Allan Timmermann : Citation Profile

University of California-San Diego (UCSD) (34% share)
University of California-San Diego (UCSD) (33% share)
Aarhus Universitet (33% share)

49

H index

72

i10 index

10083

Citations

RESEARCH PRODUCTION:

62

Articles

103

Papers

1

Chapters

EDITOR:

1

Books edited

2

Series edited

RESEARCH ACTIVITY:

   33 years (1990 - 2023). See details.
   Cites by year: 305
   Journals where Allan Timmermann has often published
   Relations with other researchers
   Recent citing documents: 452.    Total self citations: 63 (0.62 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pti8
   Updated: 2025-12-20    RAS profile: 2023-03-10    
   Missing citations? Add them    Incorrect content? Let us know

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 (249)

Clements, Michael (132)

Rossi, Barbara (125)

Ravazzolo, Francesco (112)

Pierdzioch, Christian (111)

Pesaran, Mohammad (102)

van Dijk, Dick (87)

GUPTA, RANGAN (85)

Franses, Philip Hans (66)

Hyde, Stuart (65)

Maheu, John (64)

Cites to:

Campbell, John (65)

Pesaran, Mohammad (54)

Diebold, Francis (46)

Ang, Andrew (29)

Stambaugh, Robert (29)

Bekaert, Geert (28)

Watson, Mark (28)

Shiller, Robert (28)

West, Kenneth (26)

Hamilton, James (25)

Elliott, Graham (24)

Main data

Where Allan Timmermann has published?

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

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
Finance / University Library of Munich, Germany2
NBER Working Papers / National Bureau of Economic Research, Inc2
CFR Working Papers / University of Cologne, Centre for Financial Research (CFR)2
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2

Recent works citing Allan Timmermann (2025 and 2024)

YearTitle of citing document
2025The intertemporal relationship between downside risks and expected stock returns: Evidence from time-varying transition probability models. (2025). Enow, Samuel Tabot. In: International Journal of Business Ecosystem & Strategy (2687-2293). RePEc:adi:ijbess:v:7:y:2025:i:2:p:319-323.

Full description at Econpapers || Download paper

2024The essential role of U.S.-China tensions: a fresh insight into the gold market. (2024). Qin, Meng. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxi:y:2024:i:4(641):p:227-246.

Full description at Econpapers || Download paper

2025Título del Documento en Inglés. (2025). Segura-Rodriguez, Carlos. In: Documentos de Trabajo. RePEc:apk:doctra:2509.

Full description at Econpapers || Download paper

2024Univariate inflation forecasts in Costa Rica: model evaluation and selection. (2024). Brenes-Soto, Carlos ; Jimnez-Montero, Susan ; Sand-Esquivel, Adriana ; Vindas-Quesada, Alberto. In: Notas Técnicas. RePEc:apk:nottec:2405.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2025Quantile-Frequency Analysis and Spectral Divergence Metrics for Diagnostic Checks of Time Series With Nonlinear Dynamics. (2019). Li, Ta-Hsin. In: Papers. RePEc:arx:papers:1908.02545.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2025Binary Choice with Asymmetric Loss in a Data-Rich Environment: Theory and an Application to Racial Justice. (2021). Babii, Andrii ; Chen, XI ; Kumar, Rohit ; Ghysels, Eric. In: Papers. RePEc:arx:papers:2010.08463.

Full description at Econpapers || Download paper

2024Regime-Switching Density Forecasts Using Economists Scenarios. (2024). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2110.13761.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Flexible global forecast combinations. (2024). Vasnev, Andrey ; Qian, Yilin ; Thompson, Ryan. In: Papers. RePEc:arx:papers:2207.07318.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2025Latent Factor Analysis in Short Panels. (2024). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

Full description at Econpapers || Download paper

2024Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns. (2024). Maneesoonthorn, Worapree ; Smith, Michael Stanley ; Deng, Lin. In: Papers. RePEc:arx:papers:2308.05564.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Beveridgean Phillips Curve. (2024). Michaillat, Pascal ; Saez, Emmanuel. In: Papers. RePEc:arx:papers:2401.12475.

Full description at Econpapers || Download paper

2024A simple method for joint evaluation of skill in directional forecasts of multiple variables. (2024). Sitthiyot, Thitithep ; Holasut, Kanyarat. In: Papers. RePEc:arx:papers:2402.01142.

Full description at Econpapers || Download paper

2024Fast Online Changepoint Detection. (2024). Rossi, Eduardo ; Trapani, Lorenzo ; Ghezzi, Fabrizio. In: Papers. RePEc:arx:papers:2402.04433.

Full description at Econpapers || Download paper

2024What drives the European carbon market? Macroeconomic factors and forecasts. (2024). Rossini, Luca ; Bastianin, Andrea ; Qin, Yan ; Mirto, Elisabetta. In: Papers. RePEc:arx:papers:2402.04828.

Full description at Econpapers || Download paper

2024Downside Risk Reduction Using Regime-Switching Signals: A Statistical Jump Model Approach. (2024). Shu, Yizhan ; Mulvey, John M ; Yu, Chenyu. In: Papers. RePEc:arx:papers:2402.05272.

Full description at Econpapers || Download paper

2024Cross-Temporal Forecast Reconciliation at Digital Platforms with Machine Learning. (2024). Wilms, Ines ; Ternes, Marie ; Rombouts, Jeroen. In: Papers. RePEc:arx:papers:2402.09033.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024MEV Sharing with Dynamic Extraction Rates. (2024). Leonardos, Stefanos ; Krysta, Piotr ; Braga, Pedro ; Piliouras, Georgios ; Chionas, Georgios ; Ventre, Carmine. In: Papers. RePEc:arx:papers:2402.15849.

Full description at Econpapers || Download paper

2025Forecasting with panel data: Estimation uncertainty versus parameter heterogeneity. (2024). Pesaran, Mohammad ; Pick, Andreas ; Timmermann, Allan. In: Papers. RePEc:arx:papers:2404.11198.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Comparing predictive ability in presence of instability over a very short time. (2024). Rossini, Luca ; Iacone, Fabrizio ; Viselli, Andrea. In: Papers. RePEc:arx:papers:2405.11954.

Full description at Econpapers || Download paper

2024Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

Full description at Econpapers || Download paper

2024Dynamic Asset Allocation with Asset-Specific Regime Forecasts. (2024). Shu, Yizhan ; Mulvey, John M ; Yu, Chenyu. In: Papers. RePEc:arx:papers:2406.09578.

Full description at Econpapers || Download paper

2025Estimating Time-Varying Parameters of Various Smoothness in Linear Models via Kernel Regression. (2025). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2406.14046.

Full description at Econpapers || Download paper

2024What Teaches Robots to Walk, Teaches Them to Trade too -- Regime Adaptive Execution using Informed Data and LLMs. (2024). Saqur, Raeid. In: Papers. RePEc:arx:papers:2406.15508.

Full description at Econpapers || Download paper

2024Volatility modeling in a Markovian environment: Two Ornstein-Uhlenbeck-related approaches. (2024). Behme, Anita. In: Papers. RePEc:arx:papers:2407.05866.

Full description at Econpapers || Download paper

2024Covariance Matrix Analysis for Optimal Portfolio Selection. (2024). Shen, Lim Hao. In: Papers. RePEc:arx:papers:2407.08748.

Full description at Econpapers || Download paper

2024The Blockchain Risk Parity Line: Moving From The Efficient Frontier To The Final Frontier Of Investments. (2024). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2407.09536.

Full description at Econpapers || Download paper

2024Temporal Representation Learning for Stock Similarities and Its Applications in Investment Management. (2024). Hwang, Yoontae ; Lee, Yongjae ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2407.13751.

Full description at Econpapers || Download paper

2024The Concentration Risk Indicator: Raising the Bar for Financial Stability and Portfolio Performance Measurement. (2024). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2408.07271.

Full description at Econpapers || Download paper

2024A simple but powerful tail index regression. (2024). Rodrigues, Paulo ; Nicolau, Joao. In: Papers. RePEc:arx:papers:2409.13531.

Full description at Econpapers || Download paper

2024Persistence-Robust Break Detection in Predictive Quantile and CoVaR Regressions. (2024). Hoga, Yannick. In: Papers. RePEc:arx:papers:2410.05861.

Full description at Econpapers || Download paper

2024Dynamic Factor Allocation Leveraging Regime-Switching Signals. (2024). Mulvey, John M ; Shu, Yizhan. In: Papers. RePEc:arx:papers:2410.14841.

Full description at Econpapers || Download paper

2025Long time behavior of semi-Markov modulated perpetuity and some related processes. (2025). Majumder, Abhishek Pal. In: Papers. RePEc:arx:papers:2410.15824.

Full description at Econpapers || Download paper

2024International vulnerability of inflation. (2024). Ruiz, Esther ; Garr, Ignacio ; Rodr, Vladimir C. In: Papers. RePEc:arx:papers:2410.20628.

Full description at Econpapers || Download paper

2025Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models. (2024). Krabbe, Frederik. In: Papers. RePEc:arx:papers:2412.19555.

Full description at Econpapers || Download paper

2025How low-cost AI universal approximators reshape market efficiency. (2025). Morone, Flaviano ; Barucca, Paolo. In: Papers. RePEc:arx:papers:2501.07489.

Full description at Econpapers || Download paper

2025Simple Inference on a Simplex-Valued Weight. (2025). Canen, Nathan ; Song, Kyungchul. In: Papers. RePEc:arx:papers:2501.15692.

Full description at Econpapers || Download paper

2025Decision-informed Neural Networks with Large Language Model Integration for Portfolio Optimization. (2025). Lee, Yongjae ; Zohren, Stefan ; Kong, Yaxuan ; Hwang, Yoontae. In: Papers. RePEc:arx:papers:2502.00828.

Full description at Econpapers || Download paper

2025De Finettis problem with fixed transaction costs and regime switching. (2025). Zhou, Xiaowen ; Yan, Kaixin ; Yamazaki, Kazutoshi ; Xu, Zuo Quan ; Wang, Wenyuan. In: Papers. RePEc:arx:papers:2502.05839.

Full description at Econpapers || Download paper

2025The Risk-Neutral Equivalent Pricing of Model-Uncertainty. (2025). Wren, Ken Kangda. In: Papers. RePEc:arx:papers:2502.13744.

Full description at Econpapers || Download paper

2025The Uncertainty of Machine Learning Predictions in Asset Pricing. (2025). Neuhierl, Andreas ; Ma, Xinjie ; Liao, Yuan ; Schilling, Linda. In: Papers. RePEc:arx:papers:2503.00549.

Full description at Econpapers || Download paper

2025Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market. (2025). Chke, Katarzyna ; Uniejewski, Bartosz ; Weron, Rafal. In: Papers. RePEc:arx:papers:2503.02518.

Full description at Econpapers || Download paper

2025Tactical Asset Allocation with Macroeconomic Regime Detection. (2025). Oliveira, Daniel Cunha ; Sandfelder, Dylan ; Dong, Xiaowen ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2503.11499.

Full description at Econpapers || Download paper

2025Simultaneous Inference Bands for Autocorrelations. (2025). Zahn, Tanja ; Pohle, Marc-Oliver ; Hassler, Uwe. In: Papers. RePEc:arx:papers:2503.18560.

Full description at Econpapers || Download paper

2025Can LLM-based Financial Investing Strategies Outperform the Market in Long Run?. (2025). Li, Weixian Waylon ; Kim, Hyeonjun ; Ma, Tiejun ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2505.07078.

Full description at Econpapers || Download paper

2025Testing Clustered Equal Predictive Ability with Unknown Clusters. (2025). Akgun, Oguzhan ; Urga, Giovanni ; Pirotte, Alain ; Yang, Zhenlin. In: Papers. RePEc:arx:papers:2507.14621.

Full description at Econpapers || Download paper

2025A general randomized test for Alpha. (2025). Vallarino, Pierluigi ; Sarno, Lucio ; Trapani, Lorenzo ; Massacci, Daniele. In: Papers. RePEc:arx:papers:2507.17599.

Full description at Econpapers || Download paper

2025ProteuS: A Generative Approach for Simulating Concept Drift in Financial Markets. (2025). Cervantes, Alejandro ; Quintana, David ; Su, Andr'Es L. In: Papers. RePEc:arx:papers:2509.11844.

Full description at Econpapers || Download paper

2025Adaptive and Regime-Aware RL for Portfolio Optimization. (2025). Raj, Gabriel Nixon. In: Papers. RePEc:arx:papers:2509.14385.

Full description at Econpapers || Download paper

2025Forecasting in small open emerging economies Evidence from Thailand. (2025). Aunsri, Nattapol ; Taveeapiradeecharoen, Paponpat. In: Papers. RePEc:arx:papers:2509.14805.

Full description at Econpapers || Download paper

2025RegimeFolio: A Regime Aware ML System for Sectoral Portfolio Optimization in Dynamic Markets. (2025). Zhang, Yiyao ; Goel, Diksha ; Szabo, Claudia ; Ahmad, Hussain. In: Papers. RePEc:arx:papers:2510.14986.

Full description at Econpapers || Download paper

2025Prediction Intervals for Model Averaging. (2025). Qu, Zhongjun ; Zhang, Xiaomeng ; Wang, Wendun. In: Papers. RePEc:arx:papers:2510.16224.

Full description at Econpapers || Download paper

2025Tailoring Portfolio Choice via Quantile-Targeted Policies. (2025). Baruník, Jozef ; Sarkany, Attila ; Janasek, Lukas ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2510.19271.

Full description at Econpapers || Download paper

2025Moment connectedness and driving factors in the energy-food nexus: A time-frequency perspective. (2025). Nguyen, Duc Khuong ; Dai, Yun-Shi ; Goutte, St'Ephane ; Zhou, Wei-Xing. In: Papers. RePEc:arx:papers:2510.24174.

Full description at Econpapers || Download paper

2025When Reasoning Fails: Evaluating Thinking LLMs for Stock Prediction. (2025). Sodha, Rakeshkumar H. In: Papers. RePEc:arx:papers:2511.08608.

Full description at Econpapers || Download paper

2025A Gentle Introduction to Conformal Time Series Forecasting. (2025). Malgorzewicz, W ; Stocker, M ; Fontana, M ; ben Taieb, S. In: Papers. RePEc:arx:papers:2511.13608.

Full description at Econpapers || Download paper

2025Threshold Tensor Factor Model in CP Form. (2025). Chen, Rong ; Bolivar, Stevenson ; Han, Yuefeng. In: Papers. RePEc:arx:papers:2511.19796.

Full description at Econpapers || Download paper

2024Real-time Nowcasting Growth-at-Risk using the Survey of Professional Forecasters. (2024). Schick, Manuel. In: Working Papers. RePEc:awi:wpaper:0750.

Full description at Econpapers || Download paper

2024Heterogeneous Expectations among Professional Forecasters. (2024). Lahiri, Kajal ; Conrad, Christian. In: Working Papers. RePEc:awi:wpaper:0754.

Full description at Econpapers || Download paper

2025Nonlinear Dynamics in Monetary Policy-Fueled Stock Market Bubbles. (2025). Magnani, Monia ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp25252.

Full description at Econpapers || Download paper

2024Machine Learning and Economic Forecasting: the role of international trade networks. (2024). Silva, Thiago ; Berri, Paulo Victor ; Amancio, Diego Raphael. In: Working Papers Series. RePEc:bcb:wpaper:597.

Full description at Econpapers || Download paper

2025Risk€“Return Efficiency in Emerging Dual Financial Markets: A Comparative Study of Markowitz Mean€“Variance and Sharpe Single-Index Portfolio Models in Malaysia. (2025). Nik, Nik Rozila ; Hadi, Muhammad Abd ; Hussain, Nordianah Jusoh ; Talib, Adi Hakim ; Ahmad, Nurul Ainun ; Zaki, Bushra Mohd. In: International Journal of Research and Innovation in Social Science. RePEc:bcp:journl:v:9:y:2025:issue-9:p:2934-2948.

Full description at Econpapers || Download paper

2024Consumer Prices Trends in Colombia: Detecting Breaks and Forecasting Infation. (2024). Zarate-Solano, Hector ; Rodrguez-Nio, Norberto ; Zrate-Solano, Hctor M. In: Borradores de Economia. RePEc:bdr:borrec:1289.

Full description at Econpapers || Download paper

2025Assessing Asymmetric Macroeconomic Risk. (2025). Lhuissier, Stéphane. In: Working papers. RePEc:bfr:banfra:1004.

Full description at Econpapers || Download paper

2024Inflation (De-)Anchoring in the Euro Area. (2024). De Backer, Bruno ; Vladu, Andreea Liliana ; Burban, Valentin. In: Working papers. RePEc:bfr:banfra:965.

Full description at Econpapers || Download paper

2025Policy evaluation with Sufficient Macro Statistics -a primer. (2025). Barnichon, Raegis ; Mesters, Geert. In: Working Papers. RePEc:bge:wpaper:1474.

Full description at Econpapers || Download paper

2025Lumpy Forecasts. (2025). Turen, Javier ; Baley, Isaac. In: Working Papers. RePEc:bge:wpaper:1476.

Full description at Econpapers || Download paper

2024Covered interest parity: a forecasting approach to estimate the neutral band. (2024). Hernandez, Juan. In: BIS Working Papers. RePEc:bis:biswps:1206.

Full description at Econpapers || Download paper

2024CLARA and CARLSON: Combination of Ensemble and Neural Network Machine Learning Methods for GDP Forecasting. (2024). Bozhechkova, Alexandra ; Dzhunkeev, Urmat. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:83:y:2024:i:3:p:45-69.

Full description at Econpapers || Download paper

2025Estimation and Forecasting of Russian Money Market Yield Curves. (2025). Magzhanov, Timur ; Fedorov, Dmitry ; Kartaev, Philipp. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:84:y:2025:i:2:p:36-64.

Full description at Econpapers || Download paper

2024Higherâ€order moments and asset pricing in the Australian stock market. (2024). Ahadzie, Richard Mawulawoe ; Jeyasreedharan, Nagaratnam. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:75-128.

Full description at Econpapers || Download paper

2024Machine learning to predict grains futures prices. (2024). Sckokai, Paolo ; Brignoli, Paolo Libenzio ; Gardebroek, Cornelis ; Varacca, Alessandro. In: Agricultural Economics. RePEc:bla:agecon:v:55:y:2024:i:3:p:479-497.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Forecasting the UK top 1% income share in a shifting world. (2024). Hendry, David ; Doornik, Jurgen ; Castle, Jennifer. In: Economica. RePEc:bla:econom:v:91:y:2024:i:363:p:1047-1074.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Consumers macroeconomic expectations. (2024). Lamla, Michael ; Dräger, Lena ; Drger, Lena. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:2:p:427-451.

Full description at Econpapers || Download paper

2024Measuring “Dark Matter†in Asset Pricing Models. (2024). Dou, Winston ; Kogan, Leonid ; Chen, Hui. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:2:p:843-902.

Full description at Econpapers || Download paper

2024Wrong Kind of Transparency? Mutual Funds’ Higher Reporting Frequency, Window Dressing, and Performance. (2024). Zhang, Zilong ; Yeung, Eric P ; Xin, Xiangang. In: Journal of Accounting Research. RePEc:bla:joares:v:62:y:2024:i:2:p:737-781.

Full description at Econpapers || Download paper

2024Relative performance evaluation and wage inequality. (2024). Pi, Jiancai ; Li, Zixin. In: Manchester School. RePEc:bla:manchs:v:92:y:2024:i:3:p:296-312.

Full description at Econpapers || Download paper

2024Solving the Forecast Combination Puzzle Using Double Shrinkages. (2024). Wang, Yudong ; Hao, Xianfeng ; Liu, LI. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:3:p:714-741.

Full description at Econpapers || Download paper

2024Testing for timeâ€varying nonlinear dependence structures: Regimeâ€switching and local Gaussian correlation. (2024). Stve, Brd ; Maruotti, Antonello ; Bacri, Timothe ; Gundersen, Kristian ; Hlleland, Sondre ; Bulla, Jan. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:51:y:2024:i:3:p:1012-1060.

Full description at Econpapers || Download paper

2025CALENDAR EFFECTS IN IRAQ STOCK EXCHANGE SECTOR RETURNS. (2025). Faez, Hasan Mohammed. In: Revista Economica. RePEc:blg:reveco:v:77:y:2025:i:2:p:7-34.

Full description at Econpapers || Download paper

2024Has the Phillips curve flattened?. (2024). Rossi, Barbara ; Inoue, Atsushi ; Wang, Yiru. In: French Stata Users' Group Meetings 2024. RePEc:boc:fsug24:22.

Full description at Econpapers || Download paper

2024Asymmetric expectations of monetary policy. (2024). Busetto, Filippo. In: Bank of England working papers. RePEc:boe:boeewp:1058.

Full description at Econpapers || Download paper

2024Forecast accuracy and efficiency at the Bank of England – and how errors can be leveraged to do better. (2024). Willems, Tim ; Kanngiesser, Derrick. In: Bank of England working papers. RePEc:boe:boeewp:1078.

Full description at Econpapers || Download paper

2024Merging Structural and Reduced-Form Models for Forecasting. (2024). Piersanti, Fabio Massimo ; onorante, luca ; Martinez-Martin, Jaime ; 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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024The Information Content of Conflict, Social Unrest and Policy Uncertainty Measures for Macroeconomic Forecasting. (2024). Rauh, Christopher ; Pérez, Javier ; Mueller, Hannes ; Molina Sánchez, Luis ; Diakonova, M ; Prez, J J. In: Janeway Institute Working Papers. RePEc:cam:camjip:2413.

Full description at Econpapers || Download paper

2024Learning about the Long Run. (2024). Nakamura, Emi ; Farmer, Leland E ; Steinsson, JN. In: Department of Economics, Working Paper Series. RePEc:cdl:econwp:qt0tn1s1hp.

Full description at Econpapers || Download paper

2024Beveridgean Phillips Curve. (2024). Michaillat, Pascal ; Saez, Emmanuel. In: Santa Cruz Department of Economics, Working Paper Series. RePEc:cdl:ucscec:qt5zt7g6hk.

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:

YearTitleTypeCited

Works by Allan Timmermann:

YearTitleTypeCited
2008The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
2008Forecast Combination With Entry and Exit of Experts In: CREATES Research Papers.
[Full Text][Citation analysis]		paper383
2006Forecast Combination with Entry and Exit of Experts.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 383		paper
2009Forecast Combination With Entry and Exit of Experts.(2009) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 383		article
2008Disagreement and Biases in Inflation Expectations In: CREATES Research Papers.
[Full Text][Citation analysis]		paper189
2006Disagreement and Biases in Inflation Expectations.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 189		paper
2009Disagreement and Biases in Inflation Expectations.(2009) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has nother version. Agregated cites: 189		article
2006Disagreement and Biases in Inflation Expectations.(2006) In: Computing in Economics and Finance 2006.
[Citation analysis]
This paper has nother version. Agregated cites: 189		paper
2010Forecast Combinations In: CREATES Research Papers.
[Full Text][Citation analysis]		paper446
2010Forecast Combinations.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 446		paper
2005Forecast Combinations.(2005) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 446		paper
2006Forecast Combinations.(2006) In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 446		chapter
2008Economic Forecasting In: Journal of Economic Literature.
[Full Text][Citation analysis]		article294
2007Economic Forecasting.(2007) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 294		paper
2001Option prices and implied volatility dynamics under Bayesian learning In: CeNDEF Workshop Papers, January 2001.
[Citation analysis]		paper7
2005Relative Performance Evaluation Contracts and Asset Market Equilibrium In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]		paper26
2003Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2003) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2005Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2005) In: Economic Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		article
2004Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2004) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2004Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2004) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2007Testing Forecast Optimality Under Unknown Loss In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article110
2009Testing Dependence Among Serially Correlated Multicategory Variables In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article194
2006Testing Dependence Among Serially Correlated Multi-category Variables.(2006) In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 194		paper
2006Testing Dependence among Serially Correlated Multi-category Variables.(2006) In: CESifo Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 194		paper
2006Testing Dependence among Serially Correlated Multi-Category Variables.(2006) In: IZA Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 194		paper
1992A Simple Nonparametric Test of Predictive Performance. In: Journal of Business & Economic Statistics.
[Citation analysis]		article481
1990A SIMPLE, NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE..(1990) In: Cambridge Working Papers in Economics.
[Citation analysis]
This paper has nother version. Agregated cites: 481		paper
1990A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE..(1990) In: California Los Angeles - Applied Econometrics.
[Citation analysis]
This paper has nother version. Agregated cites: 481		paper
2001Structural Breaks, Incomplete Information, and Stock Prices. In: Journal of Business & Economic Statistics.
[Citation analysis]		article51
2001Structural 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 nother version. Agregated cites: 51		paper
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51		paper
2004Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article136
2003Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets.(2003) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 136		paper
2000Duration 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 nother version. Agregated cites: 136		paper
2011Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article53
1995 Predictability of Stock Returns: Robustness and Economic Significance. In: Journal of Finance.
[Full Text][Citation analysis]		article483
2006Can Mutual Fund “Stars†Really Pick Stocks? New Evidence from a Bootstrap Analysis In: Journal of Finance.
[Full Text][Citation analysis]		article330
2005Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis.(2005) In: CFR Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 330		paper
2003Recursive Modeling of Nonlinear Dynamics in UK Stock Returns In: Manchester School.
[Full Text][Citation analysis]		article12
2008Return Predictability under Equilibrium Constraints on the Equity Premium In: Working Papers.
[Full Text][Citation analysis]		paper1
2003How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper102
2003How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?.(2003) In: CESifo Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 102		paper
2004How 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 nother version. Agregated cites: 102		article
2003Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper239
2003Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks.(2003) In: CESifo Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 239		paper
2004Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks.(2004) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 239		paper
2005Small sample properties of forecasts from autoregressive models under structural breaks.(2005) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 239		article
2004‘Real Time Econometrics’ In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper28
2004Real Time Econometrics.(2004) In: CESifo Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		paper
2004Real Time Econometrics.(2004) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		paper
2005REAL-TIME ECONOMETRICS.(2005) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		article
2004Real Time Econometrics.(2004) In: IZA Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		paper
2004‘Forecasting Time Series Subject to Multiple Structural Breaks’ In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper243
2004Forecasting Time Series Subject to Multiple Structural Breaks.(2004) In: CESifo Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 243		paper
2004Forecasting Time Series Subject to Multiple Structural Breaks.(2004) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 243		paper
2004Forecasting Time Series Subject to Multiple Structural Breaks.(2004) In: IZA Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 243		paper
2006Learning, Structural Instability and Present Value Calculations In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper45
2006Learning, Structural Instability and Present Value Calculations.(2006) In: CESifo Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 45		paper
2006Learning, structural instability and present value calculations.(2006) In: Computing in Economics and Finance 2006.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 45		paper
2006Learning, Structural Instability and Present Value Calculations.(2006) In: IEPR Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 45		paper
2007Learning, Structural Instability, and Present Value Calculations.(2007) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 45		article
2006Learning, structural instability and present value calculations.(2006) In: Discussion Paper Series 1: Economic Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 45		paper
2009Variable Selection and Inference for Multi-period Forecasting Problems In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper1
2009Variable Selection and Inference for Multi-period Forecasting Problems.(2009) In: CESifo Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2009Variable Selection and Inference for Multi-period Forecasting Problems.(2009) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
1990THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXESS RETURNS ON COMMON STOCKS. In: Cambridge Working Papers in Economics.
[Citation analysis]		paper2
1990THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXCESS RETURNS ON COMMON STOCKS..(1990) In: California Los Angeles - Applied Econometrics.
[Citation analysis]
This paper has nother version. Agregated cites: 2		paper
1992Forecasting Stock Returns. In: Cambridge Working Papers in Economics.
[Citation analysis]		paper4
1992A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing. In: Cambridge Working Papers in Economics.
[Citation analysis]		paper43
1994A generalization of the non-parametric Henriksson-Merton test of market timing.(1994) In: Economics Letters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 43		article
1995The Use of Recursive Model Selection Strategies in Forecasting Stock Returns. In: Cambridge Working Papers in Economics.
[Citation analysis]		paper0
1996A Recursive Modelling Approach to Predicting UK Stock Returns In: Cambridge Working Papers in Economics.
[Citation analysis]		paper123
2000A Recursive Modelling Approach to Predicting UK Stock Returns..(2000) In: Economic Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 123		article
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 123		paper
2002Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper110
2004Optimal forecast combinations under general loss functions and forecast error distributions.(2004) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 110		article
1998The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper40
1999The hazards of mutual fund underperformance: A Cox regression analysis.(1999) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		article
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		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.
[Full Text][Citation analysis]		paper10
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2002How Stable are Financial Prediction Models? Evidence from US and International Stock Market Data In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper5
1999Model Instability and Choice of Observation Window In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper8
1997Performance Measurement using Multiple Asset Class Portfolio Data In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper6
1998Data-Snooping, Technical Trading Rule Performance and the Bootstrap In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper326
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 326		paper
2001Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper55
2003Option prices under Bayesian learning: implied volatility dynamics and predictive densities.(2003) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 55		article
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 55		paper
2001Forecast Evaluation with Shared Data Sets In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper23
2003Forecast evaluation with shared data sets.(2003) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		article
2002International Asset Allocation with Time-Varying Investment Opportunities In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper18
2005International Asset Allocation with Time-Varying Investment Opportunities.(2005) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		article
2002Efficient Market Hypothesis and Forecasting In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper158
2004Efficient market hypothesis and forecasting.(2004) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 158		article
2003Estimating Loss Function Parameters In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper12
2003Properties of Optimal Forecasts In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper15
2004Properties of Optimal Forecasts.(2004) In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2004Country and Industry Dynamics in Stock Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper7
2004Term Structure of Risk Under Alternative Econometric Specifications In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper69
2006Term structure of risk under alternative econometric specifications.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 69		article
2004Optimal Forecast Combination Under Regime Switching In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper62
2005OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING *.(2005) In: International Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 62		article
2007Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper63
2009Forecasts of US short-term interest rates: A flexible forecast combination approach.(2009) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 63		article
2007Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper4
2009Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2010Understanding Analysts Earnings Expectations: Biases, Nonlinearities and Predictability In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper2
2010Understanding Analysts Earnings Expectations: Biases, Nonlinearities, and Predictability.(2010) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2010Common Factors in Latin America’s Business Cycles In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper44
2011Common factors in Latin Americas business cycles.(2011) In: Journal of Development Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 44		article
2010Decentralized Investment Management: Evidence from the Pension Fund Industry In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper45
2010Decentralized investment management: evidence from the pension fund industry.(2010) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 45		paper
2011Forecast Rationality Tests Based on Multi-Horizon Bounds In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper91
2011Regime Changes and Financial Markets In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper223
2011Regime Changes and Financial Markets.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 223		paper
2010Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average? In: Working Paper Series.
[Full Text][Citation analysis]		paper21
2003Economic Implications of Bull and Bear Regimes in UK Stock Returns In: Royal Economic Society Annual Conference 2003.
[Full Text][Citation analysis]		paper0
1994Can Agents Learn to Form Rational Expectations? Some Results on Convergence and Stability of Learning in the UK Stock Market. In: Economic Journal.
[Full Text][Citation analysis]		article13
2005Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns In: Economic Journal.
[Full Text][Citation analysis]		article130
2004Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching In: Econometric Society 2004 Australasian Meetings.
[Citation analysis]		paper13
2004Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? In: Econometric Society 2004 North American Summer Meetings.
[Full Text][Citation analysis]		paper194
2008Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?.(2008) In: Journal of the European Economic Association.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 194		article
2000Implied Learning Paths from Option Prices In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper0
1999Data mining with local model specification uncertainty: a discussion of Hoover and Perez In: Econometrics Journal.
[Citation analysis]		article11
1994Present value models with feedback : Solutions, stability, bubbles, and some empirical evidence In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article17
2007Asset allocation under multivariate regime switching In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article223
2007Properties of equilibrium asset prices under alternative learning schemes In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article33
1994Optimal properties of exponentially weighted forecasts in the presence of different information sources In: Economics Letters.
[Full Text][Citation analysis]		article0
1994Why do dividend yields forecast stock returns? In: Economics Letters.
[Full Text][Citation analysis]		article1
2001Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities In: Journal of Econometrics.
[Full Text][Citation analysis]		article103
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 103		paper
2001Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities..(2001) In: Quebec a Montreal - Recherche en gestion.
[Citation analysis]
This paper has nother version. Agregated cites: 103		paper
2001Dangers of data mining: The case of calendar effects in stock returns In: Journal of Econometrics.
[Full Text][Citation analysis]		article101
2006Persistence in forecasting performance and conditional combination strategies In: Journal of Econometrics.
[Full Text][Citation analysis]		article175
2007Selection of estimation window in the presence of breaks In: Journal of Econometrics.
[Full Text][Citation analysis]		article310
2007Properties of optimal forecasts under asymmetric loss and nonlinearity In: Journal of Econometrics.
[Full Text][Citation analysis]		article93
2011Annals issue on forecasting--Guest editors introduction In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2011Variable selection, estimation and inference for multi-period forecasting problems In: Journal of Econometrics.
[Full Text][Citation analysis]		article69
2011Predictability of stock returns and asset allocation under structural breaks In: Journal of Econometrics.
[Full Text][Citation analysis]		article96
2000Moments of Markov switching models In: Journal of Econometrics.
[Full Text][Citation analysis]		article162
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 162		paper
2006Instability of return prediction models In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article226
2002Market timing and return prediction under model instability In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article165
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 165		paper
1995On the optimality of adaptive expectations: Muth revisited In: International Journal of Forecasting.
[Full Text][Citation analysis]		article10
2008Elusive return predictability In: International Journal of Forecasting.
[Full Text][Citation analysis]		article118
2008Reply to the discussion of Elusive Return Predictability In: International Journal of Forecasting.
[Full Text][Citation analysis]		article80
2010Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts In: Journal of Financial Economics.
[Full Text][Citation analysis]		article108
2010Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article234
2012Choice of Sample Split in Out-of-Sample Forecast Evaluation In: Economics Working Papers.
[Full Text][Citation analysis]		paper86
In: .
[Full Text][Citation analysis]		paper275
In: .
[Full Text][Citation analysis]		paper0
In: .
[Full Text][Citation analysis]		paper13
In: .
[Full Text][Citation analysis]		paper0
In: .
[Full Text][Citation analysis]		paper2
1995Cointegration Tests of Present Value Models with a Time-Varying Discount Factor. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article34
2006An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article169
2005Completion time structures of stock price movements In: Annals of Finance.
[Full Text][Citation analysis]		article9
2005The Forecasing time series subject to multiple structure breaks In: Money Macro and Finance (MMF) Research Group Conference 2005.
[Citation analysis]		paper0
2023Breaks in the Phillips Curve: Evidence from Panel Data In: NBER Working Papers.
[Full Text][Citation analysis]		paper11
2008Size and Value Anomalies under Regime Shifts In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article51
2008International asset allocation under regime switching, skew, and kurtosis preferences In: The Review of Financial Studies.
[Full Text][Citation analysis]		article220
2007An Evaluation of the World Economic Outlook Forecasts In: IMF Staff Papers.
[Full Text][Citation analysis]		article81
1999Asset Allocation Dynamics and Pension Fund Performance. In: The Journal of Business.
[Full Text][Citation analysis]		article103
2009The performance of European equity mutual funds In: CFR Working Papers.
[Citation analysis]		paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 20 2025. Contact: CitEc Team