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)

40

H index

67

i10 index

5313

Citations

RESEARCH PRODUCTION:

67

Articles

107

Papers

1

Chapters

EDITOR:

1

Books edited

2

Series edited

RESEARCH ACTIVITY:

   22 years (1990 - 2012). See details.
   Cites by year: 241
   Journals where Allan Timmermann has often published
   Relations with other researchers
   Recent citing documents: 475.    Total self citations: 65 (1.21 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pti8
   Updated: 2018-11-17    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 (205)

Pesaran, M (84)

Pierdzioch, Christian (81)

van Dijk, Dick (73)

Ravazzolo, Francesco (66)

Hyde, Stuart (63)

Clements, Michael (61)

GUPTA, RANGAN (54)

Rossi, Barbara (50)

Maheu, John (48)

Menkhoff, Lukas (47)

Cites to:

Campbell, John (57)

Pesaran, M (50)

Diebold, Francis (39)

Shiller, Robert (27)

Ang, Andrew (26)

Bekaert, Geert (25)

Watson, Mark (25)

Stambaugh, Robert (24)

West, Kenneth (24)

White, Halbert (23)

French, Kenneth (21)

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
Journal of Finance4
Journal of Empirical Finance3
Economics Letters3
Journal of Applied Econometrics2
Journal of the American Statistical Association2
The Journal of Business2
Journal of Financial Econometrics2

Working Papers Series with more than one paper published# docs
CESifo Working Paper Series / CESifo Group Munich7
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego6
Working Papers / Banco de Mťxico3
IZA Discussion Papers / Institute for the Study of Labor (IZA)3
Finance / University Library of Munich, Germany2
Computing in Economics and Finance 2006 / Society for Computational Economics2
IMF Working Papers / International Monetary Fund2
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2
Working Paper Series / European Central Bank2
CFR Working Papers / University of Cologne, Centre for Financial Research (CFR)2

Recent works citing Allan Timmermann (2018 and 2017)


YearTitle of citing document
2017Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2017-13.

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2017Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19.

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2018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-13.

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2018Time-varying parameters: New test tailored to applications in finance and macroeconomics. (2018). Davidson, Russell ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-22.

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2018Forecasters’ utility and forecast coherence. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-23.

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2017The Social Cost of Near-Rational Investment. (2017). Hassan, Tarek ; Mertens, Thomas M. In: American Economic Review. RePEc:aea:aecrev:v:107:y:2017:i:4:p:1059-1103.

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2017Twenty Years of Time Series Econometrics in Ten Pictures. (2017). Stock, James H ; Watson, Mark W. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:31:y:2017:i:2:p:59-86.

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2018Does exchange rate always affect the number of inbound tourists significantly in China?. (2018). Gao, Xue ; Su, Chi-Wei ; Chang, Hsu-Ling. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(614):y:2018:i:1(614):p:55-72.

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2017Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers. (2017). Galeotti, Marzio ; Bastianin, Andrea ; Manera, Matteo. In: Economic Theory and Applications Working Papers. RePEc:ags:feemet:253725.

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2018BUBBLES IN THE PRICES OF HOUSING? EVIDENCE TO BRAZIL?S ECONOMY. (2018). Silva, Marcelo ; da Nobrega, Cassio ; Paes, Nelson Leito. In: Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting]. RePEc:anp:en2016:118.

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2018Frequentist size of Bayesian inequality tests. (2018). Kaplan, David ; Zhuo, Longhao . In: Papers. RePEc:arx:papers:1607.00393.

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2017How Wave - Wavelet Trading Wins and Beats the Market. (2017). Tran, Lanh . In: Papers. RePEc:arx:papers:1704.00383.

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2017Residual Value Forecasting Using Asymmetric Cost Functions. (2017). von Mettenheim, Hans-Jörg ; Lessmann, Stefan ; Dress, Korbinian . In: Papers. RePEc:arx:papers:1707.02736.

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2017A simple model for forecasting conditional return distributions. (2017). Baruník, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681.

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2018A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2018). Lejay, Antoine ; Pigato, Paolo. In: Papers. RePEc:arx:papers:1712.08329.

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2018Generalized Information Ratio. (2018). He, Zhongzhi Lawrence . In: Papers. RePEc:arx:papers:1803.01381.

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2018Large-Scale Dynamic Predictive Regressions. (2018). Bianchi, Daniele ; McAlinn, Kenichiro. In: Papers. RePEc:arx:papers:1803.06738.

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2018Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers. (2018). Manera, Matteo ; Galeotti, Marzio ; Bastianin, Andrea. In: Papers. RePEc:arx:papers:1804.08315.

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2018Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1805.03807.

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2018The Evolution of Security Prices Is Governed by a Physicomathematical Law. (2018). Tzara, Wally. In: Papers. RePEc:arx:papers:1807.10114.

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2017Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence*. (2017). Guidolin, Massimo ; Chincoli, Francesco . In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1754.

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2017Volatility as an Alternative asset Class: Does It Improve Portfolio Performance?. (2017). Guidolin, Massimo ; Caloiero, Elvira. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1763.

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2018Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds Alphas?. (2018). Guidolin, Massimo ; Pedio, Manuela ; Berglund, Alexander. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1884.

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2018Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence. (2018). Guidolin, Massimo ; Orlov, Alexei G. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1887.

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2017Markov-Switching Three-Pass Regression Filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre . In: Staff Working Papers. RePEc:bca:bocawp:17-13.

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2017Empirical Findings on Inflation Expectations in Brazil: a survey. (2017). Gaglianone, Wagner. In: Working Papers Series. RePEc:bcb:wpaper:464.

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2017A suite of inflation forecasting models. (2017). Alvarez, Luis ; Sanchez, Isabel . In: Occasional Papers. RePEc:bde:opaper:1703.

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2017Monetary policy, stock market and sectoral comovement. (2017). Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre . In: Working Papers. RePEc:bde:wpaper:1731.

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2017Markov-switching three-pass regression filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; Guérin, Pierre. In: Working Papers. RePEc:bde:wpaper:1748.

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2017Optimal density forecast combinations. (2017). Ganics, Gergely. In: Working Papers. RePEc:bde:wpaper:1751.

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2018Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M. In: BIS Papers. RePEc:bis:bisbps:95.

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2017The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?. (2017). Moessner, Richhild ; Funke, Michael ; Loermann, Julius . In: BIS Working Papers. RePEc:bis:biswps:652.

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2017Asset prices and macroeconomic outcomes: a survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: BIS Working Papers. RePEc:bis:biswps:676.

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2018When are credit gap estimates reliable?. (2018). Ponomarenko, Alexey ; Deryugina, Elena ; Rozhkova, Anna. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps34.

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2017Firm life cycle, corporate risk-taking and investor sentiment. (2017). Habib, Ahsan ; Hasan, Mostafa Monzur. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:2:p:465-497.

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2017OUTPUT GROWTH AND STRUCTURAL REFORM IN LATIN AMERICA: HAVE BUSINESS CYCLES CHANGED?. (2017). Fossati, Sebastian. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:35:y:2017:i:1:p:62-75.

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2017Timing the Market with a Combination of Moving Averages. (2017). Glabadanidis, Paskalis. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:353-394.

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2017Duration Dependence, Behavioral Restrictions, and the Market Timing Ability of Commodity Trading Advisors. (2017). Frömmel, Michael ; Mende, Alexander ; Frommel, Michael ; Elaut, Gert. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:427-450.

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2017A CLOSER LOOK AT VALUE PREMIUM: LITERATURE REVIEW AND SYNTHESIS. (2017). Pätäri, Eero ; Leivo, Timo ; Patari, Eero. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:1:p:79-168.

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2017THE VALUE IN FUNDAMENTAL ACCOUNTING INFORMATION. (2017). Turtle, H J ; Wang, Kainan. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:1:p:113-140.

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2017Time-Varying Transition Probabilities for Markov Regime Switching Models. (2017). Lucas, Andre ; Koopman, Siem Jan ; Blasques, Francisco ; Bazzi, Marco . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:3:p:458-478.

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2017A Simple Approach for Diagnosing Instabilities in Predictive Regressions. (2017). Pitarakis, Jean-Yves. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:5:p:851-874.

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2017Safe-haven currency: An empirical identification. (2017). Lee, Kang-Soek. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:4:p:924-947.

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2017WHEN ARE WAVELETS USEFUL FORECASTERS?. (2017). Yazgan, Ege ; Gencay, Ramazan . In: Working Papers. RePEc:bli:wpaper:1704.

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2017The transmission of monetary policy shocks. (2017). Ricco, Giovanni ; Miranda-Agrippino, Silvia. In: Bank of England working papers. RePEc:boe:boeewp:0657.

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2017The real effects of overconfidence and fundamental uncertainty shocks. (2017). Ambrocio, Gene. In: Research Discussion Papers. RePEc:bof:bofrdp:037.

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2017Formation of inflation expectations in turbulent times : Can ECB manage inflation expectations of professional forecasters?. (2017). Paloviita, Maritta ; ŇĀyziak, Tomasz. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_013.

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2017The real effects of overconfidence and fundamental uncertainty shocks. (2017). Ambrocio, Gene. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_037.

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2017Behavioral Biases in Firms Growth Expectations. (2017). Koga, Maiko ; Kato, Haruko . In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp17e09.

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2017Forecasting in the presence of in and out of sample breaks. (2017). Perron, Pierre ; Xu, Jiawen. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2017-004.

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2017Qualitative and quantitative central bank communication and inflation expectations. (2017). Hubert, Paul ; Paul, Hubert . In: The B.E. Journal of Macroeconomics. RePEc:bpj:bejmac:v:17:y:2017:i:1:p:41:n:7.

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201725 Jahre Fama-French-Modell: Erklärungsgehalt, Anomalien und praktische Implikationen. (2017). Christoph, Kaserer ; Matthias, Hanauer . In: Perspektiven der Wirtschaftspolitik. RePEc:bpj:pewipo:v:18:y:2017:i:2:p:98-116:n:4.

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2018Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models. (2018). Carvalho, Carlos ; Pettenuzzo, Davide ; Fisher, Jared D. In: Working Papers. RePEc:brd:wpaper:123.

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2017Does Business Confidence Matter for Investment?. (2017). Khan, Hashmat ; Upadhayaya, Santosh. In: Carleton Economic Papers. RePEc:car:carecp:17-13.

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2017The Effect of Disaggregate Information on the Expectation Formation of Firms. (2017). Buchheim, Lukas ; Link, Sebastian. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6768.

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2018Households’ Inflation Perceptions and Expectations: Survey Evidence from New Zealand. (2018). Neumeier, Florian ; Hayo, Bernd. In: ifo Working Paper Series. RePEc:ces:ifowps:_255.

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2018Bayesian Vector Autoregressions. (2018). Ricco, Giovanni ; Miranda-Agrippino, Silvia. In: Discussion Papers. RePEc:cfm:wpaper:1808.

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2017Forecasting economic activity in data-rich environment. (2017). Stevanovic, Dalibor ; Kotchoni, Rachidi ; Leroux, Maxime . In: CIRANO Working Papers. RePEc:cir:cirwor:2017s-05.

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2017Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan G ; Lunde, Asger ; Groenborg, Niels . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11896.

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2017Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12460.

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2018An approach to increasing forecast-combination accuracy through VAR error modeling. (2018). Wilfling, Bernd ; Weigt, Till. In: CQE Working Papers. RePEc:cqe:wpaper:6818.

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2017The impact of ECBs conventional and unconventional monetary policies on European banking indexes returns.. (2017). Perdichizzi, Salvatore. In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def059.

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2017Market Timing under Limited Information: An Empirical Investigation in US Treasury Market. (2017). Tong, Guoshi. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2017:v:18:i:1:tong.

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2017Market Timing under Limited Information: An Empirical Investigation in US Treasury Market. (2017). Tong, Guoshi. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2017:v:18:i:2:tong.

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2017A sectoral analysis of asymmetric nexus between oil and stock. (2017). Salisu, Afees ; Ndako, Umar ; Raheem, Ibrahim D. In: Working Papers. RePEc:cui:wpaper:0033.

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2018Predicting exchange rate with commodity prices: The role of structural breaks and asymmetries. (2018). Salisu, Afees ; Alimi, Wasiu A ; Emmanuel, Zachariah ; Adekunle, Wasiu. In: Working Papers. RePEc:cui:wpaper:0055.

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2017Model Uncertainty and Exchange Rate Forecasting. (2017). Markiewicz, Agnieszka ; Kouwenberg, Roy ; Verhoeks, Ralph . In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:52:y:2017:i:01:p:341-363_00.

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2017Distinctive Characteristics of the Causality between the PPI and CPI: Evidence from Romania. (2017). Khan, Khalid ; Xiong, De-Ping ; Su, Chi-Wei. In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2017:i:2:p:103-123.

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2017Does it pay to pay performance fees? Empirical evidence from Dutch pension funds. (2017). Broeders, Dirk ; Rijsbergen, David ; van Oord, Arco . In: DNB Working Papers. RePEc:dnb:dnbwpp:561.

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2018Benchmark selection and performance. (2018). de Haan, Leo ; Broeders, Dirk. In: DNB Working Papers. RePEc:dnb:dnbwpp:603.

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2018Pension fund equity performance: Patience, activity or both?. (2018). Lelyveld, Iman ; Lucivjanska, Katarina ; van Lelyveld, Iman ; Gonzalez, Tanja Artiga . In: DNB Working Papers. RePEc:dnb:dnbwpp:606.

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2017Forecasting economic activity in data-rich environment. (2017). Stevanovic, Dalibor ; Kotchoni, Rachidi ; Leroux, Maxime . In: EconomiX Working Papers. RePEc:drm:wpaper:2017-5.

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2017Predicting Advertising Volumes Using Structural Time Series Models: A Case Study. (2017). Dewenter, Ralf ; Heimeshoff, Ulrich. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00140.

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2018Sentiment and sign predictability of stock returns. (2018). Pönkä, Harri ; Pnk, Harri. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00948.

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2018Fiscal credibility and disagreement in expectations about inflation: evidence for Brazil. (2018). Montes, Gabriel Caldas ; Acar, Tatiana. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00001.

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2017Mind the output gap: the disconnect of growth and inflation during recessions and convex Phillips curves in the euro area. (2017). Semmler, Willi ; Gross, Marco. In: Working Paper Series. RePEc:ecb:ecbwps:20172004.

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2017How Does Volatility of Characteristics-sorted Portfolios Respond to Macroeconomic Volatility?. (2017). al Samman, Ahmed ; Otaify, Mahmoud Moustafa. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-04-39.

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2018Usefulness of economic and energy data at different frequencies for carbon price forecasting in the EU ETS. (2018). Zhao, Xin ; Kang, Wanglin ; Ding, Lili ; Han, Meng. In: Applied Energy. RePEc:eee:appene:v:216:y:2018:i:c:p:132-141.

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2018Renminbi exchange rate assessment and competitors exports: New perspective. (2018). Lee, Chien-Chiang ; Zeng, Jhih-Hong ; Chen, Pei-Fen . In: China Economic Review. RePEc:eee:chieco:v:50:y:2018:i:c:p:187-205.

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2017Learning and forecasts about option returns through the volatility risk premium. (2017). Bernales, Alejandro ; Valenzuela, Marcela ; Chen, Louisa. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:312-330.

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2017Estimation of financial agent-based models with simulated maximum likelihood. (2017). Baruník, Jozef ; Kukacka, Jiri. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:21-45.

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2018The macroeconomic and fiscal implications of inflation forecast errors. (2018). Tavlas, George ; Hall, Stephen G ; Gibson, Heather D ; Dellas, Harris . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:93:y:2018:i:c:p:203-217.

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2017Modelling the implied volatility surface based on Shanghai 50ETF options. (2017). Wang, Jinzhong ; Zhang, Ting ; Tao, Qizhi ; Chen, Shijiang . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:295-301.

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2017The financial cycles in four East Asian economies. (2017). Pontines, Victor. In: Economic Modelling. RePEc:eee:ecmode:v:65:y:2017:i:c:p:51-66.

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2017Forecasting Chinas GDP growth using dynamic factors and mixed-frequency data. (2017). Jiang, YU ; Zhang, Yihao ; Guo, Yongji . In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:132-138.

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2017The cross section of international government bond returns. (2017). Zaremba, Adam ; Czapkiewicz, Anna. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:171-183.

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2017Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model. (2017). Siu, Tak Kuen ; Ching, Wai-Ki ; Lu, Jiejun ; Zhu, Dong-Mei . In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:223-232.

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2017Generalized financial ratios to predict the equity premium. (2017). Algaba, Andres ; Boudt, Kris. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:244-257.

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2017Dissecting models forecasting performance. (2017). Siliverstovs, Boriss. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:294-299.

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2018How efficient are Chinas macroeconomic forecasts? Evidences from a new forecasting evaluation approach. (2018). Sun, Yuying ; Zhang, Xun ; Wang, Shouyang. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:506-513.

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2018A quarterly Phillips curve for Switzerland using interpolated data, 1963‚Äď2016. (2018). Stuart, Rebecca. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:78-86.

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2018On the formation of inflation expectations in turbulent times: The case of the euro area. (2018). ŇĀyziak, Tomasz ; Paloviita, Maritta. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:132-139.

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2018Testing the optimality of inflation forecasts under flexible loss with random forests. (2018). Pierdzioch, Christian ; Risse, Marian ; Behrens, Christoph. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:270-277.

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2018Forecasting the aggregate oil price volatility in a data-rich environment. (2018). Ma, Feng ; Zhang, Yaojie ; Wahab, M. I. M., ; Liu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:320-332.

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2018Evaluating nowcasts of bridge equations with advanced combination schemes for the Turkish unemployment rate. (2018). Soybilgen, Baris ; Yazgan, Ege . In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:99-108.

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2018Discretionary fiscal policy and disagreement in expectations about fiscal variables empirical evidence from Brazil. (2018). Montes, Gabriel Caldas ; Luna, Paulo Henrique. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:100-116.

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2017Firm size, economic risks, and the cross-section of international stock returns. (2017). Nitschka, Thomas ; Atanasov, Victoria . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:110-126.

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2017Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation. (2017). Li, Leon. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:116-135.

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2017Learning about individual managers’ performance in UK pension funds: The importance of specialization. (2017). Alda, Mercedes ; Sarto, Jose Luis ; Andreu, Laura. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:654-667.

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2018Optimal combination of currency strategies. (2018). Laborda, Ricardo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:129-140.

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2018The ‚ÄúSell in May‚ÄĚ effect: A review and new empirical evidence. (2018). Degenhardt, Thomas ; Auer, Benjamin R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:169-205.

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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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paper4
2008Forecast Combination With Entry and Exit of Experts In: CREATES Research Papers.
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paper156
2006Forecast Combination with Entry and Exit of Experts.(2006) In: Working Papers.
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paper
2009Forecast Combination With Entry and Exit of Experts.(2009) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 156
article
2008Disagreement and Biases in Inflation Expectations In: CREATES Research Papers.
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paper102
2006Disagreement and Biases in Inflation Expectations.(2006) In: Working Papers.
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This paper has another version. Agregated cites: 102
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.
[Citation analysis]
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paper
2010Forecast Combinations In: CREATES Research Papers.
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paper247
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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article135
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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paper6
2005Relative Performance Evaluation Contracts and Asset Market Equilibrium In: Birkbeck Working Papers in Economics and Finance.
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paper17
2003Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2003) In: CEPR Discussion Papers.
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paper
2005Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2005) In: Economic Journal.
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article
2004Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2004) In: Finance.
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paper
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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article62
2009Testing Dependence Among Serially Correlated Multicategory Variables In: Journal of the American Statistical Association.
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article87
2006Testing Dependence Among Serially Correlated Multi-category Variables.(2006) In: Cambridge Working Papers in Economics.
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paper
2006Testing Dependence among Serially Correlated Multi-category Variables.(2006) In: CESifo Working Paper Series.
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paper
2006Testing Dependence among Serially Correlated Multi-Category Variables.(2006) In: IZA Discussion Papers.
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This paper has another version. Agregated cites: 87
paper
1992A Simple Nonparametric Test of Predictive Performance. In: Journal of Business & Economic Statistics.
[Citation analysis]
article288
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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article40
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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article63
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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article12
1996Variation in Expected Stock Returns: Evidence on the Pricing of Equities from a Cross-Section of UK Companies. In: Economica.
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article16
1999Risk sharing and transition costs in the reform of pension systems in Europe In: Economic Policy.
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article35
1995 Predictability of Stock Returns: Robustness and Economic Significance. In: Journal of Finance.
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article289
1999Data-Snooping, Technical Trading Rule Performance, and the Bootstrap In: Journal of Finance.
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article220
1998Data-Snooping, Technical Trading Rule Performance and the Bootstrap.(1998) In: CEPR Discussion Papers.
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paper
1998Data-Snooping, Technical Trading, Rule Performance and the Bootstrap.(1998) In: FMG Discussion Papers.
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paper
2000Firm Size and Cyclical Variations in Stock Returns In: Journal of Finance.
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article189
1999Firm Size and Cyclical Variations in Stock Returns.(1999) In: FMG Discussion Papers.
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paper
2006Can Mutual Fund Stars Really Pick Stocks? New Evidence from a Bootstrap Analysis In: Journal of Finance.
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article159
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
1993 Learning, Specification Search and Market Efficiency. With an Application to the Danish Stock Market. In: Scandinavian Journal of Economics.
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article1
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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paper74
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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paper107
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‚ÄėReal Time Econometrics‚Äô In: Cambridge Working Papers in Economics.
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paper26
2004Real Time Econometrics.(2004) In: CESifo Working Paper Series.
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paper
2004Real Time Econometrics.(2004) In: CEPR Discussion Papers.
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paper
2005REAL-TIME ECONOMETRICS.(2005) In: Econometric Theory.
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article
2004Real Time Econometrics.(2004) In: IZA Discussion Papers.
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paper
2004‚ÄėForecasting Time Series Subject to Multiple Structural Breaks‚Äô In: Cambridge Working Papers in Economics.
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paper159
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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paper39
2005Learning, Structural Instability and Present Value Calculations.(2005) 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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2009Variable Selection and Inference for Multi-period Forecasting Problems In: Cambridge Working Papers in Economics.
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2009Variable Selection and Inference for Multi-period Forecasting Problems.(2009) In: CESifo Working Paper Series.
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paper
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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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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paper97
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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paper72
2004Optimal forecast combinations under general loss functions and forecast error distributions.(2004) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 72
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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paper28
1999The hazards of mutual fund underperformance: A Cox regression analysis.(1999) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 28
article
1998The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis.(1998) In: FMG Discussion Papers.
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This paper has another version. Agregated cites: 28
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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paper8
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
2001Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities In: CEPR Discussion Papers.
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paper38
2003Option prices under Bayesian learning: implied volatility dynamics and predictive densities.(2003) In: Journal of Economic Dynamics and Control.
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This paper has another version. Agregated cites: 38
article
2001Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities.(2001) In: FMG Discussion Papers.
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This paper has another version. Agregated cites: 38
paper
2001Forecast Evaluation with Shared Data Sets In: CEPR Discussion Papers.
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paper17
2003Forecast evaluation with shared data sets.(2003) In: International Journal of Forecasting.
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2002International Asset Allocation with Time-Varying Investment Opportunities In: CEPR Discussion Papers.
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paper15
2005International Asset Allocation with Time-Varying Investment Opportunities.(2005) In: The Journal of Business.
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2002Efficient Market Hypothesis and Forecasting In: CEPR Discussion Papers.
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paper84
2004Efficient market hypothesis and forecasting.(2004) In: International Journal of Forecasting.
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2003Estimating Loss Function Parameters In: CEPR Discussion Papers.
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2003Properties of Optimal Forecasts In: CEPR Discussion Papers.
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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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2004Term Structure of Risk Under Alternative Econometric Specifications In: CEPR Discussion Papers.
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2006Term structure of risk under alternative econometric specifications.(2006) In: Journal of Econometrics.
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2004Optimal Forecast Combination Under Regime Switching In: CEPR Discussion Papers.
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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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2009Forecasts of US short-term interest rates: A flexible forecast combination approach.(2009) In: Journal of Econometrics.
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2007Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts In: CEPR Discussion Papers.
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2009Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications In: CEPR Discussion Papers.
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2010Understanding Analysts Earnings Expectations: Biases, Nonlinearities and Predictability In: CEPR Discussion Papers.
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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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paper36
2011Common factors in Latin Americas business cycles.(2011) In: Journal of Development Economics.
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2006Common Factors in Latin Americas Business Cycles.(2006) In: IMF Working Papers.
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2010Decentralized Investment Management: Evidence from the Pension Fund Industry In: CEPR Discussion Papers.
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paper20
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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2011Regime Changes and Financial Markets In: CEPR Discussion Papers.
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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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2011Variable selection, estimation and inference for multi-period forecasting problems.(2011) In: Journal of Econometrics.
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2001Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities In: Working Paper Series.
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2001Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities.(2001) In: Journal of Econometrics.
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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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2010Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average? In: Working Paper Series.
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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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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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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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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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2007Selection of estimation window in the presence of breaks In: Journal of Econometrics.
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2007Properties of optimal forecasts under asymmetric loss and nonlinearity In: Journal of Econometrics.
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2004Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity.(2004) In: Working Papers.
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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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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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2012Choice of Sample Split in Out-of-Sample Forecast Evaluation In: Economics Working Papers.
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1998The Dangers of Data-Driven Inference: The Case of Calendar Effects 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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2007Performance Measurement and Evaluation In: FMG Discussion Papers.
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2007An Evaluation of the World Economic Outlook Forecasts.(2007) In: IMF Staff Papers.
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2005Completion time structures of stock price movements In: Annals of Finance.
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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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2008International asset allocation under regime switching, skew, and kurtosis preferences In: Review of Financial Studies.
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1999Asset Allocation Dynamics and Pension Fund Performance. In: The Journal of Business.
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