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Timmermann, Allan G.


 SSRN Author Rank: 1,371 by Downloads
 Assistant Professor
 

University of California, San Diego (UCSD) - Department of Economics


 9500 Gilman Drive
 La Jolla, CA 92093-0508
 United States
 858-534-4860 (Phone)
 858-534-7040 (Fax)
 email address
 Fellow
 

Centre for Economic Policy Research (CEPR)


 77 Bastwick Street
 London, EC1V 3PZ
 United Kingdom

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. Timmermann, Allan G.'s Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
13,990
Total
Citations
1,006
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.   Incl. Electronic Paper
Kosowski, Robert
Imperial College Business School
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Wermers, Russ
University of Maryland - Robert H. Smith School of Business
White, Jr., Halbert L.
University of California, San Diego (UCSD) - Department of Economics
Posted:
28 Nov 05
Last Revised:
17 Oct 13
1,064
(11,369)
139

2.   Incl. Electronic Paper
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Guidolin, Massimo
Bocconi University - Department of Finance
Posted:
07 Mar 05
Last Revised:
29 Jul 10
1,052
(11,579)
55

3.   Incl. Electronic Paper
Guidolin, Massimo
Bocconi University - Department of Finance
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
28 Oct 06
Last Revised:
28 Feb 08
976
(12,972)
46

4.  
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Guidolin, Massimo
Bocconi University - Department of Finance
Posted:
15 Jun 03
779
(18,231)
14

5.   Incl. Electronic Paper
Schmidt, Lawrence D. W.
University of California, San Diego (UCSD)
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Wermers, Russ
University of Maryland - Robert H. Smith School of Business
Posted:
14 Mar 11
Last Revised:
23 Jun 14
405
(22,752)
10

6.   Incl. Electronic Paper
Guidolin, Massimo
Bocconi University - Department of Finance
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
15 Mar 04
Last Revised:
29 Jul 10
634
(24,435)
26

7.   Incl. Electronic Paper
Ang, Andrew
Columbia Business School - Finance and Economics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
05 Jul 11
Last Revised:
09 Nov 12
574
(28,086)
6

8.  
Cenesizoglu, Tolga
HEC Montreal - Department of Finance
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
25 Mar 08
532
(31,105)
8

9.   Incl. Electronic Paper
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Guidolin, Massimo
Bocconi University - Department of Finance
Posted:
24 Mar 01
Last Revised:
24 Feb 06
513
(32,633)
17

10.  
Value at Risk and Expected Shortfall under Regime Switching | Show Abstract | Download This Paper | Open PDF in Browser |
EFA 2004 Maastricht Meetings Paper No. 2983
Number of Pages in PDF File: 44
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Guidolin, Massimo
Bocconi University - Department of Finance
Posted:
23 Jun 04
509
(32,971)
5

11.  
Guidolin, Massimo
Bocconi University - Department of Finance
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
04 Nov 04
460
(37,587)
21

12.   Incl. Electronic Paper
Guidolin, Massimo
Bocconi University - Department of Finance
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
27 Aug 04
Last Revised:
16 May 06
436
(40,180)
30

13.   Incl. Electronic Paper
Pesaran, M. Hashem
University of Southern California
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
22 Apr 04
Last Revised:
13 Oct 04
416
(42,631)
12

14.  
What is the Shape of the Risk-Return Relation? | Show Abstract | Download This Paper | Open PDF in Browser |
AFA 2010 Atlanta Meetings Paper
Number of Pages in PDF File: 58
Rossi, Alberto G. P.
Board of Governors of the Federal Reserve System (FRB)
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
23 Mar 09
Last Revised:
09 Apr 10
361
(50,684)
5

15.  
Paye, Bradley
University of California, San Diego (UCSD) - Department of Economics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
11 Feb 03
361
(50,684)
3

16.   Incl. Electronic Paper
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Guidolin, Massimo
Bocconi University - Department of Finance
Posted:
13 Oct 05
Last Revised:
12 Jan 08
356
(51,570)
13

17.   Incl. Electronic Paper
Pesaran, M. Hashem
University of Southern California
Pettenuzzo, Davide
Brandeis University - Department of Economics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
19 Jul 04
Last Revised:
17 Nov 04
347
(53,216)
45

18.  
Paye, Bradley S.
University of Georgia - C. Herman and Mary Virginia Terry College of Business
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
31 May 05
313
(60,042)
56

19.   Incl. Electronic Paper
Banegas, Ayelen
Federal Reserve Board
Gillen, Benjamin J.
California Institute of Technology
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Wermers, Russ
University of Maryland - Robert H. Smith School of Business
Posted:
23 Mar 09
Last Revised:
05 Sep 12
309
(60,878)
3

20.   Incl. Electronic Paper
Pettenuzzo, Davide
Brandeis University - Department of Economics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
Posted:
09 Dec 12
Last Revised:
24 Jul 14
277
(68,818)
1

21.  
Perez-Quiros, Gabriel
Bank of Spain
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
10 Feb 03
239
(80,582)
33

22.   Incl. Electronic Paper
Aiolfi, Marco
Bocconi University
Capistrán, Carlos
Banco de México
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
26 Jan 06
Last Revised:
19 May 10
225
(85,879)
86

23.  
Gargano, Antonio
University of Melbourne - Department of Finance
Pettenuzzo, Davide
Brandeis University - Department of Economics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
26 Jul 14
Last Revised:
11 Feb 15
223
(86,621)
 

24.  
Elliott, Graham
University of California, San Diego (UCSD) - Department of Economics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
30 Jul 02
223
(86,621)
26

25.   Incl. Electronic Paper
Guidolin, Massimo
Bocconi University - Department of Finance
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
04 May 04
Last Revised:
12 Apr 07
221
(87,414)
23

26.   Incl. Electronic Paper
Guidolin, Massimo
Bocconi University - Department of Finance
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
17 Nov 03
Last Revised:
12 Apr 07
218
(88,655)
9

27.  
Pesaran, M. Hashem
University of Southern California
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
10 Mar 03
198
(97,638)
18

28.   Incl. Electronic Paper
Catão, Luis
International Monetary Fund (IMF)
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
26 May 04
Last Revised:
28 Jan 06
159
(119,378)
4

29.   Incl. Electronic Paper
Pesaran, M. Hashem
University of Southern California
Pettenuzzo, Davide
Brandeis University - Department of Economics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
10 Jan 06
Last Revised:
30 Nov 12
145
(129,272)
4

30.   Incl. Electronic Paper
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
26 Apr 06
Last Revised:
12 Oct 10
141
(132,343)
15

31.   Incl. Electronic Paper
Pesaran, M. Hashem
University of Southern California
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
21 Aug 03
Last Revised:
13 Oct 04
139
(133,899)
16

32.  
Do Return Prediction Models Add Economic Value? | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Banking and Finance, Vol. 36, No. 11, 2012
Number of Pages in PDF File: 37
Cenesizoglu, Tolga
HEC Montreal - Department of Finance
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
22 Aug 11
Last Revised:
19 Feb 14
115
(155,394)
4

33.   Incl. Electronic Paper
Patton, Andrew J.
Duke University - Department of Economics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
15 Apr 05
Last Revised:
21 Jul 08
112
(158,509)
2

34.  
Testing Dependence among Serially Correlated Multi-Category Variables | Show Abstract | Download This Paper | Open PDF in Browser |
IZA Discussion Paper No. 2196, CESifo Working Paper Series No. 1770, IEPR Working Paper No. 06.61
Number of Pages in PDF File: 46
Pesaran, M. Hashem
University of Southern California
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
25 Jul 06
100
(171,828)
5

35.  
Efficient Market Hypothesis and Forecasting | Show Abstract | Add to Cart |
CEPR Discussion Paper No. 3593
Number of Pages in PDF File: 29
Granger, Clive W. J.
University of California, San Diego (UCSD) - Department of Economics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
20 Nov 02
69
(216,194)
26

36.  
Predictability of Stock Returns and Asset Allocation Under Structural Breaks | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Econometrics, Vol. 164, No. 1, September 2011
Number of Pages in PDF File: 43
Pettenuzzo, Davide
Brandeis University - Department of Economics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
30 Nov 12
67
(221,466)
17

37.  
Genre, Veronique
European Central Bank (ECB)
Kenny, Geoff
European Central Bank (ECB)
Meyler, Aidan
European Central Bank (ECB)
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
11 Dec 10
64
(225,146)
1

38.   Incl. Electronic Paper
Pesaran, M. Hashem
University of Southern California
Pick, Andreas
Erasmus University Rotterdam (EUR) - Department of Econometrics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
11 Feb 09
Last Revised:
12 Oct 11
59
(234,811)
5

39.   Incl. Electronic Paper
Elliott, Graham
University of California, San Diego (UCSD) - Department of Economics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
02 Dec 04
Last Revised:
06 Nov 05
59
(234,811)
11

40.   Incl. Electronic Paper
Kapur, Sandeep
University of London - Economics, Mathematics and Statistics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
20 Nov 03
Last Revised:
28 Jun 09
58
(236,722)
17

41.  
Disagreement and Biases in Inflation Expectations | Show Abstract | Download This Paper | Open PDF in Browser |
CREATES Research Paper 2008-56
Number of Pages in PDF File: 55
Capistrán, Carlos
Banco de México
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
21 Sep 08
56
(240,880)
 

42.  
Patton, Andrew J.
Duke University - Department of Economics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
21 Sep 08
54
(245,025)
 

43.   Incl. Electronic Paper
Pettenuzzo, Davide
Brandeis University - Department of Economics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
Posted:
26 Jul 14
Last Revised:
27 Apr 15
48
(258,336)
 

44.  
Forecast Combination with Entry and Exit of Experts | Show Abstract | Download This Paper | Open PDF in Browser |
CREATES Research Paper No. 2008-55
Number of Pages in PDF File: 27
Capistrán, Carlos
Banco de México
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
21 Sep 08
45
(265,476)
 

45.  
Lunde, Asger
CREATES
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
12 Dec 03
37
(286,381)
19

46.  
Pesaran, M. Hashem
University of Southern California
Pick, Andreas
Erasmus University Rotterdam (EUR) - Department of Econometrics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
24 Oct 11
36
(289,281)
5

47.  
Recursive Modeling of Nonlinear Dynamics in UK Stock Returns | Show Abstract | Add to Cart |
Manchester School, Vol. 71, pp. 381-395, July 2003
Number of Pages in PDF File: 15
Guidolin, Massimo
Bocconi University - Department of Finance
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
03 Jul 03
35
(292,093)
8

48.  
Properties of Optimal Forecasts | Show Abstract | Add to Cart |
CEPR Discussion Paper No. 4037
Number of Pages in PDF File: 42
Patton, Andrew J.
Duke University - Department of Economics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
22 Oct 03
32
(301,194)
25

49.  
Forecast Evaluation with Shared Data Sets | Show Abstract | Add to Cart |
CEPR Discussion Paper No. 3060
Number of Pages in PDF File: 24
Sullivan, Ryan
Bates White & Ballentine
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
White, Jr., Halbert L.
University of California, San Diego (UCSD) - Department of Economics
Posted:
02 Dec 01
27
(318,460)
6

50.  
Estimating Loss Function Parameters | Show Abstract | Add to Cart |
CEPR Discussion Paper No. 3821
Number of Pages in PDF File: 55
Elliott, Graham
University of California, San Diego (UCSD) - Department of Economics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Komunjer, Ivana
University of California, San Diego (UCSD) - Department of Economics
Posted:
06 May 03
24
(330,438)
5

51.  
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Blake, David P.
City University London - Cass Business School - The Pensions Institute
Posted:
04 Sep 02
21
(343,241)
12

52.  
Blake, David P.
City University London - Cass Business School - The Pensions Institute
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Tonks, Ian
University of Bath School of Management
Wermers, Russ
University of Maryland - Robert H. Smith School of Business
Posted:
10 Feb 10
15
(369,701)
5

53.  
Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns | Show Abstract | Add to Cart |
Economic Journal, Vol. 115, No. 500, pp. 111-143, January 2005
Number of Pages in PDF File: 33
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Guidolin, Massimo
Bocconi University - Department of Finance
Posted:
28 Dec 04
15
(369,701)
30

54.  
Pettenuzzo, Davide
Brandeis University - Department of Economics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
09 May 15
10
(392,607)
 

55.  
Economic Forecasting | Show Abstract | Add to Cart |
CEPR Discussion Paper No. DP6158
Number of Pages in PDF File: 61
Elliott, Graham
University of California, San Diego (UCSD) - Department of Economics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
19 May 08
7
(405,323)
14

56.  
Liu, Jun
University of California, San Diego (UCSD) - Rady School of Management
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
11 Mar 09
6
(409,562)
1

57.  
Aiolfi, Marco
Goldman Sachs Group, Inc. - Asset Management Group
Rodriguez, Marius
Federal Reserve Board
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
08 Feb 10
5
(413,653)
 

58.  
Runs on Money Market Funds | Show Abstract | Add to Cart |
CEPR Discussion Paper No. DP9906
Number of Pages in PDF File: 63
Schmidt, Lawrence D. W.
University of California, San Diego (UCSD)
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Wermers, Russ
University of Maryland - Robert H. Smith School of Business
Posted:
02 Jun 14
3
(422,267)
9

59.  
Common Factors in Latin America's Business Cycles | Show Abstract | Add to Cart |
CEPR Discussion Paper No. DP7671
Number of Pages in PDF File: 39
Aiolfi, Marco
Goldman Sachs Group, Inc. - Asset Management Group
Catão, Luis A. V.
Inter American Development Bank
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
08 Feb 10
2
(428,412)
6

60.  
Guidolin, Massimo
Bocconi University - Department of Finance
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
20 May 08
2
(428,412)
12

61.  
Forecast Rationality Tests Based on Multi-Horizon Bounds | Show Abstract | Add to Cart |
CEPR Discussion Paper No. DP8194
Number of Pages in PDF File: 52
Patton, Andrew J.
Duke University - Department of Economics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
31 Jan 11
1
(437,323)
9

62.  
Patton, Andrew J.
Duke University - Department of Economics
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
05 Jun 08
1
(437,323)
2

63.  
Structural Breaks, Incomplete Information and Stock Prices | Show Abstract |
Journal of Business & Economic Statistics, July 2001
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
30 Apr 01
 

64.  
A Recursive Modelling Approach to Predicting UK Stock Returns | Show Abstract |
The Economic Journal, Vol. 110, Issue 460, January 2000
Pesaran, M. Hashem
University of Southern California
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
31 Jul 00
 

65.  
Asset Allocation Dynamics and Pension Fund Performance | Show Abstract |
The Journal of Business, Vol. 72, No. 4, October 1999, Cass Business School Research Paper
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Lehmann, Bruce N.
University of California, San Diego
Blake, David P.
City University London - Cass Business School - The Pensions Institute
Posted:
11 Feb 00
 

66.   Incl. Electronic Paper
Sullivan, Ryan
Bates White & Ballentine
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
White, Jr., Halbert L.
University of California, San Diego (UCSD) - Department of Economics
Posted:
08 Mar 98
Last Revised:
18 May 99
 

67.  
Pesaran, M. Hashem
University of Southern California
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
24 Aug 98
 

68.  
Sullivan, Ryan
Bates White & Ballentine
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
White, Jr., Halbert L.
University of California, San Diego (UCSD) - Department of Economics
Posted:
20 Aug 98
 

69.  
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis | Show Abstract |
UCSD Economics Discussion Paper 98-11, Cass Business School Research Paper
Lunde, Asger
CREATES
Blake, David P.
City University London - Cass Business School - The Pensions Institute
Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics
Posted:
20 Aug 98
 


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