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)

44

H index

66

i10 index

6976

Citations

RESEARCH PRODUCTION:

62

Articles

103

Papers

1

Chapters

EDITOR:

1

Books edited

2

Series edited

RESEARCH ACTIVITY:

   22 years (1990 - 2012). See details.
   Cites by year: 317
   Journals where Allan Timmermann has often published
   Relations with other researchers
   Recent citing documents: 577.    Total self citations: 62 (0.88 %)

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   Permalink: http://citec.repec.org/pti8
   Updated: 2021-11-28    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 (229)

Pesaran, M (87)

Pierdzioch, Christian (86)

Rossi, Barbara (85)

Ravazzolo, Francesco (82)

Clements, Michael (74)

van Dijk, Dick (73)

Hyde, Stuart (64)

GUPTA, RANGAN (63)

Maheu, John (51)

Swanson, Norman (50)

Cites to:

Campbell, John (55)

Pesaran, M (53)

Diebold, Francis (39)

Stambaugh, Robert (31)

Watson, Mark (26)

Ang, Andrew (26)

Hamilton, James (26)

Bekaert, Geert (25)

Shiller, Robert (24)

French, Kenneth (23)

White, Halbert (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
Economics Letters3
Journal of Empirical Finance3
Journal of the American Statistical Association2
The Journal of Business2
Journal of Applied Econometrics2
Journal of Financial Econometrics2
Journal of Finance2

Working Papers Series with more than one paper published# docs
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 Mxico3
Finance / University Library of Munich, Germany2
CFR Working Papers / University of Cologne, Centre for Financial Research (CFR)2
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2
Computing in Economics and Finance 2006 / Society for Computational Economics2

Recent works citing Allan Timmermann (2021 and 2020)


YearTitle of citing document
2020Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09.

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2020Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings. (2020). Mikkelsen, Jakob ; Hillebrand, Eric ; Urga, Giovanni ; Spreng, Lars. In: CREATES Research Papers. RePEc:aah:create:2020-19.

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2020On bootstrapping tests of equal forecast accuracy for nested models. (2020). Haque, Qazi ; Doko Tchatoka, Firmin. In: School of Economics Working Papers. RePEc:adl:wpaper:2020-03.

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2020Beating the naive: Combining LASSO with naive intraday electricity price forecasts. (2020). Weron, Rafał ; Uniejewski, Bartosz ; Marcjasz, Grzegorz. In: WORking papers in Management Science (WORMS). RePEc:ahh:wpaper:worms2001.

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2020PCA forecast averaging - predicting day-ahead and intraday electricity prices. (2020). Uniejewski, Bartosz ; Serafin, Tomasz ; Maciejowska, Katarzyna. In: WORking papers in Management Science (WORMS). RePEc:ahh:wpaper:worms2002.

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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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2020On the bail-out dividend problem for spectrally negative Markov additive models. (2019). Yu, Xiang ; Jos'e-Luis P'erez, ; Noba, Kei. In: Papers. RePEc:arx:papers:1901.03021.

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2020Forecast Encompassing Tests for the Expected Shortfall. (2019). Schnaitmann, Julie ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1908.04569.

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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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2020Focused Bayesian Prediction. (2019). Frazier, David T ; Martin, Gael M ; Loaiza-Maya, Ruben. In: Papers. RePEc:arx:papers:1912.12571.

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2020Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598.

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2020Equal risk option pricing with deep reinforcement learning. (2020). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2002.08492.

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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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2020Machine Learning Algorithms for Financial Asset Price Forecasting. (2020). Ndikum, Philip. In: Papers. RePEc:arx:papers:2004.01504.

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2020Neural Networks and Value at Risk. (2020). Weisheit, Stefan ; Klawunn, Michael ; Hoepner, Andreas ; Borth, Damian ; Arimond, Alexander. In: Papers. RePEc:arx:papers:2005.01686.

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2020The Murphy Decomposition and the Calibration-Resolution Principle: A New Perspective on Forecast Evaluation. (2020). Pohle, Marc-Oliver. In: Papers. RePEc:arx:papers:2005.01835.

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2020False (and Missed) Discoveries in Financial Economics. (2020). Liu, Yan ; Harvey, Campbell R. In: Papers. RePEc:arx:papers:2006.04269.

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2020Proper scoring rules for evaluating asymmetry in density forecasting. (2020). Ravazzolo, Francesco ; Iacopini, Matteo ; Rossini, Luca. In: Papers. RePEc:arx:papers:2006.11265.

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2020Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model. (2020). Li, Bingqing ; Fu, Michael C ; Zhang, Tianqi ; Wu, Rongwen . In: Papers. RePEc:arx:papers:2006.15054.

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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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2020How is Machine Learning Useful for Macroeconomic Forecasting?. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.12477.

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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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2020Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary. (2020). Schnaitmann, Julie ; Liu, Xiaochun ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2009.07341.

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2020Optimal probabilistic forecasts: When do they work?. (2020). Loaiza Maya, Rubén ; Frazier, David T ; Loaiza-Maya, Rub'En ; Martin, Gael M ; Hassan, Andr'Es Ram'Irez ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2009.09592.

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2020lCARE -- localizing Conditional AutoRegressive Expectiles. (2020). Hardle, Wolfgang Karl ; Mihoci, Andrija ; Xu, Xiu. In: Papers. RePEc:arx:papers:2009.13215.

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

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2020Time-varying Forecast Combination for High-Dimensional Data. (2020). Maung, Kenwin ; Chen, Bin. In: Papers. RePEc:arx:papers:2010.10435.

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2020Optimal control of multiple Markov switching stochastic system with application to portfolio decision. (2020). Shi, Jianmin. In: Papers. RePEc:arx:papers:2010.16102.

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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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2020Robust Forecasting. (2020). Moon, Hyungsik Roger ; Christensen, Timothy ; Schorfheide, Frank. In: Papers. RePEc:arx:papers:2011.03153.

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2020Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models. (2020). Leonardos, Stefanos ; Koki, Constandina ; Piliouras, Georgios. In: Papers. RePEc:arx:papers:2011.03741.

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2020Bull and Bear Markets During the COVID-19 Pandemic. (2020). Maheu, John ; McCurdy, Thomas H ; Song, Yong. In: Papers. RePEc:arx:papers:2012.01623.

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2020Trader-Company Method: A Metaheuristic for Interpretable Stock Price Prediction. (2020). Minami, Kentaro ; Ito, Katsuya ; Nakagawa, Kei ; Imajo, Kentaro. In: Papers. RePEc:arx:papers:2012.10215.

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2021On 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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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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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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2020Forecasting GDP growth from outer space. (2020). Galimberti, Jaqueson. In: Working Papers. RePEc:aut:wpaper:202002.

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2020Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models?. (2020). Pedio, Manuela ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20140.

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2020Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets. (2020). Pedio, Manuela ; Guidolin, Massimo ; Bianchi, Daniele. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20143.

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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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2020The New Benchmark for Forecasts of the Real Price of Crude Oil. (2020). Snudden, Stephen ; Ellwanger, Reinhard ; Benmoussa, Amor Aniss. In: Staff Working Papers. RePEc:bca:bocawp:20-39.

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2020Commodity Prices and Global Economic Activity: a derived-demand approach. (2020). Gaglianone, Wagner ; Duarte, Angelo Montalverne ; Issler, Joo Victor ; de Carvalho, Osmani Teixeira. In: Working Papers Series. RePEc:bcb:wpaper:539.

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2020Asymmetry in the conditional distribution of euro-area inflation. (2020). Tagliabracci, Alex. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1270_20.

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2020From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multi-Horizon Uncertainty from Survey Density Forecasts. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: Working Papers. RePEc:bge:wpaper:1142.

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2020Optimal Policy Perturbations. (2020). Mesters, Geert ; Barnichon, Regis. In: Working Papers. RePEc:bge:wpaper:1171.

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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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2020Equity risk versus retirement adequacy: asset allocation solutions for KiwiSaver. (2020). Bianchi, Robert J ; MacDonald, Kirsten L ; Drew, Michael E. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:3851-3873.

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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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2020Beyond the efficient markets hypothesis: Towards a new paradigm. (2020). Fender, John . In: Bulletin of Economic Research. RePEc:bla:buecrs:v:72:y:2020:i:3:p:333-351.

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2020Making Fiscal Adjustments Using Event Probability Forecasts in OECD Countries. (2020). Ong, Kian ; Lee, Kevin ; Shields, Kalvinder K. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:294-313.

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2020Estimating portfolio risk for tail risk protection strategies. (2020). Lohre, Harald ; Happersberger, David ; Nolte, Ingmar. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:4:p:1107-1146.

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2020How Skilled Are Security Analysts?. (2020). Crotty, Kevin ; Crane, Alan. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1629-1675.

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2020Consumption Fluctuations and Expected Returns. (2020). Priestley, Richard ; Moller, Stig V ; Atanasov, Victoria. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1677-1713.

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2020False (and Missed) Discoveries in Financial Economics. (2020). Harvey, Campbell R ; Liu, Yan. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2503-2553.

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2020A similarity‐based approach for macroeconomic forecasting. (2020). Marcellino, Massimiliano ; Kapetanios, G ; Dendramis, Y. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:3:p:801-827.

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2020Real‐Time Fiscal Forecasting Using Mixed‐Frequency Data. (2020). Paredes, Joan ; Asimakopoulos, Stylianos ; Warmedinger, Thomas. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:122:y:2020:i:1:p:369-390.

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2020An autoregressive model based on the generalized hyperbolic distribution. (2020). Karttunen, Henri. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:47:y:2020:i:3:p:787-816.

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2020Ongoing Debate Between Foreign Aid and Economic Growth in Nigeria: A Wavelet Analysis. (2020). Kalmaz, Demet Beton ; Adebayo, Tomiwa Sunday. In: Social Science Quarterly. RePEc:bla:socsci:v:101:y:2020:i:5:p:2032-2051.

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2020News media vs. FRED-MD for macroeconomic forecasting. (2020). Thorsrud, Leif ; Larsen, Vegard ; Ellingsen, Jon. In: Working Paper. RePEc:bno:worpap:2020_14.

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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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2020Proper scoring rules for evaluating asymmetry in density forecasting. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Iacopini, Matteo. In: Working Papers. RePEc:bny:wpaper:0089.

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2020News media vs. FRED-MD for macroeconomic forecasting. (2020). Thorsrud, Leif ; Larsen, Vegard ; Ellingsen, Jon. In: Working Papers. RePEc:bny:wpaper:0091.

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2021Quantifying time-varying forecast uncertainty and risk for the real price of oil. (2021). Djik, Herman K ; Cross, Jamie ; Aastveit, Knut Are. In: Working Papers. RePEc:bny:wpaper:0099.

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2020Do Expert Experience and Characteristics Affect Inflation Forecasts?. (2020). Benchimol, Jonathan ; Saadon, Yossi ; El-Shagi, Makram. In: Bank of Israel Working Papers. RePEc:boi:wpaper:2020.11.

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2020The role of the threshold effect for the dynamics of futures and spot prices of energy commodities. (2020). Uddin, Gazi ; Rubaszek, Michał ; Marek, Kwas ; Zuzanna, Karolak. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:5:p:20:n:1.

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2021How do volatility regimes affect the pricing of quality and liquidity in the stock market?. (2021). Hübner, Georges ; Tarik, Bazgour ; Danielle, Sougne ; Georges, Hubner ; Cedric, Heuchenne. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:17:n:3.

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2021What model for the target rate. (2021). Feunou, Bruno ; Bruno, Feunou ; Jianjian, Jin ; Jean-Sebastien, Fontaine. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:23:n:1.

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2020The Hard Problem of Prediction for Conflict Prevention. (2020). Mueller, Hannes ; Rauh, C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2015.

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2021The Hard Problem of Prediction for Conflict Prevention. (2021). Mueller, Hannes ; Rauh, C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2103.

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2020Systematic Liquidity Risk Premia. (2020). Hong, Sanghyun ; Boyle, Glenn. In: Working Papers in Economics. RePEc:cbt:econwp:20/15.

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2021Do You Know that I Know that You Know...? Higher-Order Beliefs in Survey Data. (2018). Gorodnichenko, Yuriy ; Coibion, Olivier ; Ryngaert, Jane ; Kumar, Saten. In: Department of Economics, Working Paper Series. RePEc:cdl:econwp:qt5cd1r3bd.

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2020On the Performance of Cryptocurrency Funds. (2020). Babiak, Mykola ; Bianchi, Daniele. In: CERGE-EI Working Papers. RePEc:cer:papers:wp672.

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2020Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp677.

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2021Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions. (2021). Anatolyev, Stanislav ; Pyrlik, Vladimir . In: CERGE-EI Working Papers. RePEc:cer:papers:wp699.

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2020Categorical Forecasts and Non-Categorical Loss Functions. (2020). Bürgi, Constantin ; Bürgi, Constantin ; Bürgi, Constantin ; Boumans, Dorine. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8266.

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2020Are Characteristics Covariances or Characteristics?. (2020). Fieberg, Christian ; Hornuf, Lars. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8377.

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2020Perceived Uncertainty Shocks, Excess Optimism-Pessimism, and Learning in the Business Cycle. (2020). Milani, Fabio ; Chatterjee, Pratiti. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8608.

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2020News Media vs. FRED-MD for Macroeconomic Forecasting. (2020). Thorsrud, Leif ; Larsen, Vegard ; Ellingsen, Jon. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8639.

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2020Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity. (2020). Sheng, Xuguang ; Peng, Huaming ; Lahiri, Kajal. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8810.

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2021Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2021). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8828.

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2021Point Targets, Tolerance Bands, or Target Ranges? Inflation Target Types and the Anchoring of Inflation Expectations. (2021). Ehrmann, Michael. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9034.

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2020Forecasting the Covid-19 Recession and Recovery: Lessons from the Financial Crisis. (2020). Stevanovic, Dalibor ; Marcellino, Massimiliano ; Foroni, Claudia. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-32.

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2020Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, Stephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-42.

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2020Terms of trade shocks and taxation in developing countries. (2020). Hernandez, Gonzalo ; Prieto, Maria Alejandra . In: Revista Cuadernos de Economía. RePEc:col:000093:018260.

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2020Asymmetric information and daily stock prices in Brazil. (2020). Ichimura, Denis ; Videira, Raphael ; Ripamonti, Alexandre. In: Estudios Gerenciales. RePEc:col:000129:019082.

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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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paper262
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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2008Disagreement and Biases in Inflation Expectations In: CREATES Research Papers.
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paper141
2006Disagreement and Biases in Inflation Expectations.(2006) In: Working Papers.
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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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paper
2010Forecast Combinations In: CREATES Research Papers.
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paper342
2010Forecast Combinations.(2010) In: Working Papers.
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paper
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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article197
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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paper5
2005Relative Performance Evaluation Contracts and Asset Market Equilibrium In: Birkbeck Working Papers in Economics and Finance.
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paper19
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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paper
2007Testing Forecast Optimality Under Unknown Loss In: Journal of the American Statistical Association.
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article90
2009Testing Dependence Among Serially Correlated Multicategory Variables In: Journal of the American Statistical Association.
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article127
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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2006Testing Dependence among Serially Correlated Multi-Category Variables.(2006) In: IZA Discussion Papers.
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paper
1992A Simple Nonparametric Test of Predictive Performance. In: Journal of Business & Economic Statistics.
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article358
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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paper
2001Structural Breaks, Incomplete Information, and Stock Prices. In: Journal of Business & Economic Statistics.
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article44
2001Structural Breaks, Incomplete Information and Stock Prices.(2001) In: University of California at San Diego, Economics Working Paper Series.
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paper
1998Structural Breaks, Incomplete Information and Stock Prices.(1998) In: FMG Discussion Papers.
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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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article91
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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paper
2011Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach In: Journal of Business & Economic Statistics.
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article25
1995 Predictability of Stock Returns: Robustness and Economic Significance. In: Journal of Finance.
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article378
2006Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis In: Journal of Finance.
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article219
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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paper87
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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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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article
2003Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks In: Cambridge Working Papers in Economics.
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paper148
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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paper26
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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2004‘Forecasting Time Series Subject to Multiple Structural Breaks’ In: Cambridge Working Papers in Economics.
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paper188
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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paper
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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paper43
2006Learning, Structural Instability and Present Value Calculations.(2006) In: CESifo Working Paper Series.
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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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article
2006Learning, structural instability and present value calculations.(2006) In: Discussion Paper Series 1: Economic Studies.
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paper
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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paper
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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paper38
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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paper111
2000A Recursive Modelling Approach to Predicting UK Stock Returns..(2000) In: Economic Journal.
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article
1999A Recursive Modelling Approach to Predicting UK Stock Returns.(1999) In: FMG Discussion Papers.
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paper
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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paper86
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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paper35
1999The hazards of mutual fund underperformance: A Cox regression analysis.(1999) In: Journal of Empirical Finance.
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article
1998The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis.(1998) In: FMG Discussion Papers.
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paper
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
1998The Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns.(1998) In: FMG Discussion Papers.
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paper
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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paper6
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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paper282
1998Data-Snooping, Technical Trading, Rule Performance and the Bootstrap.(1998) In: FMG Discussion Papers.
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This paper has another version. Agregated cites: 282
paper
2001Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities In: CEPR Discussion Papers.
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paper45
2003Option prices under Bayesian learning: implied volatility dynamics and predictive densities.(2003) In: Journal of Economic Dynamics and Control.
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article
2001Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities.(2001) In: FMG Discussion Papers.
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paper
2001Forecast Evaluation with Shared Data Sets In: CEPR Discussion Papers.
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paper21
2003Forecast evaluation with shared data sets.(2003) In: International Journal of Forecasting.
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article
2002International Asset Allocation with Time-Varying Investment Opportunities In: CEPR Discussion Papers.
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paper17
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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paper113
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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paper10
2003Properties of Optimal Forecasts In: CEPR Discussion Papers.
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paper10
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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paper60
2006Term structure of risk under alternative econometric specifications.(2006) In: Journal of Econometrics.
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article
2004Optimal Forecast Combination Under Regime Switching In: CEPR Discussion Papers.
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paper44
2005OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING *.(2005) In: International Economic Review.
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2007Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach In: CEPR Discussion Papers.
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paper54
2009Forecasts of US short-term interest rates: A flexible forecast combination approach.(2009) In: Journal of Econometrics.
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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: Journal of Financial Econometrics.
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2010Common Factors in Latin America’s Business Cycles In: CEPR Discussion Papers.
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paper38
2011Common factors in Latin Americas business cycles.(2011) In: Journal of Development Economics.
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2010Decentralized Investment Management: Evidence from the Pension Fund Industry In: CEPR Discussion Papers.
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2010Decentralized investment management: evidence from the pension fund industry.(2010) In: MPRA Paper.
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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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paper109
2011Regime Changes and Financial Markets.(2011) In: NBER Working Papers.
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2010Variable Selection, Estimation and Inference for Multi-period Forecasting Problems In: DNB Working Papers.
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paper47
2011Variable selection, estimation and inference for multi-period forecasting problems.(2011) In: Journal of Econometrics.
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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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paper11
2003Economic Implications of Bull and Bear Regimes in UK Stock Returns In: Royal Economic Society Annual Conference 2003.
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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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2005Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns In: Economic Journal.
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2004Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching In: Econometric Society 2004 Australasian Meetings.
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2004Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? In: Econometric Society 2004 North American Summer Meetings.
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paper145
2008Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?.(2008) In: Journal of the European Economic Association.
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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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1994Present value models with feedback : Solutions, stability, bubbles, and some empirical evidence In: Journal of Economic Dynamics and Control.
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2007Asset allocation under multivariate regime switching In: Journal of Economic Dynamics and Control.
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article173
2007Properties of equilibrium asset prices under alternative learning schemes In: Journal of Economic Dynamics and Control.
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1994Optimal properties of exponentially weighted forecasts in the presence of different information sources In: Economics Letters.
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1994Why do dividend yields forecast stock returns? In: Economics Letters.
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2001Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities In: Journal of Econometrics.
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article89
2000Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities.(2000) In: FMG Discussion Papers.
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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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2001Dangers of data mining: The case of calendar effects in stock returns In: Journal of Econometrics.
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2006Persistence in forecasting performance and conditional combination strategies In: Journal of Econometrics.
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article129
2007Selection of estimation window in the presence of breaks In: Journal of Econometrics.
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article233
2007Properties of optimal forecasts under asymmetric loss and nonlinearity In: Journal of Econometrics.
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article77
2011Annals issue on forecasting--Guest editors introduction In: Journal of Econometrics.
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2011Predictability of stock returns and asset allocation under structural breaks In: Journal of Econometrics.
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2000Moments of Markov switching models In: Journal of Econometrics.
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1999Moments of Markov Switching Models.(1999) In: FMG Discussion Papers.
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2006Instability of return prediction models In: Journal of Empirical Finance.
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2002Market Timing and Return Prediction under Model Instability.(2002) In: FMG Discussion Papers.
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2008Reply to the discussion of Elusive Return Predictability In: International Journal of Forecasting.
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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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2010Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion In: Journal of Monetary Economics.
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1999Firm Size and Cyclical Variations in Stock Returns In: FMG Discussion Papers.
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2002(UBS Pensions Series 3) Performance Clustering and Incentives in the UK Pension Fund Industry In: FMG Discussion Papers.
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2002(UBS Pensions Series 4) Returns from Active Management in International Equity Markets; Evidence from a Panel of UK Pension Funds In: FMG Discussion Papers.
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2005The Forecasing time series subject to multiple structure breaks In: Money Macro and Finance (MMF) Research Group Conference 2005.
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2008Size and Value Anomalies under Regime Shifts In: Journal of Financial Econometrics.
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