Allan Timmermann : Citation Profile


Are you Allan Timmermann?

University of California-San Diego (UCSD) (34% share)
University of California-San Diego (UCSD) (33% share)
Aarhus Universitet (33% share)

45

H index

67

i10 index

8414

Citations

RESEARCH PRODUCTION:

62

Articles

88

Papers

1

Chapters

EDITOR:

1

Books edited

2

Series edited

RESEARCH ACTIVITY:

   22 years (1990 - 2012). See details.
   Cites by year: 382
   Journals where Allan Timmermann has often published
   Relations with other researchers
   Recent citing documents: 710.    Total self citations: 64 (0.75 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pti8
   Updated: 2023-03-25    RAS profile: 2012-06-05    
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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:

Guidolin, Massimo (219)

Clements, Michael (123)

Ravazzolo, Francesco (106)

Rossi, Barbara (103)

Pierdzioch, Christian (99)

Pesaran, M (92)

GUPTA, RANGAN (77)

van Dijk, Dick (76)

Marcellino, Massimiliano (60)

Franses, Philip Hans (60)

Hyde, Stuart (58)

Cites to:

Campbell, John (60)

Pesaran, M (54)

Diebold, Francis (45)

Ang, Andrew (29)

Stambaugh, Robert (29)

Bekaert, Geert (28)

Shiller, Robert (28)

Watson, Mark (28)

Hamilton, James (25)

West, Kenneth (24)

Elliott, Graham (23)

Main data


Where Allan Timmermann has published?


Journals with more than one article published# docs
Journal of Econometrics13
International Journal of Forecasting6
Journal of Business & Economic Statistics5
Economic Journal4
Journal of Economic Dynamics and Control4
Journal of Empirical Finance3
Economics Letters3
The Journal of Financial Econometrics2
Journal of the American Statistical Association2
The Journal of Business2
Journal of Finance2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
CEPR Discussion Papers / C.E.P.R. Discussion Papers27
CESifo Working Paper Series / CESifo7
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego6
Working Papers / Banco de Mxico3
IZA Discussion Papers / Institute of Labor Economics (IZA)3
CFR Working Papers / University of Cologne, Centre for Financial Research (CFR)2
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2
Finance / University Library of Munich, Germany2
Computing in Economics and Finance 2006 / Society for Computational Economics2

Recent works citing Allan Timmermann (2022 and 2021)


YearTitle of citing document
2021Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data. (2021). Montes, Erik Christian ; Rapach, David E ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2021-02.

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2021Spillovers of Senior Mutual Fund Managers’ Capital Raising Ability. (2021). Xu, Yue. In: CREATES Research Papers. RePEc:aah:create:2022-03.

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2022Reallocation of Mutual Fund Managers and Capital Raising Ability. (2022). Xu, Yue. In: CREATES Research Papers. RePEc:aah:create:2022-11.

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2022Forecasting total energy’s CO2 emissions. (2022). Leccadito, Arturo ; Algieri, Bernardina ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022003.

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2022Should we care about ECB inflation expectations?. (2022). Candelon, Bertrand ; Roccazzella, Francesco. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022004.

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2021The Expectations Gap: An Alternative Measure of Economic Slack. (2021). Schibuola, Alex ; Martinez, Andrew . In: Working Papers. RePEc:ajw:wpaper:11284.

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2021Efekt fiskalny uszczelniania systemu podatkowego w Polsce: próba oszacowania w zakresie podatku CIT. (2021). Oykowski, Aleksander ; Konopczak, Karolina. In: Ekonomista. RePEc:aoq:ekonom:v:1:y:2021:p:25-55.

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2021Common and Idiosyncratic Components of Latin American Business Cycles Connectedness. (2021). Campos, Luciano ; Andujar, Jesus Ruiz. In: Working Papers. RePEc:aoz:wpaper:91.

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2023Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542.

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2021Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545.

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2021Structural stability of infinite-order regression. (2019). SEO, MYUNG HWAN ; Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:1911.08637.

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2021Time-varying neural network for stock return prediction. (2020). , Richard ; Azizi, Lamiae ; Chan, Jennifer ; Steven, . In: Papers. RePEc:arx:papers:2003.02515.

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2021Existence and uniqueness of recursive utilities without boundedness. (2020). Christensen, Timothy M. In: Papers. RePEc:arx:papers:2008.00963.

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2021Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714.

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2021To Bag is to Prune. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.07063.

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2021Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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2022Forecasting financial markets with semantic network analysis in the COVID-19 crisis. (2020). Violante, Francesco ; Ravazzolo, F ; Grassi, S ; Colladon, Fronzetti A. In: Papers. RePEc:arx:papers:2009.04975.

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2021Binary Choice with Asymmetric Loss in a Data-Rich Environment: Theory and an Application to Racial Justice. (2020). Babii, Andrii ; Chen, XI ; Kumar, Rohit ; Ghysels, Eric. In: Papers. RePEc:arx:papers:2010.08463.

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2022High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477.

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2021Learning from Forecast Errors: A New Approach to Forecast Combinations. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.02077.

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2021Real-time Inflation Forecasting Using Non-linear Dimension Reduction Techniques. (2020). Huber, Florian ; Hauzenberger, Niko ; Klieber, Karin. In: Papers. RePEc:arx:papers:2012.08155.

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2022On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates. (2021). Shin, Minchul ; Diebold, Francis X ; Zhang, Boyuan. In: Papers. RePEc:arx:papers:2012.11649.

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2021Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802.

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2021Portfolio Construction Using Stratified Models. (2021). Boyd, Stephen ; Barratt, Shane ; Tuck, Jonathan. In: Papers. RePEc:arx:papers:2101.04113.

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2021The sooner the better: lives saved by the lockdown during the COVID-19 outbreak. The case of Italy. (2021). Ventura, Marco ; Cerqueti, Roy ; Coppier, Raffaella ; Girardi, Alessandro. In: Papers. RePEc:arx:papers:2101.11901.

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2021Standing on the Shoulders of Machine Learning: Can We Improve Hypothesis Testing?. (2021). Cornwall, Gary ; Sauley, Beau ; Chen, Jeff . In: Papers. RePEc:arx:papers:2103.01368.

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2021Feature Learning for Stock Price Prediction Shows a Significant Role of Analyst Rating. (2021). Khushi, Matloob ; Singh, Jaideep. In: Papers. RePEc:arx:papers:2103.09106.

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2021Financial Markets Prediction with Deep Learning. (2021). Wang, Degang ; Cao, YU ; Liu, Benyuan ; Sun, Tong. In: Papers. RePEc:arx:papers:2104.05413.

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2021Predicting Risk-adjusted Returns using an Asset Independent Regime-switching Model. (2021). Werge, Nicklas. In: Papers. RePEc:arx:papers:2107.05535.

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2021Deep equal risk pricing of financial derivatives with non-translation invariant risk measures. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2107.11340.

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2021Estimating high-dimensional Markov-switching VARs. (2021). Maung, Kenwin. In: Papers. RePEc:arx:papers:2107.12552.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866.

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2021Collective correlations, dynamics and behavioural inconsistencies of the cryptocurrency market over time. (2021). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2107.13926.

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2021Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces. (2021). Shang, Han Lin ; Kearney, Fearghal. In: Papers. RePEc:arx:papers:2107.14026.

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2022Bayesian forecast combination using time-varying features. (2021). Li, Feng ; Kang, Yanfei. In: Papers. RePEc:arx:papers:2108.02082.

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2021Detection of Structural Regimes and Analyzing the Impact of Crude Oil Market on Canadian Stock Market: Markov Regime-Switching Approach. (2021). Ghaneei, Hana ; Mahmoudi, Mohammad Reza. In: Papers. RePEc:arx:papers:2109.01046.

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2021No-Regret Forecasting with Egalitarian Committees. (2021). Su, Jiun-Hua. In: Papers. RePEc:arx:papers:2109.13801.

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2021A New Multivariate Predictive Model for Stock Returns. (2021). Xie, Jianying. In: Papers. RePEc:arx:papers:2110.01873.

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2021Optimal Regime-Switching Density Forecasts. (2021). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2110.13761.

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2021Financial-cycle ratios and multi-year predictions of GDP: Evidence from the United States. (2021). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2111.00822.

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2022The DONUT Approach to EnsembleCombination Forecasting. (2022). Krange, Kjartan ; Ankile, Lars Lien. In: Papers. RePEc:arx:papers:2201.00426.

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2022Asymptotic properties of Bayesian inference in linear regression with a structural break. (2022). Shimizu, Kenichi. In: Papers. RePEc:arx:papers:2201.07319.

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2022Comparative Study of Machine Learning Models for Stock Price Prediction. (2022). Orsel, Ogulcan E ; Yamada, Sasha S. In: Papers. RePEc:arx:papers:2202.03156.

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2022Introduction of the Market-Based Price Autocorrelation. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2202.09323.

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2022Improving Macroeconomic Model Validity and Forecasting Performance with Pooled Country Data using Structural, Reduced Form, and Neural Network Model. (2022). Fen, Cameron ; Undavia, Samir. In: Papers. RePEc:arx:papers:2203.06540.

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2022Cryptocurrency Return Prediction Using Investor Sentiment Extracted by BERT-Based Classifiers from News Articles, Reddit Posts and Tweets. (2022). Ider, Duygu. In: Papers. RePEc:arx:papers:2204.05781.

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2022Forecasting Electricity Prices. (2022). Weron, Rafał ; Uniejewski, Bartosz ; Maciejowska, Katarzyna. In: Papers. RePEc:arx:papers:2204.11735.

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2022Portfolio Diversification Revisited. (2022). Shaw, Charles. In: Papers. RePEc:arx:papers:2204.13398.

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2022Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2022). Wang, FA ; Urga, Giovanni. In: Papers. RePEc:arx:papers:2205.12126.

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2023Ensemble distributional forecasting for insurance loss reserving. (2022). Xian, Alan ; Wong, Bernard ; Li, Yanfeng ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2206.08541.

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2022LASSO Principal Component Averaging -- a fully automated approach for point forecast pooling. (2022). Maciejowska, Katarzyna ; Uniejewski, Bartosz. In: Papers. RePEc:arx:papers:2207.04794.

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2022Autoencoding Conditional GAN for Portfolio Allocation Diversification. (2022). Yi, Shao ; Lu, Jun. In: Papers. RePEc:arx:papers:2207.05701.

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2022Global combinations of expert forecasts. (2022). Vasnev, Andrey L ; Thompson, Ryan ; Qian, Yilin. In: Papers. RePEc:arx:papers:2207.07318.

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2022The Sample Complexity of Forecast Aggregation. (2022). Lin, Tao ; Chen, Yiling. In: Papers. RePEc:arx:papers:2207.13126.

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2022A penalized two-pass regression to predict stock returns with time-varying risk premia. (2022). Scaillet, Olivier ; Guerrier, St'Ephane ; Bakalli, Gaetan. In: Papers. RePEc:arx:papers:2208.00972.

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2022Risk in Network Economies. (2022). Sellemi, Victor. In: Papers. RePEc:arx:papers:2208.01467.

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2022A Hybrid Approach on Conditional GAN for Portfolio Analysis. (2022). Ding, Danny ; Lu, Jun. In: Papers. RePEc:arx:papers:2208.07159.

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2022Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828.

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2022Prediction intervals for economic fixed-event forecasts. (2022). Plett, Hendrik ; Kruger, Fabian. In: Papers. RePEc:arx:papers:2210.13562.

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2022Eigenvalue tests for the number of latent factors in short panels. (2022). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2210.16042.

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2022State-dependent Asset Allocation Using Neural Networks. (2022). Neghab, Davood Pirayesh ; Bradrania, Reza. In: Papers. RePEc:arx:papers:2211.00871.

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2023Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747.

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2023Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates. (2023). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: Papers. RePEc:arx:papers:2302.02866.

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2021Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20154.

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2021Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp21154.

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2022Nowcasting Canadian GDP with Density Combinations. (2022). Chernis, Tony ; Webley, Taylor. In: Discussion Papers. RePEc:bca:bocadp:22-12.

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2022.

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2021A liquidity risk early warning indicator for Italian banks: a machine learning approach. (2021). Nobili, Stefano ; Drudi, Maria Ludovica. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1337_21.

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2021Unraveling the Exogenous Forces Behind Analysts’ Macroeconomic Forecasts. (2021). Naranjo-Saldarriaga, Sara ; Moreno-Arias, Nicolas ; Forero-Alvarado, Santiago ; de Castro-Valderrama, Marcela. In: Borradores de Economia. RePEc:bdr:borrec:1184.

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2022Financial Conditions and Macroeconomic Downside Risks in the Euro Area. (2022). Lhuissier, Stéphane. In: Working papers. RePEc:bfr:banfra:863.

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2022Information Acquisition ahead of Monetary Policy Announcements. (2022). Ehrmann, Michael ; Hubert, Paul. In: Working papers. RePEc:bfr:banfra:897.

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2021The Hard Problem of Prediction for Conflict Prevention. (2021). Rauh, Christopher ; Mueller, Hannes. In: Working Papers. RePEc:bge:wpaper:1244.

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2021Evaluating Forecast Performance with State Dependence. (2021). Sekhposyan, Tatevik ; Rossi, Barbara ; Odendahl, Florens. In: Working Papers. RePEc:bge:wpaper:1295.

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2022Forecasting Inflation: The Use of Dynamic Factor Analysis and Nonlinear Combinations. (2022). Wang, Yongli ; Tavlas, George S ; Hall, Stephen G. In: Discussion Papers. RePEc:bir:birmec:22-12.

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2022Proyecciones macroeconómicas con datos en frecuencias mixtas. Modelos ADL-MIDAS, U-MIDAS y TF-MIDAS con aplicaciones para Uruguay. (2022). Alvarez, Santiago Etchegaray. In: Documentos de trabajo. RePEc:bku:doctra:2022004.

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2021Thirty?year assessment of Asian Development Banks forecasts. (2021). Tsuchiya, Yoichi. In: Asian-Pacific Economic Literature. RePEc:bla:apacel:v:35:y:2021:i:2:p:18-40.

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2022Consumption?based carbon emissions, renewable energy consumption, financial development and economic growth in Chile. (2022). Kirikkaleli, Dervis ; Adebayo, Tomiwa Sunday ; Gungor, Hasan. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:31:y:2022:i:3:p:1123-1137.

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2022Stock return predictability: Evaluation based on interval forecasts. (2022). Kim, Jae H ; Darne, Olivier ; Charles, Amelie. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:363-385.

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2022A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683.

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2022Handling the discontinuity in futures prices when time series modeling of commodity cash and futures prices. (2022). Brorsen, B ; Maples, Joshua G. In: Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie. RePEc:bla:canjag:v:70:y:2022:i:2:p:139-152.

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2021Assessing the Informational Content of Official Australian Bureau of Meteorology Forecasts of Wind Speed. (2021). Hurn, Stan ; Tian, Jing ; Xu, Lina. In: The Economic Record. RePEc:bla:ecorec:v:97:y:2021:i:319:p:525-547.

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2021Recovering the market risk premium from higher?order moment risks. (2021). Rompolis, Leonidas ; Chalamandaris, George. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:147-186.

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2021How to build a factor portfolio: Does the allocation strategy matter?. (2021). Wendt, Viktoriasophie ; Drobetz, Wolfgang ; Dichtl, Hubert. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:20-58.

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2021Learning and predictability via technical analysis: Evidence from bitcoin and stocks with hard?to?value fundamentals. (2021). Strauss, Jack ; Liu, Hong ; Detzel, Andrew ; Zhu, Yingzi ; Zhou, Guofu. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:1:p:107-137.

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2022Stock returns and inflation shocks in weaker economic times. (2022). Sun, Licheng ; Stivers, Chris ; Connolly, Robert A. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:3:p:827-867.

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2022Shrinking return forecasts. (2022). Wang, Yudong ; Pan, Zhiyuan ; Liu, LI. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:641-661.

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2021Regional inflation persistence in Turkey. (2021). Duran, Hasan Engin ; Dindarolu, Burak. In: Growth and Change. RePEc:bla:growch:v:52:y:2021:i:1:p:460-491.

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2022Does the kitchen?sink model work forecasting the equity premium?. (2022). Yin, Anwen. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:1:p:223-247.

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2021Initialization of Hidden Markov and Semi?Markov Models: A Critical Evaluation of Several Strategies. (2021). Punzo, Antonio ; Maruotti, Antonello. In: International Statistical Review. RePEc:bla:istatr:v:89:y:2021:i:3:p:447-480.

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2021AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME?SERIES ECONOMETRICS. (2021). Nonejad, Nima. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:566-614.

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2021The Perception of Dependence, Investment Decisions, and Stock Prices. (2021). Weber, Martin ; Ungeheuer, Michael. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:2:p:797-844.

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2021The Limits of p?Hacking: Some Thought Experiments. (2021). Chen, Andrew Y. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:5:p:2447-2480.

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2022Late to Recessions: Stocks and the Business Cycle. (2022). Gomezcram, Roberto. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:923-966.

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2022Fully Closed: Individual Responses to Realized Gains and Losses. (2022). Pagel, Michaela ; Meyer, Steffen. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:3:p:1529-1585.

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2022Luck versus Skill in the Cross Section of Mutual Fund Returns: Reexamining the Evidence. (2022). Liu, Yan ; Harvey, Campbell R. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:3:p:1921-1966.

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2022Mutual fund performance and changes in factor exposure. (2022). Matallinsaez, Juan Carlos ; Juan Carlos Matallin Saez, ; de Mingolopez, Diego Victor ; Conlon, Thomas ; Bessler, Wolfgang. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:1:p:17-52.

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2021Quantile?frequency analysis and spectral measures for diagnostic checks of time series with nonlinear dynamics. (2021). Li, Tahsin. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:70:y:2021:i:2:p:270-290.

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2022Modelling clusters of corporate defaults: Regime?switching models significantly reduce the contagion source. (2022). Maruotti, Antonello ; Bulla, Jan ; Berentsen, Geir D ; Stove, Brd. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:71:y:2022:i:3:p:698-722.

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2021Nowcasting South African gross domestic product using a suite of statistical models. (2021). Steenkamp, Daan ; Botha, Byron ; van Jaarsveld, Rossouw ; Reid, Geordie ; Olds, Tim. In: South African Journal of Economics. RePEc:bla:sajeco:v:89:y:2021:i:4:p:526-554.

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2022Oil shocks and directional predictability of macroeconomic uncertainties of developed economies: Evidence from high?frequency data†. (2022). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Hussain, Syed Jawad. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:69:y:2022:i:2:p:169-185.

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2021Quantifying time-varying forecast uncertainty and risk for the real price of oil. (2021). Cross, Jamie L ; Aastveit, Knut Are ; van Dijk, Herman K. In: Working Paper. RePEc:bno:worpap:2021_3.

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Allan Timmermann is editor of


Journal
Handbook of Economic Forecasting
Handbook of Economic Forecasting

Allan Timmermann has edited the books:


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Works by Allan Timmermann:


YearTitleTypeCited
2008The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast In: CREATES Research Papers.
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paper6
2008Forecast Combination With Entry and Exit of Experts In: CREATES Research Papers.
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paper312
2006Forecast Combination with Entry and Exit of Experts.(2006) In: Working Papers.
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2009Forecast Combination With Entry and Exit of Experts.(2009) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 312
article
2008Disagreement and Biases in Inflation Expectations In: CREATES Research Papers.
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paper154
2006Disagreement and Biases in Inflation Expectations.(2006) In: Working Papers.
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This paper has another version. Agregated cites: 154
paper
2009Disagreement and Biases in Inflation Expectations.(2009) In: Journal of Money, Credit and Banking.
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article
2006Disagreement and Biases in Inflation Expectations.(2006) In: Computing in Economics and Finance 2006.
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This paper has another version. Agregated cites: 154
paper
2010Forecast Combinations In: CREATES Research Papers.
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paper383
2010Forecast Combinations.(2010) In: Working Papers.
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2005Forecast Combinations.(2005) In: CEPR Discussion Papers.
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paper
2006Forecast Combinations.(2006) In: Handbook of Economic Forecasting.
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chapter
2008Economic Forecasting In: Journal of Economic Literature.
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article244
2007Economic Forecasting.(2007) In: CEPR Discussion Papers.
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paper
2001Option prices and implied volatility dynamics under Bayesian learning In: CeNDEF Workshop Papers, January 2001.
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paper7
2005Relative Performance Evaluation Contracts and Asset Market Equilibrium In: Birkbeck Working Papers in Economics and Finance.
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paper23
2003Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2003) In: CEPR Discussion Papers.
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2005Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2005) In: Economic Journal.
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2004Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2004) In: Finance.
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2004Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2004) In: Finance.
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2007Testing Forecast Optimality Under Unknown Loss In: Journal of the American Statistical Association.
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article101
2009Testing Dependence Among Serially Correlated Multicategory Variables In: Journal of the American Statistical Association.
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article162
2006Testing Dependence Among Serially Correlated Multi-category Variables.(2006) In: Cambridge Working Papers in Economics.
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paper
2006Testing Dependence among Serially Correlated Multi-category Variables.(2006) In: CESifo Working Paper Series.
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paper
2006Testing Dependence among Serially Correlated Multi-Category Variables.(2006) In: IZA Discussion Papers.
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This paper has another version. Agregated cites: 162
paper
1992A Simple Nonparametric Test of Predictive Performance. In: Journal of Business & Economic Statistics.
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article412
1990A SIMPLE, NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE..(1990) In: Cambridge Working Papers in Economics.
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paper
1990A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE..(1990) In: California Los Angeles - Applied Econometrics.
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This paper has another version. Agregated cites: 412
paper
2001Structural Breaks, Incomplete Information, and Stock Prices. In: Journal of Business & Economic Statistics.
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article45
2001Structural Breaks, Incomplete Information and Stock Prices.(2001) In: University of California at San Diego, Economics Working Paper Series.
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paper
2004Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets In: Journal of Business & Economic Statistics.
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article115
2003Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets.(2003) In: CEPR Discussion Papers.
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paper
2000Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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This paper has another version. Agregated cites: 115
paper
2011Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach In: Journal of Business & Economic Statistics.
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article36
1995 Predictability of Stock Returns: Robustness and Economic Significance. In: Journal of Finance.
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article444
2006Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis In: Journal of Finance.
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article248
2005Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis.(2005) In: CFR Working Papers.
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paper
2003Recursive Modeling of Nonlinear Dynamics in UK Stock Returns In: Manchester School.
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article12
2008Return Predictability under Equilibrium Constraints on the Equity Premium In: Working Papers.
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paper1
2003How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? In: Cambridge Working Papers in Economics.
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paper92
2003How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?.(2003) In: CESifo Working Paper Series.
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2004How costly is it to ignore breaks when forecasting the direction of a time series?.(2004) In: International Journal of Forecasting.
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article
2003Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks In: Cambridge Working Papers in Economics.
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paper179
2003Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks.(2003) In: CESifo Working Paper Series.
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2004Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks.(2004) In: CEPR Discussion Papers.
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paper
2005Small sample properties of forecasts from autoregressive models under structural breaks.(2005) In: Journal of Econometrics.
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article
2004‘Real Time Econometrics’ In: Cambridge Working Papers in Economics.
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paper28
2004Real Time Econometrics.(2004) In: CESifo Working Paper Series.
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2004Real Time Econometrics.(2004) In: CEPR Discussion Papers.
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paper
2005REAL-TIME ECONOMETRICS.(2005) In: Econometric Theory.
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2004Real Time Econometrics.(2004) In: IZA Discussion Papers.
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2004‘Forecasting Time Series Subject to Multiple Structural Breaks’ In: Cambridge Working Papers in Economics.
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paper218
2004Forecasting Time Series Subject to Multiple Structural Breaks.(2004) In: CESifo Working Paper Series.
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paper
2004Forecasting Time Series Subject to Multiple Structural Breaks.(2004) In: CEPR Discussion Papers.
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2004Forecasting Time Series Subject to Multiple Structural Breaks.(2004) In: IZA Discussion Papers.
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paper
2006Learning, Structural Instability and Present Value Calculations In: Cambridge Working Papers in Economics.
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paper44
2006Learning, Structural Instability and Present Value Calculations.(2006) In: CESifo Working Paper Series.
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This paper has another version. Agregated cites: 44
paper
2006Learning, structural instability and present value calculations.(2006) In: Computing in Economics and Finance 2006.
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paper
2006Learning, Structural Instability and Present Value Calculations.(2006) In: IEPR Working Papers.
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paper
2007Learning, Structural Instability, and Present Value Calculations.(2007) In: Econometric Reviews.
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2006Learning, structural instability and present value calculations.(2006) In: Discussion Paper Series 1: Economic Studies.
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2009Variable Selection and Inference for Multi-period Forecasting Problems In: Cambridge Working Papers in Economics.
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paper1
2009Variable Selection and Inference for Multi-period Forecasting Problems.(2009) In: CESifo Working Paper Series.
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2009Variable Selection and Inference for Multi-period Forecasting Problems.(2009) In: CEPR Discussion Papers.
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1990THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXESS RETURNS ON COMMON STOCKS. In: Cambridge Working Papers in Economics.
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paper1
1990THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXCESS RETURNS ON COMMON STOCKS..(1990) In: California Los Angeles - Applied Econometrics.
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This paper has another version. Agregated cites: 1
paper
1992Forecasting Stock Returns. In: Cambridge Working Papers in Economics.
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paper4
1992A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing. In: Cambridge Working Papers in Economics.
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paper40
1994A generalization of the non-parametric Henriksson-Merton test of market timing.(1994) In: Economics Letters.
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article
1995The Use of Recursive Model Selection Strategies in Forecasting Stock Returns. In: Cambridge Working Papers in Economics.
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paper0
1996A Recursive Modelling Approach to Predicting UK Stock Returns In: Cambridge Working Papers in Economics.
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paper121
2000A Recursive Modelling Approach to Predicting UK Stock Returns..(2000) In: Economic Journal.
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article
2002Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions In: University of California at San Diego, Economics Working Paper Series.
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paper96
2004Optimal forecast combinations under general loss functions and forecast error distributions.(2004) In: Journal of Econometrics.
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article
1998The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis In: University of California at San Diego, Economics Working Paper Series.
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paper37
1999The hazards of mutual fund underperformance: A Cox regression analysis.(1999) In: Journal of Empirical Finance.
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article
1998Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns In: University of California at San Diego, Economics Working Paper Series.
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paper9
2002How Stable are Financial Prediction Models? Evidence from US and International Stock Market Data In: University of California at San Diego, Economics Working Paper Series.
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paper5
1999Model Instability and Choice of Observation Window In: University of California at San Diego, Economics Working Paper Series.
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paper8
1997Performance Measurement using Multiple Asset Class Portfolio Data In: CEPR Discussion Papers.
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paper5
1998Data-Snooping, Technical Trading Rule Performance and the Bootstrap In: CEPR Discussion Papers.
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paper286
2001Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities In: CEPR Discussion Papers.
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paper52
2003Option prices under Bayesian learning: implied volatility dynamics and predictive densities.(2003) In: Journal of Economic Dynamics and Control.
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article
2001Forecast Evaluation with Shared Data Sets In: CEPR Discussion Papers.
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paper22
2003Forecast evaluation with shared data sets.(2003) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 22
article
2002International Asset Allocation with Time-Varying Investment Opportunities In: CEPR Discussion Papers.
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paper18
2005International Asset Allocation with Time-Varying Investment Opportunities.(2005) In: The Journal of Business.
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article
2002Efficient Market Hypothesis and Forecasting In: CEPR Discussion Papers.
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paper130
2004Efficient market hypothesis and forecasting.(2004) In: International Journal of Forecasting.
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article
2003Estimating Loss Function Parameters In: CEPR Discussion Papers.
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paper12
2003Properties of Optimal Forecasts In: CEPR Discussion Papers.
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paper15
2004Properties of Optimal Forecasts.(2004) In: Econometric Society 2004 North American Winter Meetings.
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2004Country and Industry Dynamics in Stock Returns In: CEPR Discussion Papers.
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paper7
2004Term Structure of Risk Under Alternative Econometric Specifications In: CEPR Discussion Papers.
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paper65
2006Term structure of risk under alternative econometric specifications.(2006) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 65
article
2004Optimal Forecast Combination Under Regime Switching In: CEPR Discussion Papers.
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paper56
2005OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING *.(2005) In: International Economic Review.
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This paper has another version. Agregated cites: 56
article
2007Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach In: CEPR Discussion Papers.
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paper58
2009Forecasts of US short-term interest rates: A flexible forecast combination approach.(2009) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 58
article
2007Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts In: CEPR Discussion Papers.
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paper4
2009Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications In: CEPR Discussion Papers.
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paper0
2010Understanding Analysts Earnings Expectations: Biases, Nonlinearities and Predictability In: CEPR Discussion Papers.
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paper1
2010Understanding Analysts Earnings Expectations: Biases, Nonlinearities, and Predictability.(2010) In: The Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 1
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2010Common Factors in Latin America’s Business Cycles In: CEPR Discussion Papers.
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paper42
2011Common factors in Latin Americas business cycles.(2011) In: Journal of Development Economics.
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This paper has another version. Agregated cites: 42
article
2010Decentralized Investment Management: Evidence from the Pension Fund Industry In: CEPR Discussion Papers.
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paper37
2010Decentralized investment management: evidence from the pension fund industry.(2010) In: MPRA Paper.
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This paper has another version. Agregated cites: 37
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2011Forecast Rationality Tests Based on Multi-Horizon Bounds In: CEPR Discussion Papers.
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paper5
2011Regime Changes and Financial Markets In: CEPR Discussion Papers.
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paper165
2011Regime Changes and Financial Markets.(2011) In: NBER Working Papers.
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2010Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average? In: Working Paper Series.
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paper21
2003Economic Implications of Bull and Bear Regimes in UK Stock Returns In: Royal Economic Society Annual Conference 2003.
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paper0
1994Can Agents Learn to Form Rational Expectations? Some Results on Convergence and Stability of Learning in the UK Stock Market. In: Economic Journal.
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article14
2005Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns In: Economic Journal.
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article126
2004Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching In: Econometric Society 2004 Australasian Meetings.
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paper13
2004Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? In: Econometric Society 2004 North American Summer Meetings.
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paper175
2008Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?.(2008) In: Journal of the European Economic Association.
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This paper has another version. Agregated cites: 175
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2000Implied Learning Paths from Option Prices In: Econometric Society World Congress 2000 Contributed Papers.
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1999Data mining with local model specification uncertainty: a discussion of Hoover and Perez In: Econometrics Journal.
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article10
1994Present value models with feedback : Solutions, stability, bubbles, and some empirical evidence In: Journal of Economic Dynamics and Control.
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article16
2007Asset allocation under multivariate regime switching In: Journal of Economic Dynamics and Control.
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article190
2007Properties of equilibrium asset prices under alternative learning schemes In: Journal of Economic Dynamics and Control.
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article32
1994Optimal properties of exponentially weighted forecasts in the presence of different information sources In: Economics Letters.
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article0
1994Why do dividend yields forecast stock returns? In: Economics Letters.
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article1
2001Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities In: Journal of Econometrics.
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article97
2001Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities..(2001) In: Quebec a Montreal - Recherche en gestion.
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paper
2001Dangers of data mining: The case of calendar effects in stock returns In: Journal of Econometrics.
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article91
2006Persistence in forecasting performance and conditional combination strategies In: Journal of Econometrics.
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article157
2007Selection of estimation window in the presence of breaks In: Journal of Econometrics.
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article270
2007Properties of optimal forecasts under asymmetric loss and nonlinearity In: Journal of Econometrics.
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article84
2011Annals issue on forecasting--Guest editors introduction In: Journal of Econometrics.
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article1
2011Variable selection, estimation and inference for multi-period forecasting problems In: Journal of Econometrics.
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article65
2011Predictability of stock returns and asset allocation under structural breaks In: Journal of Econometrics.
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article83
2000Moments of Markov switching models In: Journal of Econometrics.
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article150
2006Instability of return prediction models In: Journal of Empirical Finance.
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article189
2002Market timing and return prediction under model instability In: Journal of Empirical Finance.
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article135
1995On the optimality of adaptive expectations: Muth revisited In: International Journal of Forecasting.
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article10
2008Elusive return predictability In: International Journal of Forecasting.
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article90
2008Reply to the discussion of Elusive Return Predictability In: International Journal of Forecasting.
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article69
2010Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts In: Journal of Financial Economics.
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article94
2010Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion In: Journal of Monetary Economics.
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article175
2012Choice of Sample Split in Out-of-Sample Forecast Evaluation In: Economics Working Papers.
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paper71
1995Cointegration Tests of Present Value Models with a Time-Varying Discount Factor. In: Journal of Applied Econometrics.
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article34
2006An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns In: Journal of Applied Econometrics.
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article150
2005Completion time structures of stock price movements In: Annals of Finance.
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article9
2005The Forecasing time series subject to multiple structure breaks In: Money Macro and Finance (MMF) Research Group Conference 2005.
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paper0
2008Size and Value Anomalies under Regime Shifts In: The Journal of Financial Econometrics.
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article44
2008International asset allocation under regime switching, skew, and kurtosis preferences In: Review of Financial Studies.
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article193
2007An Evaluation of the World Economic Outlook Forecasts In: IMF Staff Papers.
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article69
1999Asset Allocation Dynamics and Pension Fund Performance. In: The Journal of Business.
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article96
2009The performance of European equity mutual funds In: CFR Working Papers.
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