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)

46

H index

69

i10 index

9006

Citations

RESEARCH PRODUCTION:

62

Articles

89

Papers

1

Chapters

EDITOR:

1

Books edited

2

Series edited

RESEARCH ACTIVITY:

   33 years (1990 - 2023). See details.
   Cites by year: 272
   Journals where Allan Timmermann has often published
   Relations with other researchers
   Recent citing documents: 271.    Total self citations: 65 (0.72 %)

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   Permalink: http://citec.repec.org/pti8
   Updated: 2024-01-16    RAS profile: 2023-03-10    
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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 (225)

Clements, Michael (127)

Ravazzolo, Francesco (108)

Rossi, Barbara (108)

Pierdzioch, Christian (99)

Pesaran, Mohammad (93)

GUPTA, RANGAN (80)

van Dijk, Dick (76)

Franses, Philip Hans (60)

Marcellino, Massimiliano (60)

Hyde, Stuart (59)

Cites to:

Campbell, John (62)

Pesaran, Mohammad (54)

Diebold, Francis (46)

Ang, Andrew (29)

Stambaugh, Robert (29)

Bekaert, Geert (28)

Watson, Mark (28)

Shiller, Robert (28)

West, Kenneth (26)

Hamilton, James (25)

Elliott, Graham (24)

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
Journal of Economic Dynamics and Control4
Economic Journal4
Economics Letters3
Journal of Empirical Finance3
Journal of Finance2
Journal of Applied Econometrics2
Journal of the American Statistical Association2
The Journal of Financial Econometrics2
The Journal of Business2

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
IZA Discussion Papers / Institute of Labor Economics (IZA)3
Working Papers / Banco de México3
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2
CFR Working Papers / University of Cologne, Centre for Financial Research (CFR)2
NBER Working Papers / National Bureau of Economic Research, Inc2
Finance / University Library of Munich, Germany2
Computing in Economics and Finance 2006 / Society for Computational Economics2

Recent works citing Allan Timmermann (2024 and 2023)

YearTitle of citing document
2023.

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2023Idiosyncratic and systematic spillovers through the renewable energy financial systems. (2023). Tedeschi, Marco. In: Working Papers. RePEc:anc:wpaper:483.

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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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2023Testing 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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2023Structural stability of infinite-order regression. (2019). SEO, MYUNG HWAN ; Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:1911.08637.

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2023Forecasting 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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2023Cryptocurrency 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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2023Estimation 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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2023Global combinations of expert forecasts. (2022). Vasnev, Andrey L ; Thompson, Ryan ; Qian, Yilin. In: Papers. RePEc:arx:papers:2207.07318.

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2023The Sample Complexity of Forecast Aggregation. (2022). Lin, Tao ; Chen, Yiling. In: Papers. RePEc:arx:papers:2207.13126.

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2023Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828.

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2023Prediction intervals for economic fixed-event forecasts. (2022). Plett, Hendrik ; Kruger, Fabian. In: Papers. RePEc:arx:papers:2210.13562.

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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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2023Fast Forecasting of Unstable Data Streams for On-Demand Service Platforms. (2023). Wilms, Ines ; Rombouts, Jeroen ; Hu, Yu Jeffrey. In: Papers. RePEc:arx:papers:2303.01887.

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2023Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064.

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2023Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications. (2023). Shi, Shuping ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2303.13406.

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2023Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.00860.

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2023On random number generators and practical market efficiency. (2023). Moews, Ben. In: Papers. RePEc:arx:papers:2305.17419.

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2023Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991.

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2023HireVAE: An Online and Adaptive Factor Model Based on Hierarchical and Regime-Switch VAE. (2023). Lin, Dahua ; Dai, BO ; Rao, Anyi ; Wei, Zikai. In: Papers. RePEc:arx:papers:2306.02848.

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2023Comparing Deep Learning Models for the Task of Volatility Prediction Using Multivariate Data. (2023). Suominen, Hanna ; Lensky, Artem ; Isai, Leigh ; Lalbakhsh, Pooia ; Ge, Wenbo. In: Papers. RePEc:arx:papers:2306.12446.

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2023Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

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2023Predictability Tests Robust against Parameter Instability. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.15151.

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2023Efficient Variational Inference for Large Skew-t Copulas with Application to Intraday Equity Returns. (2023). Maneesoonthorn, Worapree ; Smith, Michael Stanley ; Deng, Lin. In: Papers. RePEc:arx:papers:2308.05564.

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2023Econometrics of Machine Learning Methods in Economic Forecasting. (2023). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:2308.10993.

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2023Forecasting with Feedback. (2023). Nieto-Barthaburu, Augusto ; Lieli, Robert P. In: Papers. RePEc:arx:papers:2308.15062.

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2023Hedging Forecast Combinations With an Application to the Random Forest. (2023). Wolf, Michael ; Kozbur, Damian ; Beck, Elliot. In: Papers. RePEc:arx:papers:2308.15384.

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2023Combining predictive distributions of electricity prices: Does minimizing the CRPS lead to optimal decisions in day-ahead bidding?. (2023). Weron, Rafal ; Nitka, Weronika. In: Papers. RePEc:arx:papers:2308.15443.

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2023Predictive Density Combination Using a Tree-Based Synthesis Function. (2023). Huber, Florian ; Mitchell, James ; Koop, Gary ; Hauzenberger, Niko ; Chernis, Tony. In: Papers. RePEc:arx:papers:2311.12671.

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2023Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203.

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2023What consistent responses on future inflation by consumers can reveal. (2023). Sabourin, Patrick ; Miller, Sarah. In: Discussion Papers. RePEc:bca:bocadp:23-7.

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2023Narrative-Driven Fluctuations in Sentiment: Evidence Linking Traditional and Social Media. (2023). Song, Wenting ; MacAulay, Alistair. In: Staff Working Papers. RePEc:bca:bocawp:23-23.

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2023Bayesian Local Projections. (2023). Ricco, Giovanni ; Ferreira, Leonardo ; Miranda-Agrippino, Silvia. In: Working Papers Series. RePEc:bcb:wpaper:581.

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2023For What Its Worth: Measuring Land Value in the Era of Big Data and Machine Learning. (2023). Moulton, Jeremy G ; Cornwall, Gary ; Wentland, Scott. In: BEA Working Papers. RePEc:bea:wpaper:0209.

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2023Quantifying Qualitative Survey Data: New Insights on the (Ir)Rationality of Firms Forecasts. (2023). Sakellaris, Plutarchos ; Gortz, Christoph ; Botsis, Alexandros. In: Discussion Papers. RePEc:bir:birmec:23-06.

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2023The term structure of inflation forecasts disagreement and monetary policy transmission. (2023). Zhu, Sonya ; Xia, Dora ; Barbera, Alessandro. In: BIS Working Papers. RePEc:bis:biswps:1114.

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2023Forecasting models for the Chinese macroeconomy in a data?rich environment: Evidence from large dimensional approximate factor models with mixed?frequency data. (2023). Xu, Hao ; Ni, HE ; Zhang, Qin. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:719-767.

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2023.

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2023Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047.

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2023The closer we get, the better we are?. (2023). Zilberfarb, Ben Zion ; Goldstein, Nathan. In: Economic Inquiry. RePEc:bla:ecinqu:v:61:y:2023:i:2:p:364-376.

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2023.

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2023.

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2023Exploring the performance of US international bond mutual funds. (2023). Littlejohn, Elizabeth ; Fletcher, Jonathan ; Marshall, Andrew. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:4:p:765-782.

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2023Climate risks and U.S. stock?market tail risks: A forecasting experiment using over a century of data. (2023). Salisu, Afees ; van Eyden, Renee ; Gupta, Rangan ; Pierdzioch, Christian. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:228-244.

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2023Machine learning advances for time series forecasting. (2023). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:76-111.

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2023Pockets of Predictability. (2023). Timmermann, Allan ; Schmidt, Lawrence ; Farmer, Leland E. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1279-1341.

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2023How to Deal With Missing Observations in Surveys of Professional Forecasters. (2023). Burgi, Constantin. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10203.

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2023Seven Pitfalls of Technical Analysis. (2023). Plastun, Alex ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10213.

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2023Breaking Monetary Policy News: The Role of Mass Media Coverage of ECB Announcements for Public Inflation Expectations. (2023). Feld, Lars ; Kohler, Ekkehard A ; Hirsch, Patrick. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10285.

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2023Consumers Macroeconomic Expectations. (2023). Lamla, Michael ; Drager, Lena. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10709.

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2023Firm Expectations and News: Micro v Macro. (2023). Müller, Gernot ; Menkhoff, Manuel ; Enders, Zeno ; Niemann, Knut ; Muller, Gernot J ; Born, Benjamin. In: ifo Working Paper Series. RePEc:ces:ifowps:_400.

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2023Information acquisition ahead of monetary policy announcements. (2023). Hubert, Paul ; Ehrmann, Michael. In: Working Paper Series. RePEc:ecb:ecbwps:20232770.

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2023Public money as a store of value, heterogeneous beliefs, and banks: implications of CBDC. (2023). Soons, Oscar ; Muoz, Manuel A. In: Working Paper Series. RePEc:ecb:ecbwps:20232801.

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2023Time-Varying approaches for Long-Term Electric Load Forecasting under economic shocks. (2023). Dadabada, Pradeep Kumar ; Jaipuria, Sanjita ; Thangjam, Aditya. In: Applied Energy. RePEc:eee:appene:v:333:y:2023:i:c:s0306261922018591.

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2023Interest rate changes and the cross-section of global equity returns. (2023). Long, Huaigang ; Bianchi, Robert J ; Cakici, Nusret ; Zaremba, Adam. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188923000027.

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2023Can we estimate macroforecasters’ mis-behavior?. (2023). Chini, Emilio Zanetti. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:149:y:2023:i:c:s0165188923000386.

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2023Employee sentiment and stock returns. (2023). Zhou, Guofu ; Yao, Jiaquan ; Tang, Guohao ; Chen, Jian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:149:y:2023:i:c:s0165188923000428.

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2023Assessing the World Bank’s growth forecasts. (2023). Tsuchiya, Yoichi. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:64-84.

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2023Tourism-led economic growth across the business cycle: Evidence from Europe (1995–2021). (2023). Perez-Montiel, Jose ; Ozcelebi, Oguzhan ; Portella-Carbo, Ferran. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1241-1253.

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2023The politics of climate: Does factionalism impede U.S. carbon neutrality?. (2023). Mirza, Nawazish ; Zhao, Zhengtang ; Su, Yun Hsuan ; Qin, Meng. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:954-966.

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2023Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns. (2023). Peng, Zhe ; Xu, Mengyu ; Zhang, Zhengjun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003613.

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2023Hedging pressure momentum and the predictability of oil futures returns. (2023). Zhang, Yaojie ; Wang, Yudong ; Chen, Chuang ; Yu, Dan. In: Economic Modelling. RePEc:eee:ecmode:v:121:y:2023:i:c:s0264999323000263.

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2023Nowcasting Chinese GDP in a data-rich environment: Lessons from machine learning algorithms. (2023). Xu, Hao ; Ni, HE ; Zhang, Qin. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000160.

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2023Portfolio optimization in the presence of tail correlation. (2023). Chibane, Messaoud ; ben Abdelaziz, Fouad. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000470.

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2023A regime-switching model of stock returns with momentum and mean reversion. (2023). Zakamulin, Valeriy ; Giner, Javier. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000494.

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2023The asymmetric dynamics of stock–bond liquidity correlation in China: The role of macro-financial determinants. (2023). Pan, Beier. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001074.

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2023Improving box office projections through sentiment analysis: Insights from regularization-based forecast combinations. (2023). Qiu, Yue ; Zheng, Yuchen. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s026499932300161x.

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2023Diligent forecasters can make accurate predictions despite disagreeing with the consensus. (2023). Zheng, Xinye ; An, Zidong. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001840.

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2023Forecasting stock return volatility in data-rich environment: A new powerful predictor. (2023). Li, Tingyu ; Zhang, Xiaotong ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001802.

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2023Identifying the true nature of price discovery and cross-market informational flow in the investment grade CDS and equity markets. (2023). Yin, Anwen ; Procasky, William J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002121.

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2023Can monthly-return rank order reveal a hidden dimension of momentum? The post-cost evidence from the U.S. stock markets. (2023). Yeomans, Julian Scott ; Luukka, Pasi ; Ahmed, Sheraz ; Patari, Eero. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000074.

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2023Interactions between investors’ fear and greed sentiment and Bitcoin prices. (2023). Schweizer, Denis ; Sahut, Jean-Michel ; Nakhli, Mohamed Sahbi ; Gaies, Brahim. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000475.

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2023Monetary policy rules and opinionated markets. (2023). Jia, Pengfei ; Zheng, Shikun ; Shen, Haopeng. In: Economics Letters. RePEc:eee:ecolet:v:223:y:2023:i:c:s0165176523000204.

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2023Simple interpolations of inflation expectations. (2023). Winkelried, Diego. In: Economics Letters. RePEc:eee:ecolet:v:229:y:2023:i:c:s0165176523002550.

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2023Time series analysis of COVID-19 infection curve: A change-point perspective. (2023). Shao, Xiaofeng ; Zhao, Zifeng ; Jiang, Feiyu. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:1-17.

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2023Estimating the variance of a combined forecast: Bootstrap-based approach. (2023). Lahiri, Kajal ; Hounyo, Ulrich. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:445-468.

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2023Synthetic Learner: Model-free inference on treatments over time. (2023). Bradic, Jelena ; Viviano, Davide. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:2:p:691-713.

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2023Asymptotic properties of Bayesian inference in linear regression with a structural break. (2023). Shimizu, Kenichi. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:202-219.

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2023Penalized time-varying model averaging. (2023). Hong, Yongmiao ; Zhang, Xinyu ; Wang, Shouyang ; Sun, Yuying. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1355-1377.

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2023Shrinkage estimation of multiple threshold factor models. (2023). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1876-1892.

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2023Model averaging for asymptotically optimal combined forecasts. (2023). Liu, Chu-An ; Chen, Yi-Ting. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:592-607.

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2023Moments, shocks and spillovers in Markov-switching VAR models. (2023). Kole, Erik ; van Dijk, Dick. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623001902.

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2023Inference and forecasting for continuous-time integer-valued trawl processes. (2023). , Almut ; Shephard, Neil ; Lunde, Asger ; Bennedsen, Mikkel. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623001926.

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2023Combining probabilistic forecasts of COVID-19 mortality in the United States. (2023). Taylor, Kathryn S. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:1:p:25-41.

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2023Pandemic portfolio choice. (2023). Weiss, Farina ; Kraft, Holger. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:1:p:451-462.

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2023Portfolio selection: A target-distribution approach. (2023). Vrins, Frédéric ; Lassance, Nathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:1:p:302-314.

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2023Loss function-based change point detection in risk measures. (2023). Wang, Shixuan ; Lazar, Emese ; Xue, Xiaohan. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:1:p:415-431.

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2023The contribution of jump signs and activity to forecasting stock price volatility. (2023). Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164.

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2023Out-of-sample equity premium prediction: The role of option-implied constraints. (2023). Zhou, TI ; Wang, Yunqi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:199-226.

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2023Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables. (2023). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:91-122.

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2023Can we forecast better in periods of low uncertainty? The role of technical indicators. (2023). Stamatogiannis, Michalis P ; Pybis, Sam ; Henry, Olan ; Fernandez, Maria Ferrer. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:1-12.

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2023Cross-sectional uncertainty and expected stock returns. (2023). Huang, Difang ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:321-340.

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2023Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach. (2023). Javed, Farrukh ; Nguyen, Hoang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:272-292.

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2023An integrated model for crude oil forecasting: Causality assessment and technical efficiency. (2023). Wang, Xuelian ; Liao, Stephen Shaoyi ; Wu, Peng ; Cheng, Xian. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005965.

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2023Forecasting the real prices of crude oil: What is the role of parameter instability?. (2023). Wang, Yudong ; Hao, Xianfeng. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322006120.

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2023Predicting energy futures high-frequency volatility using technical indicators: The role of interaction. (2023). Zhang, Yue ; Ye, Xin ; Gong, Xue. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000312.

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2023Asymmetry and interdependence when evaluating U.S. Energy Information Administration forecasts. (2023). Petrella, Ivan ; Zhang, Yunyi ; Garratt, Anthony. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001184.

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2023The rise of green energy metal: Could lithium threaten the status of oil?. (2023). Qin, Meng ; Umar, Muhammad ; Nepal, Rabindra ; Jia, Zhijie ; Shao, Xuefeng ; Su, Chiwei. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001494.

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2023The impact of consumer confidence on oil prices. (2023). Zhong, Yifan ; Umar, Muhammad ; Mirza, Nawazish ; Wang, Dan ; Su, Chi-Wei. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003183.

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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:

YearTitleTypeCited

Works by Allan Timmermann:

YearTitleTypeCited
2008The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast In: CREATES Research Papers.
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2008Forecast Combination With Entry and Exit of Experts In: CREATES Research Papers.
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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 nother version. Agregated cites: 340		article
2008Disagreement and Biases in Inflation Expectations In: CREATES Research Papers.
[Full Text][Citation analysis]		paper169
2006Disagreement and Biases in Inflation Expectations.(2006) In: Working Papers.
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2009Disagreement and Biases in Inflation Expectations.(2009) In: Journal of Money, Credit and Banking.
[Citation analysis]
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2006Disagreement and Biases in Inflation Expectations.(2006) In: Computing in Economics and Finance 2006.
[Citation analysis]
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2010Forecast Combinations In: CREATES Research Papers.
[Full Text][Citation analysis]		paper409
2010Forecast Combinations.(2010) In: Working Papers.
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2005Forecast Combinations.(2005) In: CEPR Discussion Papers.
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2006Forecast Combinations.(2006) In: Handbook of Economic Forecasting.
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2008Economic Forecasting In: Journal of Economic Literature.
[Full Text][Citation analysis]		article259
2007Economic Forecasting.(2007) In: CEPR Discussion Papers.
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2001Option prices and implied volatility dynamics under Bayesian learning In: CeNDEF Workshop Papers, January 2001.
[Citation analysis]		paper7
2005Relative Performance Evaluation Contracts and Asset Market Equilibrium In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]		paper24
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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This paper has nother version. Agregated cites: 24		paper
2007Testing Forecast Optimality Under Unknown Loss In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article106
2009Testing Dependence Among Serially Correlated Multicategory Variables In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article170
2006Testing Dependence Among Serially Correlated Multi-category Variables.(2006) In: Cambridge Working Papers in Economics.
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2006Testing Dependence among Serially Correlated Multi-category Variables.(2006) In: CESifo Working Paper Series.
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2006Testing Dependence among Serially Correlated Multi-Category Variables.(2006) In: IZA Discussion Papers.
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This paper has nother version. Agregated cites: 170		paper
1992A Simple Nonparametric Test of Predictive Performance. In: Journal of Business & Economic Statistics.
[Citation analysis]		article432
1990A SIMPLE, NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE..(1990) In: Cambridge Working Papers in Economics.
[Citation analysis]
This paper has nother version. Agregated cites: 432		paper
1990A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE..(1990) In: California Los Angeles - Applied Econometrics.
[Citation analysis]
This paper has nother version. Agregated cites: 432		paper
2001Structural Breaks, Incomplete Information, and Stock Prices. In: Journal of Business & Economic Statistics.
[Citation analysis]		article47
2001Structural Breaks, Incomplete Information and Stock Prices.(2001) In: University of California at San Diego, Economics Working Paper Series.
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2004Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article126
2003Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets.(2003) In: CEPR Discussion Papers.
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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 nother version. Agregated cites: 126		paper
2011Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article39
1995 Predictability of Stock Returns: Robustness and Economic Significance. In: Journal of Finance.
[Full Text][Citation analysis]		article463
2006Can Mutual Fund “Stars†Really Pick Stocks? New Evidence from a Bootstrap Analysis In: Journal of Finance.
[Full Text][Citation analysis]		article317
2005Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis.(2005) In: CFR Working Papers.
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This paper has nother version. Agregated cites: 317		paper
2003Recursive Modeling of Nonlinear Dynamics in UK Stock Returns In: Manchester School.
[Full Text][Citation analysis]		article12
2008Return Predictability under Equilibrium Constraints on the Equity Premium In: Working Papers.
[Full Text][Citation analysis]		paper1
2003How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper94
2003How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?.(2003) In: CESifo Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 94		paper
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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This paper has nother version. Agregated cites: 94		article
2003Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper200
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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2005Small sample properties of forecasts from autoregressive models under structural breaks.(2005) In: Journal of Econometrics.
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2004‘Real Time Econometrics’ In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		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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2005REAL-TIME ECONOMETRICS.(2005) In: Econometric Theory.
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2004Real Time Econometrics.(2004) In: IZA Discussion Papers.
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This paper has nother version. Agregated cites: 28		paper
2004‘Forecasting Time Series Subject to Multiple Structural Breaks’ In: Cambridge Working Papers in Economics.
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2004Forecasting Time Series Subject to Multiple Structural Breaks.(2004) In: CESifo Working Paper Series.
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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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2006Learning, Structural Instability and Present Value Calculations In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper44
2006Learning, Structural Instability and Present Value Calculations.(2006) In: CESifo Working Paper Series.
[Full Text][Citation analysis]
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2006Learning, structural instability and present value calculations.(2006) In: Computing in Economics and Finance 2006.
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2006Learning, Structural Instability and Present Value Calculations.(2006) In: IEPR Working Papers.
[Citation analysis]
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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.
[Full Text][Citation analysis]		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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This paper has nother version. Agregated cites: 1		paper
1990THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXESS RETURNS ON COMMON STOCKS. In: Cambridge Working Papers in Economics.
[Citation analysis]		paper1
1990THE 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 nother version. Agregated cites: 1		paper
1992Forecasting Stock Returns. In: Cambridge Working Papers in Economics.
[Citation analysis]		paper4
1992A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing. In: Cambridge Working Papers in Economics.
[Citation analysis]		paper41
1994A generalization of the non-parametric Henriksson-Merton test of market timing.(1994) In: Economics Letters.
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1995The Use of Recursive Model Selection Strategies in Forecasting Stock Returns. In: Cambridge Working Papers in Economics.
[Citation analysis]		paper0
1996A Recursive Modelling Approach to Predicting UK Stock Returns In: Cambridge Working Papers in Economics.
[Citation analysis]		paper122
2000A Recursive Modelling Approach to Predicting UK Stock Returns..(2000) In: Economic Journal.
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2002Optimal 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]		paper102
2004Optimal forecast combinations under general loss functions and forecast error distributions.(2004) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 102		article
1998The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper37
1999The hazards of mutual fund underperformance: A Cox regression analysis.(1999) In: Journal of Empirical Finance.
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This paper has nother version. Agregated cites: 37		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.
[Full Text][Citation analysis]		paper10
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.
[Full Text][Citation analysis]		paper5
1999Model Instability and Choice of Observation Window In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper8
1997Performance Measurement using Multiple Asset Class Portfolio Data In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper6
1998Data-Snooping, Technical Trading Rule Performance and the Bootstrap In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper293
2001Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper54
2003Option 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 nother version. Agregated cites: 54		article
2001Forecast Evaluation with Shared Data Sets In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper22
2003Forecast evaluation with shared data sets.(2003) In: International Journal of Forecasting.
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This paper has nother version. Agregated cites: 22		article
2002International Asset Allocation with Time-Varying Investment Opportunities In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper18
2005International Asset Allocation with Time-Varying Investment Opportunities.(2005) In: The Journal of Business.
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This paper has nother version. Agregated cites: 18		article
2002Efficient Market Hypothesis and Forecasting In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper138
2004Efficient market hypothesis and forecasting.(2004) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 138		article
2003Estimating Loss Function Parameters In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper12
2003Properties of Optimal Forecasts In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper15
2004Properties of Optimal Forecasts.(2004) In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2004Country and Industry Dynamics in Stock Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper7
2004Term Structure of Risk Under Alternative Econometric Specifications In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper66
2006Term structure of risk under alternative econometric specifications.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 66		article
2004Optimal Forecast Combination Under Regime Switching In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper57
2005OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING *.(2005) In: International Economic Review.
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This paper has nother version. Agregated cites: 57		article
2007Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach In: CEPR Discussion Papers.
[Full Text][Citation analysis]		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 nother version. Agregated cites: 58		article
2007Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper4
2009Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2010Understanding Analysts Earnings Expectations: Biases, Nonlinearities and Predictability In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper1
2010Understanding Analysts Earnings Expectations: Biases, Nonlinearities, and Predictability.(2010) In: The Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 1		article
2010Common Factors in Latin America’s Business Cycles In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper42
2011Common factors in Latin Americas business cycles.(2011) In: Journal of Development Economics.
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This paper has nother version. Agregated cites: 42		article
2010Decentralized Investment Management: Evidence from the Pension Fund Industry In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper40
2010Decentralized investment management: evidence from the pension fund industry.(2010) In: MPRA Paper.
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This paper has nother version. Agregated cites: 40		paper
2011Forecast Rationality Tests Based on Multi-Horizon Bounds In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper74
2011Regime Changes and Financial Markets In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper183
2011Regime Changes and Financial Markets.(2011) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 183		paper
2010Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average? In: Working Paper Series.
[Full Text][Citation analysis]		paper21
2003Economic Implications of Bull and Bear Regimes in UK Stock Returns In: Royal Economic Society Annual Conference 2003.
[Full Text][Citation analysis]		paper0
1994Can 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]		article14
2005Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns In: Economic Journal.
[Full Text][Citation analysis]		article128
2004Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching In: Econometric Society 2004 Australasian Meetings.
[Citation analysis]		paper13
2004Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? In: Econometric Society 2004 North American Summer Meetings.
[Full Text][Citation analysis]		paper187
2008Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?.(2008) In: Journal of the European Economic Association.
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This paper has nother version. Agregated cites: 187		article
2000Implied Learning Paths from Option Prices In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper0
1999Data mining with local model specification uncertainty: a discussion of Hoover and Perez In: Econometrics Journal.
[Citation analysis]		article10
1994Present value models with feedback : Solutions, stability, bubbles, and some empirical evidence In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article16
2007Asset allocation under multivariate regime switching In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article200
2007Properties of equilibrium asset prices under alternative learning schemes In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article32
1994Optimal properties of exponentially weighted forecasts in the presence of different information sources In: Economics Letters.
[Full Text][Citation analysis]		article0
1994Why do dividend yields forecast stock returns? In: Economics Letters.
[Full Text][Citation analysis]		article1
2001Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities In: Journal of Econometrics.
[Full Text][Citation analysis]		article98
2001Business 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 nother version. Agregated cites: 98		paper
2001Dangers of data mining: The case of calendar effects in stock returns In: Journal of Econometrics.
[Full Text][Citation analysis]		article94
2006Persistence in forecasting performance and conditional combination strategies In: Journal of Econometrics.
[Full Text][Citation analysis]		article164
2007Selection of estimation window in the presence of breaks In: Journal of Econometrics.
[Full Text][Citation analysis]		article284
2007Properties of optimal forecasts under asymmetric loss and nonlinearity In: Journal of Econometrics.
[Full Text][Citation analysis]		article86
2011Annals issue on forecasting--Guest editors introduction In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2011Variable selection, estimation and inference for multi-period forecasting problems In: Journal of Econometrics.
[Full Text][Citation analysis]		article68
2011Predictability of stock returns and asset allocation under structural breaks In: Journal of Econometrics.
[Full Text][Citation analysis]		article88
2000Moments of Markov switching models In: Journal of Econometrics.
[Full Text][Citation analysis]		article156
2006Instability of return prediction models In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article203
2002Market timing and return prediction under model instability In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article149
1995On the optimality of adaptive expectations: Muth revisited In: International Journal of Forecasting.
[Full Text][Citation analysis]		article10
2008Elusive return predictability In: International Journal of Forecasting.
[Full Text][Citation analysis]		article99
2008Reply to the discussion of Elusive Return Predictability In: International Journal of Forecasting.
[Full Text][Citation analysis]		article76
2010Monotonicity 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]		article100
2010Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article199
2012Choice of Sample Split in Out-of-Sample Forecast Evaluation In: Economics Working Papers.
[Full Text][Citation analysis]		paper77
1995Cointegration Tests of Present Value Models with a Time-Varying Discount Factor. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article34
2006An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article157
2005Completion time structures of stock price movements In: Annals of Finance.
[Full Text][Citation analysis]		article9
2005The Forecasing time series subject to multiple structure breaks In: Money Macro and Finance (MMF) Research Group Conference 2005.
[Citation analysis]		paper0
2023Breaks in the Phillips Curve: Evidence from Panel Data In: NBER Working Papers.
[Full Text][Citation analysis]		paper2
2008Size and Value Anomalies under Regime Shifts In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article46
2008International asset allocation under regime switching, skew, and kurtosis preferences In: Review of Financial Studies.
[Full Text][Citation analysis]		article204
2007An Evaluation of the World Economic Outlook Forecasts In: IMF Staff Papers.
[Full Text][Citation analysis]		article74
1999Asset Allocation Dynamics and Pension Fund Performance. In: The Journal of Business.
[Full Text][Citation analysis]		article97
2009The performance of European equity mutual funds In: CFR Working Papers.
[Citation analysis]		paper0

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