 | Size and Value Anomalies under Regime Shifts In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 37 |
| 2008 | International asset allocation under regime switching, skew, and kurtosis preferences In: Review of Financial Studies. [Full Text][Citation analysis] | article | 146 |
| 1999 | Asset Allocation Dynamics and Pension Fund Performance. In: The Journal of Business. [Full Text][Citation analysis] | article | 71 |
| 2009 | The performance of European equity mutual funds In: CFR Working Papers. [Citation analysis] | paper | 0 |
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