40
H index
67
i10 index
5501
Citations
Allan Timmermann : Citation Profile
University of California-San Diego (UCSD) (34% share) | RESEARCH PRODUCTION: 67 Articles 107 Papers 1 Chapters EDITOR: RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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22 years (1990 - 2012). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Allan Timmermann. | Is cited by:
| Cites to:
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Main data
Where Allan Timmermann has published?
Recent works citing Allan Timmermann (2018 and 2017)
| Year | Title of citing document | |
|---|---|---|
| 2017 | Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2017-13. Full description at Econpapers || Download paper | |
| 2017 | Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19. Full description at Econpapers || Download paper | |
| 2018 | Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-13. Full description at Econpapers || Download paper | |
| 2018 | Time-varying parameters: New test tailored to applications in finance and macroeconomics. (2018). Davidson, Russell ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-22. Full description at Econpapers || Download paper | |
| 2018 | Forecasters’ utility and forecast coherence. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-23. Full description at Econpapers || Download paper | |
| 2018 | Mutual Fund Selection for Realistically Short Samples. (2018). Christiansen, Charlotte ; Nielsen, Ole L ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-36. Full description at Econpapers || Download paper | |
| 2017 | The Social Cost of Near-Rational Investment. (2017). Hassan, Tarek ; Mertens, Thomas M. In: American Economic Review. RePEc:aea:aecrev:v:107:y:2017:i:4:p:1059-1103. Full description at Econpapers || Download paper | |
| 2017 | Twenty Years of Time Series Econometrics in Ten Pictures. (2017). Watson, Mark ; Stock, James H. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:31:y:2017:i:2:p:59-86. Full description at Econpapers || Download paper | |
| 2018 | Does exchange rate always affect the number of inbound tourists significantly in China?. (2018). 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. Full description at Econpapers || Download paper | |
| 2017 | Statistical 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. Full description at Econpapers || Download paper | |
| 2018 | BUBBLES IN THE PRICES OF HOUSING? EVIDENCE TO BRAZIL?S ECONOMY. (2018). Silva, Marcelo ; da Nobrega, Cassio ; Paes, Nelson Leito. In: Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting]. RePEc:anp:en2016:118. Full description at Econpapers || Download paper | |
| 2018 | Frequentist size of Bayesian inequality tests. (2018). Kaplan, David ; Zhuo, Longhao. In: Papers. RePEc:arx:papers:1607.00393. Full description at Econpapers || Download paper | |
| 2017 | How Wave - Wavelet Trading Wins and Beats the Market. (2017). Tran, Lanh . In: Papers. RePEc:arx:papers:1704.00383. Full description at Econpapers || Download paper | |
| 2017 | Residual Value Forecasting Using Asymmetric Cost Functions. (2017). von Mettenheim, Hans-Jörg ; Lessmann, Stefan ; Dress, Korbinian . In: Papers. RePEc:arx:papers:1707.02736. Full description at Econpapers || Download paper | |
| 2018 | Forecasting dynamic return distributions based on ordered binary choice and cross-quantile predictability connection. (2018). BarunÃk, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681. Full description at Econpapers || Download paper | |
| 2018 | A 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. Full description at Econpapers || Download paper | |
| 2018 | Generalized Information Ratio. (2018). He, Zhongzhi Lawrence . In: Papers. RePEc:arx:papers:1803.01381. Full description at Econpapers || Download paper | |
| 2018 | Large-Scale Dynamic Predictive Regressions. (2018). Bianchi, Daniele ; McAlinn, Kenichiro. In: Papers. RePEc:arx:papers:1803.06738. Full description at Econpapers || Download paper | |
| 2018 | Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers. (2018). Manera, Matteo ; Galeotti, Marzio ; Bastianin, Andrea. In: Papers. RePEc:arx:papers:1804.08315. Full description at Econpapers || Download paper | |
| 2018 | Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1805.03807. Full description at Econpapers || Download paper | |
| 2018 | The Evolution of Security Prices Is Governed by a Physicomathematical Law. (2018). Tzara, Wally. In: Papers. RePEc:arx:papers:1807.10114. Full description at Econpapers || Download paper | |
| 2018 | Using Stock Prices as Ground Truth in Sentiment Analysis to Generate Profitable Trading Signals. (2018). Birbeck, Ellie ; Cliff, Dave. In: Papers. RePEc:arx:papers:1811.02886. Full description at Econpapers || Download paper | |
| 2018 | How does stock market volatility react to oil shocks?. (2018). Manera, Matteo ; Bastianin, Andrea. In: Papers. RePEc:arx:papers:1811.03820. Full description at Econpapers || Download paper | |
| 2018 | Technical Analysis and Discrete False Discovery Rate: Evidence from MSCI Indices. (2018). Sermpinis, Georgios ; Psaradellis, Ioannis ; Stasinakis, Charalampos ; Hassanniakalager, Arman . In: Papers. RePEc:arx:papers:1811.06766. Full description at Econpapers || Download paper | |
| 2018 | The value of forecasts: Quantifying the economic gains of accurate quarter-hourly electricity price forecasts. (2018). Kath, Christopher ; Ziel, Florian. In: Papers. RePEc:arx:papers:1811.08604. Full description at Econpapers || Download paper | |
| 2018 | Quantification of market efficiency based on informational-entropy. (2018). Rothenstein, Roland . In: Papers. RePEc:arx:papers:1812.02371. Full description at Econpapers || Download paper | |
| 2017 | Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence*. (2017). Guidolin, Massimo ; Chincoli, Francesco . In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1754. Full description at Econpapers || Download paper | |
| 2017 | Volatility as an Alternative asset Class: Does It Improve Portfolio Performance?. (2017). Guidolin, Massimo ; Caloiero, Elvira. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1763. Full description at Econpapers || Download paper | |
| 2018 | Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds Alphas?. (2018). Guidolin, Massimo ; Pedio, Manuela ; Berglund, Alexander. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1884. Full description at Econpapers || Download paper | |
| 2018 | Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence. (2018). Guidolin, Massimo ; Orlov, Alexei G. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1887. Full description at Econpapers || Download paper | |
| 2017 | Markov-Switching Three-Pass Regression Filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre . In: Staff Working Papers. RePEc:bca:bocawp:17-13. Full description at Econpapers || Download paper | |
| 2018 | Evaluating the Bank of Canada Staff Economic Projections Using a New Database of Real-Time Data and Forecasts. (2018). Champagne, Julien ; Sekkel, Rodrigo ; Poulin-Bellisle, Guillaume. In: Staff Working Papers. RePEc:bca:bocawp:18-52. Full description at Econpapers || Download paper | |
| 2017 | Empirical Findings on Inflation Expectations in Brazil: a survey. (2017). Gaglianone, Wagner. In: Working Papers Series. RePEc:bcb:wpaper:464. Full description at Econpapers || Download paper | |
| 2017 | A suite of inflation forecasting models. (2017). Alvarez, Luis ; Sanchez, Isabel. In: Occasional Papers. RePEc:bde:opaper:1703. Full description at Econpapers || Download paper | |
| 2017 | Monetary policy, stock market and sectoral comovement. (2017). Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre . In: Working Papers. RePEc:bde:wpaper:1731. Full description at Econpapers || Download paper | |
| 2017 | Markov-switching three-pass regression filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; Guérin, Pierre. In: Working Papers. RePEc:bde:wpaper:1748. Full description at Econpapers || Download paper | |
| 2017 | Optimal density forecast combinations. (2017). Ganics, Gergely. In: Working Papers. RePEc:bde:wpaper:1751. Full description at Econpapers || Download paper | |
| 2018 | Nowcasting private consumption: traditional indicators, uncertainty measures, credit cards and some internet data. (2018). Urtasun, Alberto ; Pérez, Javier ; Sanchez, Jesus A ; Perez, Javier J ; Gil, Maria. In: Working Papers. RePEc:bde:wpaper:1842. Full description at Econpapers || Download paper | |
| 2018 | Macroeconomics determinants of the correlation between stocks and bonds. (2018). Pericoli, Marcello. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1198_18. Full description at Econpapers || Download paper | |
| 2018 | Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M. In: BIS Papers. RePEc:bis:bisbps:95. Full description at Econpapers || Download paper | |
| 2017 | The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?. (2017). Moessner, Richhild ; Funke, Michael ; Loermann, Julius . In: BIS Working Papers. RePEc:bis:biswps:652. Full description at Econpapers || Download paper | |
| 2017 | Asset prices and macroeconomic outcomes: a survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: BIS Working Papers. RePEc:bis:biswps:676. Full description at Econpapers || Download paper | |
| 2018 | When are credit gap estimates reliable?. (2018). Ponomarenko, Alexey ; Deryugina, Elena ; Rozhkova, Anna. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps34. Full description at Econpapers || Download paper | |
| 2017 | Firm life cycle, corporate risk-taking and investor sentiment. (2017). Habib, Ahsan ; Hasan, Mostafa Monzur. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:2:p:465-497. Full description at Econpapers || Download paper | |
| 2018 | Dividend persistence and dividend behaviour. (2018). Chan, Kam Fong ; Smith, Tom ; Shi, Jing ; Powell, John G. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:1:p:127-147. Full description at Econpapers || Download paper | |
| 2018 | A new perspective on performance persistence: evidence using portfolio holdings. (2018). Bennett, Scott ; Warren, Geoffrey J ; Harman, Graham ; Gallagher, David R. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:1:p:91-125. Full description at Econpapers || Download paper | |
| 2018 | Out‐of‐sample stock return predictability in emerging markets. (2018). Bahrami, Afsaneh ; Uylangco, Katherine ; Shamsuddin, Abul. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:3:p:727-750. Full description at Econpapers || Download paper | |
| 2018 | Improving equity premium forecasts by incorporating structural break uncertainty. (2018). Tian, Jing ; Zhou, Qing. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:619-656. Full description at Econpapers || Download paper | |
| 2017 | OUTPUT GROWTH AND STRUCTURAL REFORM IN LATIN AMERICA: HAVE BUSINESS CYCLES CHANGED?. (2017). Fossati, Sebastian. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:35:y:2017:i:1:p:62-75. Full description at Econpapers || Download paper | |
| 2018 | EUROPEAN CENTRAL BANK FOOTPRINTS ON INFLATION FORECAST UNCERTAINTY. (2018). Makarova, Svetlana . In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:1:p:637-652. Full description at Econpapers || Download paper | |
| 2018 | MONETARY POLICY SHOCKS, EXPECTATIONS, AND INFORMATION RIGIDITIES. (2018). Czudaj, Robert ; Beckmann, Joscha. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:4:p:2158-2176. Full description at Econpapers || Download paper | |
| 2017 | Timing the Market with a Combination of Moving Averages. (2017). Glabadanidis, Paskalis. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:353-394. Full description at Econpapers || Download paper | |
| 2017 | Duration Dependence, Behavioral Restrictions, and the Market Timing Ability of Commodity Trading Advisors. (2017). Frömmel, Michael ; Elaut, Gert ; Mende, Alexander ; Frommel, Michael. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:427-450. Full description at Econpapers || Download paper | |
| 2017 | A 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. Full description at Econpapers || Download paper | |
| 2018 | UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES. (2018). Veiga, Helena ; Ruiz, Esther ; Gonalves, Joo Henrique . In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:388-419. Full description at Econpapers || Download paper | |
| 2017 | THE 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. Full description at Econpapers || Download paper | |
| 2017 | Time-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. Full description at Econpapers || Download paper | |
| 2017 | A 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. Full description at Econpapers || Download paper | |
| 2017 | Safe-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. Full description at Econpapers || Download paper | |
| 2017 | WHEN ARE WAVELETS USEFUL FORECASTERS?. (2017). Yazgan, Ege ; Gencay, Ramazan. In: Working Papers. RePEc:bli:wpaper:1704. Full description at Econpapers || Download paper | |
| 2017 | The transmission of monetary policy shocks. (2017). Ricco, Giovanni ; Miranda-Agrippino, Silvia. In: Bank of England working papers. RePEc:boe:boeewp:0657. Full description at Econpapers || Download paper | |
| 2017 | The real effects of overconfidence and fundamental uncertainty shocks. (2017). Ambrocio, Gene. In: Research Discussion Papers. RePEc:bof:bofrdp:037. Full description at Econpapers || Download paper | |
| 2017 | Formation of inflation expectations in turbulent times : Can ECB manage inflation expectations of professional forecasters?. (2017). Paloviita, Maritta ; Łyziak, Tomasz. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_013. Full description at Econpapers || Download paper | |
| 2017 | The real effects of overconfidence and fundamental uncertainty shocks. (2017). Ambrocio, Gene. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_037. Full description at Econpapers || Download paper | |
| 2018 | Predicting relative forecasting performance : An empirical investigation. (2018). Granziera, Eleonora ; Sekhposyan, Tatevik. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_023. Full description at Econpapers || Download paper | |
| 2017 | Behavioral Biases in Firms Growth Expectations. (2017). Koga, Maiko ; Kato, Haruko . In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp17e09. Full description at Econpapers || Download paper | |
| 2018 | Nowcasting Japanese GDPs. (2018). Hirakata, Naohisa ; Kyosuke, Naohisa Hirakata. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp18e18. Full description at Econpapers || Download paper | |
| 2017 | Forecasting 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. Full description at Econpapers || Download paper | |
| 2017 | Qualitative 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. Full description at Econpapers || Download paper | |
| 2017 | 25 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. Full description at Econpapers || Download paper | |
| 2018 | Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models. (2018). Carvalho, Carlos ; Pettenuzzo, Davide ; Fisher, Jared D. In: Working Papers. RePEc:brd:wpaper:123. Full description at Econpapers || Download paper | |
| 2017 | Does Business Confidence Matter for Investment?. (2017). Khan, Hashmat ; Upadhayaya, Santosh. In: Carleton Economic Papers. RePEc:car:carecp:17-13. Full description at Econpapers || Download paper | |
| 2017 | The Effect of Disaggregate Information on the Expectation Formation of Firms. (2017). Buchheim, Lukas ; Link, Sebastian. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6768. Full description at Econpapers || Download paper | |
| 2018 | Energy Contagion Analysis: A New Perspective with Application to a Small Petroleum Economy. (2018). Mahadeo, Scott ; Legrenzi, Gabriella ; Heinlein, Reinhold . In: CESifo Working Paper Series. RePEc:ces:ceswps:_7279. Full description at Econpapers || Download paper | |
| 2018 | Households’ Inflation Perceptions and Expectations: Survey Evidence from New Zealand. (2018). Neumeier, Florian ; Hayo, Bernd. In: ifo Working Paper Series. RePEc:ces:ifowps:_255. Full description at Econpapers || Download paper | |
| 2018 | Bayesian Vector Autoregressions. (2018). Ricco, Giovanni ; Miranda-Agrippino, Silvia. In: Discussion Papers. RePEc:cfm:wpaper:1808. Full description at Econpapers || Download paper | |
| 2017 | Forecasting economic activity in data-rich environment. (2017). Stevanovic, Dalibor ; Kotchoni, Rachidi ; Leroux, Maxime . In: CIRANO Working Papers. RePEc:cir:cirwor:2017s-05. Full description at Econpapers || Download paper | |
| 2017 | Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan G ; Lunde, Asger ; Groenborg, Niels . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11896. Full description at Econpapers || Download paper | |
| 2017 | Automated Earnings Forecasts:- Beat Analysts or Combine and Conquer?. (2017). Ball, Ryan ; Ghysels, Eric. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12179. Full description at Econpapers || Download paper | |
| 2017 | Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12460. Full description at Econpapers || Download paper | |
| 2018 | The Effect of Investment Constraints on Hedge Fund Investor Returns. (2018). Joenvaara, Juha ; Tolonen, Pekka ; Kosowski, Robert. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12599. Full description at Econpapers || Download paper | |
| 2018 | Efficiently Inefficient Markets for Assets and Asset Management. (2018). Garleanu, Nicolae Bogdan ; Pedersen, Lasse Heje. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12664. Full description at Econpapers || Download paper | |
| 2018 | Forecasting Methods in Finance. (2018). Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12692. Full description at Econpapers || Download paper | |
| 2018 | Liquidity Regimes and Optimal Dynamic Asset Allocation. (2018). Collin-Dufresne, Pierre ; Saglam, Mehmet ; Daniel, Kent . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12737. Full description at Econpapers || Download paper | |
| 2018 | Pockets of Predictability. (2018). Farmer, Leland ; Timmermann, Allan G ; Schmidt, Lawrence . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12885. Full description at Econpapers || Download paper | |
| 2018 | Idea Sharing and the Performance of Mutual Funds. (2018). Cujean, Julien. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13111. Full description at Econpapers || Download paper | |
| 2018 | A composite likelihood approach for dynamic structural models. (2018). Canova, Fabio ; Matthes, Christian. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13245. Full description at Econpapers || Download paper | |
| 2018 | An approach to increasing forecast-combination accuracy through VAR error modeling. (2018). Wilfling, Bernd ; Weigt, Till. In: CQE Working Papers. RePEc:cqe:wpaper:6818. Full description at Econpapers || Download paper | |
| 2017 | The 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. Full description at Econpapers || Download paper | |
| 2017 | Market 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. Full description at Econpapers || Download paper | |
| 2017 | Market 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. Full description at Econpapers || Download paper | |
| 2017 | A sectoral analysis of asymmetric nexus between oil and stock. (2017). Salisu, Afees ; Ndako, Umar ; Raheem, Ibrahim D. In: Working Papers. RePEc:cui:wpaper:0033. Full description at Econpapers || Download paper | |
| 2018 | Predicting exchange rate with commodity prices: The role of structural breaks and asymmetries. (2018). Salisu, Afees ; Emmanuel, Zachariah ; Alimi, Wasiu A ; Adekunle, Wasiu. In: Working Papers. RePEc:cui:wpaper:0055. Full description at Econpapers || Download paper | |
| 2017 | Model 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. Full description at Econpapers || Download paper | |
| 2017 | Distinctive 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. Full description at Econpapers || Download paper | |
| 2017 | Does 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. Full description at Econpapers || Download paper | |
| 2018 | Benchmark selection and performance. (2018). de Haan, Leo ; Broeders, Dirk. In: DNB Working Papers. RePEc:dnb:dnbwpp:603. Full description at Econpapers || Download paper | |
| 2018 | Pension 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. Full description at Econpapers || Download paper | |
| 2017 | Forecasting economic activity in data-rich environment. (2017). Stevanovic, Dalibor ; Kotchoni, Rachidi ; Leroux, Maxime . In: EconomiX Working Papers. RePEc:drm:wpaper:2017-5. Full description at Econpapers || Download paper | |
| 2017 | Predicting Advertising Volumes Using Structural Time Series Models: A Case Study. (2017). Dewenter, Ralf ; Heimeshoff, Ulrich. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00140. Full description at Econpapers || Download paper | |
| 2018 | Sentiment and sign predictability of stock returns. (2018). Pönkä, Harri ; Pnk, Harri. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00948. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Allan Timmermann is editor of
| Journal | |
|---|---|
| Handbook of Economic Forecasting | |
| Handbook of Economic Forecasting |
Allan Timmermann has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Allan Timmermann:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2008 | The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
| 2008 | Forecast Combination With Entry and Exit of Experts In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 163 |
| 2006 | Forecast Combination with Entry and Exit of Experts.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 163 | paper | |
| 2009 | Forecast Combination With Entry and Exit of Experts.(2009) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 163 | article | |
| 2008 | Disagreement and Biases in Inflation Expectations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 104 |
| 2006 | Disagreement and Biases in Inflation Expectations.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 104 | paper | |
| 2009 | Disagreement and Biases in Inflation Expectations.(2009) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has another version. Agregated cites: 104 | article | |
| 2006 | Disagreement and Biases in Inflation Expectations.(2006) In: Computing in Economics and Finance 2006. [Citation analysis] This paper has another version. Agregated cites: 104 | paper | |
| 2010 | Forecast Combinations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 254 |
| 2010 | Forecast Combinations.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 254 | paper | |
| 2005 | Forecast Combinations.(2005) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 254 | paper | |
| 2006 | Forecast Combinations.(2006) In: Handbook of Economic Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 254 | chapter | |
| 2008 | Economic Forecasting In: Journal of Economic Literature. [Full Text][Citation analysis] | article | 136 |
| 2007 | Economic Forecasting.(2007) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 136 | paper | |
| 2001 | Option prices and implied volatility dynamics under Bayesian learning In: CeNDEF Workshop Papers, January 2001. [Citation analysis] | paper | 6 |
| 2005 | Relative Performance Evaluation Contracts and Asset Market Equilibrium In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 17 |
| 2003 | Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2003) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
| 2005 | Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2005) In: Economic Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | article | |
| 2004 | Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2004) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
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| 2007 | Testing Forecast Optimality Under Unknown Loss In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 64 |
| 2009 | Testing Dependence Among Serially Correlated Multicategory Variables In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 91 |
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| 2006 | Testing Dependence among Serially Correlated Multi-category Variables.(2006) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 91 | paper | |
| 2006 | Testing Dependence among Serially Correlated Multi-Category Variables.(2006) In: IZA Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 91 | paper | |
| 1992 | A Simple Nonparametric Test of Predictive Performance. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 297 |
| 1990 | A SIMPLE, NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE..(1990) In: Cambridge Working Papers in Economics. [Citation analysis] This paper has another version. Agregated cites: 297 | paper | |
| 1990 | A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE..(1990) In: California Los Angeles - Applied Econometrics. [Citation analysis] This paper has another version. Agregated cites: 297 | paper | |
| 2001 | Structural Breaks, Incomplete Information, and Stock Prices. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 40 |
| 2001 | Structural Breaks, Incomplete Information and Stock Prices.(2001) In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
| 1998 | Structural Breaks, Incomplete Information and Stock Prices.(1998) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
| 2004 | Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 65 |
| 2003 | Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets.(2003) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 65 | paper | |
| 2000 | Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 65 | paper | |
| 2011 | Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 14 |
| 1996 | Variation in Expected Stock Returns: Evidence on the Pricing of Equities from a Cross-Section of UK Companies. In: Economica. [Full Text][Citation analysis] | article | 16 |
| 1999 | Risk sharing and transition costs in the reform of pension systems in Europe In: Economic Policy. [Full Text][Citation analysis] | article | 35 |
| 1995 | Predictability of Stock Returns: Robustness and Economic Significance. In: Journal of Finance. [Full Text][Citation analysis] | article | 300 |
| 1999 | Data-Snooping, Technical Trading Rule Performance, and the Bootstrap In: Journal of Finance. [Full Text][Citation analysis] | article | 227 |
| 1998 | Data-Snooping, Technical Trading Rule Performance and the Bootstrap.(1998) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 227 | paper | |
| 1998 | Data-Snooping, Technical Trading, Rule Performance and the Bootstrap.(1998) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 227 | paper | |
| 2000 | Firm Size and Cyclical Variations in Stock Returns In: Journal of Finance. [Full Text][Citation analysis] | article | 195 |
| 1999 | Firm Size and Cyclical Variations in Stock Returns.(1999) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 195 | paper | |
| 2006 | Can Mutual Fund Stars Really Pick Stocks? New Evidence from a Bootstrap Analysis In: Journal of Finance. [Full Text][Citation analysis] | article | 168 |
| 2005 | Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis.(2005) In: CFR Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 168 | paper | |
| 2003 | Recursive Modeling of Nonlinear Dynamics in UK Stock Returns In: Manchester School. [Full Text][Citation analysis] | article | 12 |
| 1993 | Learning, Specification Search and Market Efficiency. With an Application to the Danish Stock Market. In: Scandinavian Journal of Economics. [Citation analysis] | article | 2 |
| 2008 | Return Predictability under Equilibrium Constraints on the Equity Premium In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2003 | How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 74 |
| 2003 | How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?.(2003) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 74 | paper | |
| 2004 | How costly is it to ignore breaks when forecasting the direction of a time series?.(2004) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 74 | article | |
| 2003 | Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 109 |
| 2003 | Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks.(2003) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 109 | paper | |
| 2004 | Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks.(2004) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 109 | paper | |
| 2005 | Small sample properties of forecasts from autoregressive models under structural breaks.(2005) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 109 | article | |
| 2004 | ‘Real Time Econometrics’ In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 26 |
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| 2004 | Real Time Econometrics.(2004) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
| 2005 | REAL-TIME ECONOMETRICS.(2005) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | article | |
| 2004 | Real Time Econometrics.(2004) In: IZA Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
| 2004 | ‘Forecasting Time Series Subject to Multiple Structural Breaks’ In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 159 |
| 2004 | Forecasting Time Series Subject to Multiple Structural Breaks.(2004) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 159 | paper | |
| 2004 | Forecasting Time Series Subject to Multiple Structural Breaks.(2004) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 159 | paper | |
| 2004 | Forecasting Time Series Subject to Multiple Structural Breaks.(2004) In: IZA Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 159 | paper | |
| 2006 | Learning, Structural Instability and Present Value Calculations In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 39 |
| 2005 | Learning, Structural Instability and Present Value Calculations.(2005) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | paper | |
| 2006 | Learning, structural instability and present value calculations.(2006) In: Computing in Economics and Finance 2006. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | paper | |
| 2006 | Learning, Structural Instability and Present Value Calculations.(2006) In: IEPR Working Papers. [Citation analysis] This paper has another version. Agregated cites: 39 | paper | |
| 2007 | Learning, Structural Instability, and Present Value Calculations.(2007) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | article | |
| 2006 | Learning, structural instability and present value calculations.(2006) In: Discussion Paper Series 1: Economic Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | paper | |
| 2009 | Variable Selection and Inference for Multi-period Forecasting Problems In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Variable Selection and Inference for Multi-period Forecasting Problems.(2009) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2009 | Variable Selection and Inference for Multi-period Forecasting Problems.(2009) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1990 | THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXESS RETURNS ON COMMON STOCKS. In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 1 |
| 1990 | THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXCESS RETURNS ON COMMON STOCKS..(1990) In: California Los Angeles - Applied Econometrics. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 1992 | Forecasting Stock Returns. In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 4 |
| 1992 | A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing. In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 40 |
| 1994 | A generalization of the non-parametric Henriksson-Merton test of market timing.(1994) In: Economics Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | article | |
| 1995 | The Use of Recursive Model Selection Strategies in Forecasting Stock Returns. In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 0 |
| 1996 | A Recursive Modelling Approach to Predicting UK Stock Returns In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 100 |
| 2000 | A Recursive Modelling Approach to Predicting UK Stock Returns..(2000) In: Economic Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 100 | article | |
| 1999 | A Recursive Modelling Approach to Predicting UK Stock Returns.(1999) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 100 | paper | |
| 2002 | Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 74 |
| 2004 | Optimal forecast combinations under general loss functions and forecast error distributions.(2004) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 74 | article | |
| 1998 | The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 30 |
| 1999 | The hazards of mutual fund underperformance: A Cox regression analysis.(1999) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | article | |
| 1998 | The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis.(1998) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | paper | |
| 1998 | Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 9 |
| 2002 | How Stable are Financial Prediction Models? Evidence from US and International Stock Market Data In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 5 |
| 1999 | Model Instability and Choice of Observation Window In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 6 |
| 1997 | Performance Measurement using Multiple Asset Class Portfolio Data In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
| 2001 | Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 38 |
| 2003 | Option prices under Bayesian learning: implied volatility dynamics and predictive densities.(2003) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | article | |
| 2001 | Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities.(2001) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | paper | |
| 2001 | Forecast Evaluation with Shared Data Sets In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 17 |
| 2003 | Forecast evaluation with shared data sets.(2003) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | article | |
| 2002 | International Asset Allocation with Time-Varying Investment Opportunities In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 15 |
| 2005 | International Asset Allocation with Time-Varying Investment Opportunities.(2005) In: The Journal of Business. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | article | |
| 2002 | Efficient Market Hypothesis and Forecasting In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 88 |
| 2004 | Efficient market hypothesis and forecasting.(2004) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 88 | article | |
| 2003 | Estimating Loss Function Parameters In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
| 2003 | Properties of Optimal Forecasts In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
| 2004 | Properties of Optimal Forecasts.(2004) In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2004 | Country and Industry Dynamics in Stock Returns In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
| 2004 | Term Structure of Risk Under Alternative Econometric Specifications In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 58 |
| 2006 | Term structure of risk under alternative econometric specifications.(2006) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 58 | article | |
| 2004 | Optimal Forecast Combination Under Regime Switching In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 34 |
| 2005 | OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING *.(2005) In: International Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | article | |
| 2007 | Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 47 |
| 2009 | Forecasts of US short-term interest rates: A flexible forecast combination approach.(2009) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 47 | article | |
| 2007 | Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
| 2009 | Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Understanding Analysts Earnings Expectations: Biases, Nonlinearities and Predictability In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Understanding Analysts Earnings Expectations: Biases, Nonlinearities, and Predictability.(2010) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2010 | Common Factors in Latin America’s Business Cycles In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 36 |
| 2011 | Common factors in Latin Americas business cycles.(2011) In: Journal of Development Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | article | |
| 2006 | Common Factors in Latin Americas Business Cycles.(2006) In: IMF Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
| 2010 | Decentralized Investment Management: Evidence from the Pension Fund Industry In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 22 |
| 2010 | Decentralized investment management: evidence from the pension fund industry.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
| 2011 | Forecast Rationality Tests Based on Multi-Horizon Bounds In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
| 2011 | Regime Changes and Financial Markets In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 63 |
| 2011 | Regime Changes and Financial Markets.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 63 | paper | |
| 2010 | Variable Selection, Estimation and Inference for Multi-period Forecasting Problems In: DNB Working Papers. [Full Text][Citation analysis] | paper | 37 |
| 2011 | Variable selection, estimation and inference for multi-period forecasting problems.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | article | |
| 2001 | Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities In: Working Paper Series. [Full Text][Citation analysis] | paper | 81 |
| 2001 | Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities.(2001) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 81 | article | |
| 2000 | Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities.(2000) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 81 | paper | |
| 2001 | Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities..(2001) In: Quebec a Montreal - Recherche en gestion. [Citation analysis] This paper has another version. Agregated cites: 81 | paper | |
| 2010 | Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average? In: Working Paper Series. [Full Text][Citation analysis] | paper | 10 |
| 2003 | Economic Implications of Bull and Bear Regimes in UK Stock Returns In: Royal Economic Society Annual Conference 2003. [Full Text][Citation analysis] | paper | 0 |
| 1994 | Can Agents Learn to Form Rational Expectations? Some Results on Convergence and Stability of Learning in the UK Stock Market. In: Economic Journal. [Full Text][Citation analysis] | article | 9 |
| 2005 | Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns In: Economic Journal. [Full Text][Citation analysis] | article | 99 |
| 2004 | Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching In: Econometric Society 2004 Australasian Meetings. [Citation analysis] | paper | 14 |
| 2004 | Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? In: Econometric Society 2004 North American Summer Meetings. [Full Text][Citation analysis] | paper | 119 |
| 2008 | Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?.(2008) In: Journal of the European Economic Association. [Full Text][Citation analysis] This paper has another version. Agregated cites: 119 | article | |
| 2000 | Implied Learning Paths from Option Prices In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Data mining with local model specification uncertainty: a discussion of Hoover and Perez In: Econometrics Journal. [Citation analysis] | article | 7 |
| 1994 | Present value models with feedback : Solutions, stability, bubbles, and some empirical evidence In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 13 |
| 2007 | Asset allocation under multivariate regime switching In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 133 |
| 2007 | Properties of equilibrium asset prices under alternative learning schemes In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 24 |
| 1994 | Optimal properties of exponentially weighted forecasts in the presence of different information sources In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 1994 | Why do dividend yields forecast stock returns? In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2001 | Dangers of data mining: The case of calendar effects in stock returns In: Journal of Econometrics. [Full Text][Citation analysis] | article | 63 |
| 2006 | Persistence in forecasting performance and conditional combination strategies In: Journal of Econometrics. [Full Text][Citation analysis] | article | 104 |
| 2007 | Selection of estimation window in the presence of breaks In: Journal of Econometrics. [Full Text][Citation analysis] | article | 171 |
| 2007 | Properties of optimal forecasts under asymmetric loss and nonlinearity In: Journal of Econometrics. [Full Text][Citation analysis] | article | 63 |
| 2004 | Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity.(2004) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 63 | paper | |
| 2011 | Annals issue on forecasting--Guest editors introduction In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2011 | Predictability of stock returns and asset allocation under structural breaks In: Journal of Econometrics. [Full Text][Citation analysis] | article | 53 |
| 2000 | Moments of Markov switching models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 117 |
| 1999 | Moments of Markov Switching Models.(1999) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 117 | paper | |
| 2006 | Instability of return prediction models In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 113 |
| 2002 | Market timing and return prediction under model instability In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 97 |
| 2002 | Market Timing and Return Prediction under Model Instability.(2002) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 97 | paper | |
| 1995 | On the optimality of adaptive expectations: Muth revisited In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 9 |
| 2008 | Elusive return predictability In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 57 |
| 2008 | Reply to the discussion of Elusive Return Predictability In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 39 |
| 2010 | Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 41 |
| 2010 | Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 81 |
| 2012 | Choice of Sample Split in Out-of-Sample Forecast Evaluation In: Economics Working Papers. [Full Text][Citation analysis] | paper | 40 |
| 1998 | The Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
| 2002 | (UBS Pensions Series 2) International Asset Allocation with Time-Varying Investment Opportunities In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | (UBS Pensions Series 3) Performance Clustering and Incentives in the UK Pension Fund Industry In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
| 2002 | (UBS Pensions Series 4) Returns from Active Management in International Equity Markets; Evidence from a Panel of UK Pension Funds In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Performance Measurement and Evaluation In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2006 | An Evaluation of the World Economic Outlook Forecasts In: IMF Working Papers. [Full Text][Citation analysis] | paper | 61 |
| 2007 | An Evaluation of the World Economic Outlook Forecasts.(2007) In: IMF Staff Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 61 | article | |
| 1995 | Cointegration Tests of Present Value Models with a Time-Varying Discount Factor. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 21 |
| 2006 | An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 117 |
| 2005 | Completion time structures of stock price movements In: Annals of Finance. [Full Text][Citation analysis] | article | 7 |
| 2005 | The Forecasing time series subject to multiple structure breaks In: Money Macro and Finance (MMF) Research Group Conference 2005. [Citation analysis] | paper | 0 |
| 2008 | Size and Value Anomalies under Regime Shifts In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 33 |
| 2008 | International asset allocation under regime switching, skew, and kurtosis preferences In: Review of Financial Studies. [Full Text][Citation analysis] | article | 130 |
| 1999 | Asset Allocation Dynamics and Pension Fund Performance. In: The Journal of Business. [Full Text][Citation analysis] | article | 67 |
| 2009 | The performance of European equity mutual funds In: CFR Working Papers. [Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 3th 2019. Contact: CitEc Team