Allan Timmermann

University of California, San Diego (UCSD) - Rady School of Management

9500 Gilman Drive

Rady School of Management

La Jolla, CA 92093

United States

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 30,836

SSRN RANKINGS

Top 30,836

in Total Papers Downloads

3,070

SSRN CITATIONS
Rank 20,441

SSRN RANKINGS

Top 20,441

in Total Papers Citations

49

CROSSREF CITATIONS

14

Scholarly Papers (16)

Dividend Suspensions and Cash Flows During the COVID-19 Pandemic: A Dynamic Econometric Model

Swedish House of Finance Research Paper No. 20-18
Number of pages: 55 Posted: 24 Sep 2020 Last Revised: 13 May 2022
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,010 (41,309)
Citation 8

Abstract:

Loading...

COVID-19; high-frequency cash flows; dividend suspensions; predictive density modeling, Bayesian estimation

Dividend Suspensions and Cash Flow Risk During the Covid-19 Pandemic

CEPR Discussion Paper No. DP14921
Number of pages: 42 Posted: 29 Jun 2020
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 2 (1,154,143)
  • Add to Cart

Abstract:

Loading...

Firm Value and Payout Suspensions During Financial Market Distress

Swedish House of Finance Research Paper No. 21-10
Number of pages: 64 Posted: 10 Apr 2021 Last Revised: 05 Aug 2022
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 836 (53,714)
Citation 9

Abstract:

Loading...

Dividend and buyback suspensions; value of cash; pecking order theory; high frequency data; financial market distress, Covid-19

Outlasting the Pandemic: Corporate Payout and Financing Decisions During COVID-19

CEPR Discussion Paper No. DP16145
Number of pages: 55 Posted: 14 May 2021
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 0
  • Add to Cart

Abstract:

Loading...

3.
Downloads 0 (60,417)
Citation 20

Have Risk Premia Vanished?

CEPR Discussion Paper No. DP16109
Number of pages: 70 Posted: 24 May 2021
Simon Smith and Allan Timmermann
Board of Governors of the Federal Reserve System and University of California, San Diego (UCSD) - Rady School of Management
Downloads 0
Citation 18
  • Add to Cart

Abstract:

Loading...

4.
Downloads 0 (83,629)
Citation 10

Cash Flow News and Stock Price Dynamics

CEPR Discussion Paper No. DP14117
Number of pages: 92 Posted: 04 Dec 2019
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 0
Citation 3
  • Add to Cart

Abstract:

Loading...

Dividend growth, High-frequency cash flow news, Present value model

5.

Warp Speed Price Moves: Jumps after Earnings Announcements

Number of pages: 98 Posted: 25 Apr 2023 Last Revised: 08 Jan 2024
Kim Christensen, Allan Timmermann and Bezirgen Veliyev
Aarhus University - CREATES, University of California, San Diego (UCSD) - Rady School of Management and Aarhus University
Downloads 327 (170,833)

Abstract:

Loading...

After-hours trading; earnings announcements; jump testing; high-frequency data; market efficiency; price discovery.

6.

Do Any Economists Have Superior Forecasting Skills?

Number of pages: 72 Posted: 12 Nov 2019
Ritong Qu, Allan Timmermann and Yinchu Zhu
University of California, San Diego (UCSD) - Rady School of Management, University of California, San Diego (UCSD) - Rady School of Management and University of Oregon
Downloads 260 (216,454)
Citation 1

Abstract:

Loading...

Economic forecasting; superior predictive skills; panel data; multiple hypothesis testing; bootstrap; Bloomberg survey

7.

Breaks in the Phillips Curve: Evidence from Panel Data

FEDS Working Paper No. 2023-15
Number of pages: 62 Posted: 05 May 2023
Jonathan H. Wright, Simon Smith and Allan Timmermann
Johns Hopkins University - Department of Economics, Board of Governors of the Federal Reserve System and University of California, San Diego (UCSD) - Rady School of Management
Downloads 148 (360,910)

Abstract:

Loading...

Phillips curve, Inflation, Unemployment, Panel data, Structural breaks, Bayesian analysis

Forecasting with Panel Data: Estimation Uncertainty Versus Parameter Heterogeneity

CESifo Working Paper No. 9690
Number of pages: 61 Posted: 15 Apr 2022
M. Hashem Pesaran, Andreas Pick and Allan Timmermann
University of Southern California - Department of Economics, Erasmus University Rotterdam (EUR) and University of California, San Diego (UCSD) - Rady School of Management
Downloads 128 (405,789)

Abstract:

Loading...

forecasting, panel data, heterogeneity, forecast evaluation, forecast combination, shrinkage, pooling

Forecasting with Panel Data: Estimation Uncertainty Versus Parameter Heterogeneity

CEPR Discussion Paper No. DP17123
Number of pages: 62 Posted: 29 Mar 2022
M. Hashem Pesaran, Andreas Pick and Allan Timmermann
University of Southern California - Department of Economics, Erasmus University Rotterdam (EUR) and University of California, San Diego (UCSD) - Rady School of Management
Downloads 0
  • Add to Cart

Abstract:

Loading...

Forecast combination, Forecast evaluation, Heterogeneity, panel data, pooling, Shrinkage

9.

Comparing Forecasting Performance with Panel Data

Number of pages: 63 Posted: 28 May 2019
Allan Timmermann and Yinchu Zhu
University of California, San Diego (UCSD) - Rady School of Management and University of Oregon
Downloads 125 (411,942)
Citation 2

Abstract:

Loading...

Economic forecasting, Panel Data; Factor Models, Panel Diebold-Mariano Test, GDP growth, Inflation Forecasts

10.

Scale Economies, Bargaining Power, and Investment Performance: Evidence from Pension Plans

Number of pages: 104 Posted: 30 Nov 2023
University of California, San Diego (UCSD) - Department of Economics, University of California, San Diego (UCSD) - Rady School of Management, University of California, San Diego (UCSD) - Rady School of Management and University of Maryland - Robert H. Smith School of Business
Downloads 96 (501,346)

Abstract:

Loading...

Pension plans, active versus passive management, internal versus external asset management, power law, economies of scale, asset allocation, private versus public asset classes, investment performance

Fluctuations in Economic Uncertainty and Transmission of Monetary Policy Shocks: Evidence Using Daily Surveys from Brazil

Number of pages: 64 Posted: 12 Nov 2019
Rafael Burjack, Ritong Qu and Allan Timmermann
Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças, University of California, San Diego (UCSD) - Rady School of Management and University of California, San Diego (UCSD) - Rady School of Management
Downloads 70 (609,991)
Citation 1

Abstract:

Loading...

Monetary policy transmission; Economic uncertainty; Term premia

Fluctuations in Economic Uncertainty and Transmission of Monetary Policy Shocks: Evidence Using Daily Surveys from Brazil

CEPR Discussion Paper No. DP14097
Number of pages: 67 Posted: 15 Nov 2019
Rafael Burjack, Ritong Qu and Allan Timmermann
Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças, University of California, San Diego (UCSD) - Rady School of Management and University of California, San Diego (UCSD) - Rady School of Management
Downloads 0
  • Add to Cart

Abstract:

Loading...

Inflation uncertainty, monetary policy shocks, term structure

Breaks in the Phillips Curve: Evidence from Panel Data

Number of pages: 61 Posted: 10 Apr 2023 Last Revised: 12 Apr 2023
Simon Smith, Allan Timmermann and Jonathan H. Wright
Board of Governors of the Federal Reserve System, University of California, San Diego (UCSD) - Rady School of Management and Johns Hopkins University - Department of Economics
Downloads 48 (736,715)

Abstract:

Loading...

Phillips curve, Inflation, Unemployment, Panel data, Structural breaks, Bayesian analysis

Breaks in the Phillips Curve: Evidence from Panel Data

NBER Working Paper No. w31153
Number of pages: 62 Posted: 24 Apr 2023 Last Revised: 08 May 2023
Simon Smith, Allan Timmermann and Jonathan H. Wright
Board of Governors of the Federal Reserve System, University of California, San Diego (UCSD) - Rady School of Management and Johns Hopkins University - Department of Economics
Downloads 13 (1,050,934)
Citation 2
  • Add to Cart

Abstract:

Loading...

13.

Search and Predictability of Prices in the Housing Market

CEPR Discussion Paper No. DP15875
Number of pages: 63 Posted: 15 Mar 2021
Aarhus University - CREATES, Aarhus University - Department of Economics and Business Economics, Aarhus UniversityAarhus University - CREATES and University of California, San Diego (UCSD) - Rady School of Management
Downloads 3 (1,101,191)
  • Add to Cart

Abstract:

Loading...

14.

Do Any Economists Have Superior Forecasting Skills?

CEPR Discussion Paper No. DP14112
Number of pages: 75 Posted: 04 Dec 2019
Ritong Qu, Allan Timmermann and Yinchu Zhu
University of California, San Diego (UCSD) - Rady School of Management, University of California, San Diego (UCSD) - Rady School of Management and University of Oregon
Downloads 3 (1,101,191)
  • Add to Cart

Abstract:

Loading...

Bloomberg survey, Economic forecasting, multiple testing, superior predictive skills

15.

Conditional Rotation between Forecasting Models

CEPR Discussion Paper No. DP15917
Number of pages: 88 Posted: 15 Mar 2021
Allan Timmermann and Yinchu Zhu
University of California, San Diego (UCSD) - Rady School of Management and University of Oregon
Downloads 1 (1,116,130)
  • Add to Cart

Abstract:

Loading...

16.

Forecasting Methods in Finance

Annual Review of Financial Economics, Vol. 10, pp. 449-479, 2018
Posted: 08 Nov 2018
Allan Timmermann
University of California, San Diego (UCSD) - Rady School of Management

Abstract:

Loading...