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)

47

H index

69

i10 index

9383

Citations

RESEARCH PRODUCTION:

62

Articles

89

Papers

1

Chapters

EDITOR:

1

Books edited

2

Series edited

RESEARCH ACTIVITY:

   33 years (1990 - 2023). See details.
   Cites by year: 284
   Journals where Allan Timmermann has often published
   Relations with other researchers
   Recent citing documents: 554.    Total self citations: 65 (0.69 %)

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   Permalink: http://citec.repec.org/pti8
   Updated: 2024-12-03    RAS profile: 2023-03-10    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Allan Timmermann.

Is cited by:

Guidolin, Massimo (228)

Clements, Michael (131)

Rossi, Barbara (109)

Ravazzolo, Francesco (108)

Pierdzioch, Christian (106)

Pesaran, Mohammad (94)

GUPTA, RANGAN (84)

van Dijk, Dick (84)

Franses, Philip Hans (64)

Maheu, John (61)

Marcellino, Massimiliano (60)

Cites to:

Campbell, John (65)

Pesaran, Mohammad (54)

Diebold, Francis (46)

Ang, Andrew (29)

Stambaugh, Robert (29)

Watson, Mark (28)

Shiller, Robert (28)

Bekaert, Geert (28)

West, Kenneth (26)

Hamilton, James (25)

Elliott, Graham (24)

Main data

Where Allan Timmermann has published?

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

Working Papers Series with more than one paper published# docs
CEPR Discussion Papers / C.E.P.R. Discussion Papers27
CESifo Working Paper Series / CESifo7
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego6
IZA Discussion Papers / Institute of Labor Economics (IZA)3
Working Papers / Banco de México3
Computing in Economics and Finance 2006 / Society for Computational Economics2
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2
NBER Working Papers / National Bureau of Economic Research, Inc2
Finance / University Library of Munich, Germany2
CFR Working Papers / University of Cologne, Centre for Financial Research (CFR)2

Recent works citing Allan Timmermann (2024 and 2023)

YearTitle of citing document
2023.

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2023Business cycle and realized losses in the consumer credit industry. (2023). Vrins, Frederic ; Roccazzella, Francesco ; Distaso, Walter. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023007.

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

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

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2024Frequentist size of Bayesian inequality tests. (2018). Kaplan, David ; Zhuo, Longhao. In: Papers. RePEc:arx:papers:1607.00393.

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2024Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545.

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

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2024To Bag is to Prune. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.07063.

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2023Forecasting financial markets with semantic network analysis in the COVID-19 crisis. (2020). Violante, Francesco ; Ravazzolo, F ; Grassi, S ; Colladon, Fronzetti A. In: Papers. RePEc:arx:papers:2009.04975.

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2024Optimal Regime-Switching Density Forecasts. (2021). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2110.13761.

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2024Financial-cycle ratios and multi-year predictions of GDP: Evidence from the United States. (2021). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2111.00822.

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2024Introduction of the Market-Based Price Autocorrelation. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2202.09323.

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2023Cryptocurrency Return Prediction Using Investor Sentiment Extracted by BERT-Based Classifiers from News Articles, Reddit Posts and Tweets. (2022). Ider, Duygu. In: Papers. RePEc:arx:papers:2204.05781.

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2023Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2022). Wang, FA ; Urga, Giovanni. In: Papers. RePEc:arx:papers:2205.12126.

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2024Ensemble distributional forecasting for insurance loss reserving. (2022). Xian, Alan ; Wong, Bernard ; Li, Yanfeng ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2206.08541.

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2024Global combinations of expert forecasts. (2022). Vasnev, Andrey L ; Thompson, Ryan ; Qian, Yilin. In: Papers. RePEc:arx:papers:2207.07318.

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

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2024Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828.

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2024Prediction intervals for economic fixed-event forecasts. (2022). Plett, Hendrik ; Kruger, Fabian. In: Papers. RePEc:arx:papers:2210.13562.

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

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

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2024Fast Forecasting of Unstable Data Streams for On-Demand Service Platforms. (2023). Wilms, Ines ; Rombouts, Jeroen ; Hu, Yu Jeffrey. In: Papers. RePEc:arx:papers:2303.01887.

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

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

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

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

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

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

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

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2024Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

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

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2024Efficient Variational Inference for Large Skew-t Copulas with Application to Intraday Equity Returns. (2023). Maneesoonthorn, Worapree ; Smith, Michael Stanley ; Deng, Lin. In: Papers. RePEc:arx:papers:2308.05564.

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

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2024Forecasting with Feedback. (2023). Nieto-Barthaburu, Augusto ; Lieli, Robert P. In: Papers. RePEc:arx:papers:2308.15062.

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

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

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

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2024Quantifying neural network uncertainty under volatility clustering. (2024). Azizi, Lamiae. In: Papers. RePEc:arx:papers:2402.14476.

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2024On the Redistribution of Maximal Extractable Value: A Dynamic Mechanism. (2024). Ventre, Carmine ; Piliouras, Georgios ; Krysta, Piotr ; Leonardos, Stefanos ; Chionas, Georgios ; Braga, Pedro. In: Papers. RePEc:arx:papers:2402.15849.

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2024Forecasting with panel data: Estimation uncertainty versus parameter heterogeneity. (2024). Pesaran, Mohammad ; Timmermann, Allan ; Pick, Andreas. In: Papers. RePEc:arx:papers:2404.11198.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012.

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

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

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

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

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

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

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

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2024Outâ€Âofâ€Âsample 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.

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2023Performance attribution of mutual funds in India: outperformance or misâ€Ârepresentation?. (2019). Chauhan, Gaurav Singh. In: Accounting and Finance. RePEc:bla:acctfi:v:59:y:2019:i:s1:p:383-409.

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2024.

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2023.

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2024Thirty?year assessment of Asian Development Banks forecasts. (2021). Tsuchiya, Yoichi. In: Asian-Pacific Economic Literature. RePEc:bla:apacel:v:35:y:2021:i:2:p:18-40.

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

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2024Predictive model averaging with parameter instability and heteroskedasticity. (2024). Yin, Anwen. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:76:y:2024:i:2:p:418-442.

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

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

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2024Exploring the impact of oil security attention on oil volatility: A new perspective. (2024). Liang, Chao ; Wang, LU. In: International Finance. RePEc:bla:intfin:v:27:y:2024:i:1:p:61-80.

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

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

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2024.

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2023HOW DO OIL PRICE SHOCKS AFFECT A SMALL NON-OIL PRODUCING ECONOMY? EVIDENCE FROM HONG KONG. (2010). LI, GUANGZHONG ; Ran, Jimmy ; Voon, Jan P. ; JanP. Voon, . In: Pacific Economic Review. RePEc:bla:pacecr:v:15:y:2010:i:2:p:263-280.

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2023Oil shocks and directional predictability of macroeconomic uncertainties of developed economies: Evidence from high?frequency data†. (2022). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Hussain, Syed Jawad. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:69:y:2022:i:2:p:169-185.

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2024Merging Structural and Reduced-Form Models for Forecasting. (2024). Massimo, Piersanti Fabio ; Luca, Onorante ; Richard, Morris ; Jaime, Martinez-Martin. In: The B.E. Journal of Macroeconomics. RePEc:bpj:bejmac:v:24:y:2024:i:1:p:399-437:n:2.

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2024The Information Content of Conflict, Social Unrest and Policy Uncertainty Measures for Macroeconomic Forecasting. (2024). Rauh, C ; Prez, J J ; Mueller, H ; Molina, L ; Diakonova, M. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2418.

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2024.

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

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

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

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More than 100 citations found, this list is not complete...

Allan Timmermann is editor of

Journal
Handbook of Economic Forecasting
Handbook of Economic Forecasting

Allan Timmermann has edited the books:

YearTitleTypeCited

Works by Allan Timmermann:

YearTitleTypeCited
2008The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast In: CREATES Research Papers.
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2008Forecast Combination With Entry and Exit of Experts In: CREATES Research Papers.
[Full Text][Citation analysis]		paper363
2006Forecast Combination with Entry and Exit of Experts.(2006) In: Working Papers.
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2009Forecast Combination With Entry and Exit of Experts.(2009) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 363		article
2008Disagreement and Biases in Inflation Expectations In: CREATES Research Papers.
[Full Text][Citation analysis]		paper180
2006Disagreement and Biases in Inflation Expectations.(2006) In: Working Papers.
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2009Disagreement and Biases in Inflation Expectations.(2009) In: Journal of Money, Credit and Banking.
[Citation analysis]
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2006Disagreement and Biases in Inflation Expectations.(2006) In: Computing in Economics and Finance 2006.
[Citation analysis]
This paper has nother version. Agregated cites: 180		paper
2010Forecast Combinations In: CREATES Research Papers.
[Full Text][Citation analysis]		paper430
2010Forecast Combinations.(2010) In: Working Papers.
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2005Forecast Combinations.(2005) In: CEPR Discussion Papers.
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2006Forecast Combinations.(2006) In: Handbook of Economic Forecasting.
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2008Economic Forecasting In: Journal of Economic Literature.
[Full Text][Citation analysis]		article277
2007Economic Forecasting.(2007) In: CEPR Discussion Papers.
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2001Option prices and implied volatility dynamics under Bayesian learning In: CeNDEF Workshop Papers, January 2001.
[Citation analysis]		paper7
2005Relative Performance Evaluation Contracts and Asset Market Equilibrium In: Birkbeck Working Papers in Economics and Finance.
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2003Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2003) In: CEPR Discussion Papers.
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2005Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2005) In: Economic Journal.
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2004Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2004) In: Finance.
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2004Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2004) In: Finance.
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2007Testing Forecast Optimality Under Unknown Loss In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article108
2009Testing Dependence Among Serially Correlated Multicategory Variables In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article185
2006Testing Dependence Among Serially Correlated Multi-category Variables.(2006) In: Cambridge Working Papers in Economics.
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2006Testing Dependence among Serially Correlated Multi-category Variables.(2006) In: CESifo Working Paper Series.
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2006Testing Dependence among Serially Correlated Multi-Category Variables.(2006) In: IZA Discussion Papers.
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1992A Simple Nonparametric Test of Predictive Performance. In: Journal of Business & Economic Statistics.
[Citation analysis]		article460
1990A SIMPLE, NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE..(1990) In: Cambridge Working Papers in Economics.
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1990A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE..(1990) In: California Los Angeles - Applied Econometrics.
[Citation analysis]
This paper has nother version. Agregated cites: 460		paper
2001Structural Breaks, Incomplete Information, and Stock Prices. In: Journal of Business & Economic Statistics.
[Citation analysis]		article49
2001Structural Breaks, Incomplete Information and Stock Prices.(2001) In: University of California at San Diego, Economics Working Paper Series.
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2004Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets In: Journal of Business & Economic Statistics.
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2003Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets.(2003) In: CEPR Discussion Papers.
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2000Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2011Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach In: Journal of Business & Economic Statistics.
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1995 Predictability of Stock Returns: Robustness and Economic Significance. In: Journal of Finance.
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2006Can Mutual Fund “Stars†Really Pick Stocks? New Evidence from a Bootstrap Analysis In: Journal of Finance.
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2005Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis.(2005) In: CFR Working Papers.
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2003Recursive Modeling of Nonlinear Dynamics in UK Stock Returns In: Manchester School.
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2008Return Predictability under Equilibrium Constraints on the Equity Premium In: Working Papers.
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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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2003How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?.(2003) In: CESifo Working Paper Series.
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2004How costly is it to ignore breaks when forecasting the direction of a time series?.(2004) In: International Journal of Forecasting.
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2003Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks In: Cambridge Working Papers in Economics.
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2003Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks.(2003) In: CESifo Working Paper Series.
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2004Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks.(2004) In: CEPR Discussion Papers.
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2005Small sample properties of forecasts from autoregressive models under structural breaks.(2005) In: Journal of Econometrics.
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2004‘Real Time Econometrics’ In: Cambridge Working Papers in Economics.
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2004Real Time Econometrics.(2004) In: CESifo Working Paper Series.
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2004Real Time Econometrics.(2004) In: CEPR Discussion Papers.
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2005REAL-TIME ECONOMETRICS.(2005) In: Econometric Theory.
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2004Real Time Econometrics.(2004) In: IZA Discussion Papers.
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2004‘Forecasting Time Series Subject to Multiple Structural Breaks’ In: Cambridge Working Papers in Economics.
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2004Forecasting Time Series Subject to Multiple Structural Breaks.(2004) In: CESifo Working Paper Series.
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2004Forecasting Time Series Subject to Multiple Structural Breaks.(2004) In: CEPR Discussion Papers.
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2004Forecasting Time Series Subject to Multiple Structural Breaks.(2004) In: IZA Discussion Papers.
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