Allan G. Timmermann

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

Assistant Professor

9500 Gilman Drive

La Jolla, CA 92093-0508

United States

Centre for Economic Policy Research (CEPR)

Fellow

77 Bastwick Street

London, EC1V 3PZ

United Kingdom

SCHOLARLY PAPERS

74

DOWNLOADS
Rank 1,494

SSRN RANKINGS

Top 1,494

in Total Papers Downloads

16,378

CITATIONS
Rank 467

SSRN RANKINGS

Top 467

in Total Papers Citations

1,004

Scholarly Papers (74)

1.
Downloads 888 ( 12,658)
Citation 7

Runs on Money Market Mutual Funds

Number of pages: 60 Posted: 14 Mar 2011 Last Revised: 12 Sep 2015
Lawrence D. W. Schmidt, Allan G. Timmermann and Russ Wermers
University of Chicago - Department of Economics, University of California, San Diego (UCSD) - Department of Economics and University of Maryland - Robert H. Smith School of Business
Downloads 888 (19,742)
Citation 7

Abstract:

Money market mutual funds; bank runs; strategic complementarities

Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis

Number of pages: 56 Posted: 28 Nov 2005 Last Revised: 17 Oct 2013
Imperial College Business School, University of California, San Diego (UCSD) - Department of Economics, University of Maryland - Robert H. Smith School of Business and University of California, San Diego (UCSD) - Department of Economics
Downloads 1,132 (13,643)
Citation 132

Abstract:

mutual funds, performance evaluation, bootstrap

Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis

Journal of Finance, Vol. 61, No. 6, December 2006
Posted: 19 Dec 2011
Imperial College Business School, University of California, San Diego (UCSD) - Department of Economics, University of Maryland - Robert H. Smith School of Business and University of California, San Diego (UCSD) - Department of Economics

Abstract:

mutual funds, performance evaluation, bootstrap

International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences

FRB of St. Louis, Research Division Working Paper No. 2005-034C
Number of pages: 51 Posted: 07 Mar 2005
Allan G. Timmermann and Massimo Guidolin
University of California, San Diego (UCSD) - Department of Economics and Bocconi University - Department of Finance
Downloads 1,101 (14,236)
Citation 53

Abstract:

International asset allocation, regime switching, return predictability, skew and kurtosis preferences, home bias

International Asset Allocation Under Regime Switching, Skew, and Kurtosis Preferences

The Review of Financial Studies, Vol. 21, Issue 2, pp. 889-935, 2008
Posted: 26 Jun 2008
Massimo Guidolin and Allan G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics

Abstract:

G12, F30, C32

4.
Downloads 1,086 ( 14,832)
Citation 45

Asset Allocation under Multivariate Regime Switching

FRB of St. Louis Working Paper No. 2005-002C
Number of pages: 41 Posted: 28 Oct 2006
Massimo Guidolin and Allan G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics
Downloads 1,086 (14,537)
Citation 45

Abstract:

regime switching, portfolio choice, predictability

Asset Allocation Under Multivariate Regime Switching

Journal of Economic Dynamics and Control, Vol. 31, No. 11, pp. 3503-3544, 2007
Posted: 16 Jan 2008
Allan G. Timmermann and Massimo Guidolin
University of California, San Diego (UCSD) - Department of Economics and Bocconi University - Department of Finance

Abstract:

Regime switching, Portfolio choice, Predictability

5.
Downloads 819 ( 22,666)
Citation 8

Regime Changes and Financial Markets

Netspar Discussion Paper No. 06/2011-068
Number of pages: 34 Posted: 30 Aug 2011
Andrew Ang and Allan G. Timmermann
BlackRock, Inc and University of California, San Diego (UCSD) - Department of Economics
Downloads 767 (24,490)
Citation 8

Abstract:

regime switching, non-linear equilibrium asset pricing models, mixture distributions rare events, jumps

Regime Changes and Financial Markets

NBER Working Paper No. w17182
Number of pages: 34 Posted: 05 Jul 2011
Andrew Ang and Allan G. Timmermann
BlackRock, Inc and University of California, San Diego (UCSD) - Department of Economics
Downloads 44 (346,694)
Citation 8

Abstract:

Regime Changes and Financial Markets

CEPR Discussion Paper No. DP8480
Number of pages: 35 Posted: 20 Jul 2011
Andrew Ang and Allan G. Timmermann
BlackRock, Inc and University of California, San Diego (UCSD) - Department of Economics
Downloads 8 (521,448)
Citation 8

Abstract:

jumps, mixture distributions, non-linear equilibrium asset pricing models, rare events, regime switching

Regime Changes and Financial Markets

Annual Review of Financial Economics, Vol. 4, pp. 313-337, 2012
Posted: 04 Nov 2012
Andrew Ang and Allan G. Timmermann
BlackRock, Inc and University of California, San Diego (UCSD) - Department of Economics

Abstract:

6.

Optimal Portfolio Choice under Regime Switching, Skew and Kurtosis Preferences

EFMA 2003 Helsinki Meetings
Number of pages: 34 Posted: 15 Jun 2003
Allan G. Timmermann and Massimo Guidolin
University of California, San Diego (UCSD) - Department of Economics and Bocconi University - Department of Finance
Downloads 782 (23,433)
Citation 14

Abstract:

Optimal Asset Allocation, Regime Switching, Skew and Kurtosis Preference

7.
Downloads 659 ( 30,803)
Citation 25

Size and Value Anomalies under Regime Shifts

FRB of St. Louis Working Paper No. 2005-007B
Number of pages: 47 Posted: 15 Mar 2004
Massimo Guidolin and Allan G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics
Downloads 659 (30,312)
Citation 25

Abstract:

optimal portfolio choice, regimes, hedging demands, size and value portfolios

Size and Value Anomalies Under Regime Shifts

Journal of Financial Econometrics, Vol. 6, Issue 1, pp. 1-48, 2008
Posted: 10 Jul 2008
Massimo Guidolin and Allan G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics

Abstract:

G12, G11, C32, hedging demands, optimal portfolio choice, regimes, size and value portfolios

8.

Is the Distribution of Stock Returns Predictable?

Number of pages: 50 Posted: 25 Mar 2008
Tolga Cenesizoglu and Allan G. Timmermann
HEC Montreal - Department of Finance and University of California, San Diego (UCSD) - Department of Economics
Downloads 538 (35,529)
Citation 9

Abstract:

Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities

EFMA 2001 Lugano Meetings
Number of pages: 58 Posted: 24 Mar 2001
Massimo Guidolin and Allan G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics
Downloads 495 (44,250)
Citation 18

Abstract:

Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities

CEPR Discussion Paper No. 3005
Number of pages: 61 Posted: 01 Nov 2001
Allan G. Timmermann and Massimo Guidolin
University of California, San Diego (UCSD) - Department of Economics and Bocconi University - Department of Finance
Downloads 32 (391,435)
Citation 18

Abstract:

Option prices, Black-Scholes option pricing model, Bayesian learning

Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities

Journal of Economic Dynamics and Control, Vol. 27, pp. 717-769, 2003
Posted: 25 May 2004
Allan G. Timmermann and Massimo Guidolin
University of California, San Diego (UCSD) - Department of Economics and Bocconi University - Department of Finance

Abstract:

Rational learning, Black-Scholes biases, option pricing

10.

Value at Risk and Expected Shortfall under Regime Switching

EFA 2004 Maastricht Meetings Paper No. 2983
Number of pages: 44 Posted: 23 Jun 2004
Allan G. Timmermann and Massimo Guidolin
University of California, San Diego (UCSD) - Department of Economics and Bocconi University - Department of Finance
Downloads 517 (39,566)
Citation 5

Abstract:

11.

Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching

Number of pages: 55 Posted: 04 Nov 2004
Massimo Guidolin and Allan G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics
Downloads 466 (44,224)
Citation 21

Abstract:

Asset allocation, regime wwitching, bull and bear, optimal consumption, portfolio choice

An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns

Number of pages: 37 Posted: 27 Aug 2004
Massimo Guidolin and Allan G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics
Downloads 463 (48,176)
Citation 30

Abstract:

Regime switching, stock and bond return predictability, nonlinear modeling

An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns

Journal of Applied Econometrics, Vol. 21, pp. 1-22, January 2006
Posted: 04 Jan 2005
Massimo Guidolin and Allan G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics

Abstract:

Regime switching, stock and bond return predictability, nonlinear modeling

13.
Downloads 429 ( 53,525)
Citation 12

Real Time Econometrics

IZA Discussion Paper No. 1108; CESifo Working Paper Series No. 1169
Number of pages: 22 Posted: 22 Apr 2004
M. Hashem Pesaran and Allan G. Timmermann
USC Dornsife Institute for New Economic Thinking and University of California, San Diego (UCSD) - Department of Economics
Downloads 411 (55,849)
Citation 12

Abstract:

specification search, data snooping, recursive/sequential modelling, automated model selection

Real Time Econometrics

CEPR Discussion Paper No. 4402
Number of pages: 23 Posted: 01 Jul 2004
M. Hashem Pesaran and Allan G. Timmermann
USC Dornsife Institute for New Economic Thinking and University of California, San Diego (UCSD) - Department of Economics
Downloads 18 (464,914)
Citation 12

Abstract:

Specification search, data snooping, recursive/sequential modelling, automated model selection

Forecasts of US Short-Term Interest Rates: A Flexible Forecast Combination Approach

Number of pages: 30 Posted: 13 Oct 2005
Massimo Guidolin and Allan G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics
Downloads 379 (61,620)
Citation 12

Abstract:

forecast combinations, regime switching, interest rates

Forecasts of Us Short-Term Interest Rates: a Flexible Forecast Combination Approach

Journal of Econometrics, FORTHCOMING.
Posted: 14 Apr 2007
Allan G. Timmermann and Massimo Guidolin
University of California, San Diego (UCSD) - Department of Economics and Bocconi University - Department of Finance

Abstract:

Forecast combinations, regime switches, short term interest rates, expectations hypothesis.

Forecasting Stock Returns Under Economic Constraints

Number of pages: 57 Posted: 09 Dec 2012
Davide Pettenuzzo, Allan G. Timmermann and Rossen I. Valkanov
Brandeis University - Department of Economics, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 375 (62,401)

Abstract:

Economic constraints, Sharpe ratio, Equity premium predictions, Bayesian analysis

Forecasting Stock Returns Under Economic Constraints

CEPR Discussion Paper No. DP9377
Number of pages: 61 Posted: 12 Mar 2013
Davide Pettenuzzo, Allan G. Timmermann and Rossen I. Valkanov
Brandeis University - Department of Economics, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 2 (554,355)

Abstract:

Bayesian analysis, Economic constraints, Sharpe Ratio, Stock return predictability

Forecasting Time Series Subject to Multiple Structural Breaks

IZA Discussion Paper No. 1196; CESifo Working Paper Series No. 1237
Number of pages: 41 Posted: 19 Jul 2004
M. Hashem Pesaran, Davide Pettenuzzo and Allan G. Timmermann
USC Dornsife Institute for New Economic Thinking, Brandeis University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 353 (66,979)
Citation 42

Abstract:

structural breaks, forecasting, hierarchical hidden Markov chain model, Bayesian model averaging

Forecasting Time Series Subject to Multiple Structural Breaks

CEPR Discussion Paper No. 4636
Number of pages: 42 Posted: 17 Nov 2004
M. Hashem Pesaran, Davide Pettenuzzo and Allan G. Timmermann
USC Dornsife Institute for New Economic Thinking, Brandeis University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 20 (453,427)
Citation 42

Abstract:

Structural breaks, forecasting, hierarchical hidden Markov Chain Model, Bayesian model averaging

17.

What is the Shape of the Risk-Return Relation?

AFA 2010 Atlanta Meetings Paper
Number of pages: 58 Posted: 23 Mar 2009 Last Revised: 09 Apr 2010
Alberto G. P. Rossi and Allan G. Timmermann
Board of Governors of the Federal Reserve System and University of California, San Diego (UCSD) - Department of Economics
Downloads 365 (57,220)
Citation 6

Abstract:

risk-return trade-off, time-varying expected returns, conditional volatility, economic activity index, covariance risk, boosted regression trees.

18.

How Stable are Financial Prediction Models? Evidence from US and International Stock Market Data

UCSD, Economics Working Paper No. 2002-13
Number of pages: 57 Posted: 11 Feb 2003
Bradley Paye and Allan G. Timmermann
University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 364 (63,946)
Citation 3

Abstract:

Financial Prediction Model, Breakpoint Structural Stability, International Stock Market

Mutual Fund Return Predictability in Partially Segmented Markets

Number of pages: 77 Posted: 23 Mar 2009 Last Revised: 22 Oct 2011
Ayelen Banegas, Benjamin J. Gillen, Allan G. Timmermann and Russ Wermers
Board of Governors of the Federal Reserve System, California Institute of Technology, University of California, San Diego (UCSD) - Department of Economics and University of Maryland - Robert H. Smith School of Business
Downloads 327 (73,332)
Citation 4

Abstract:

European equity markets; mutual fund performance; time-varying investment opportunities.

The Cross-Section of Conditional Mutual Fund Performance in European Stock Markets

Journal of Financial Economics (JFE), Forthcoming
Posted: 23 Mar 2011 Last Revised: 05 Sep 2012
Ayelen Banegas, Benjamin J. Gillen, Allan G. Timmermann and Russ Wermers
Board of Governors of the Federal Reserve System, California Institute of Technology, University of California, San Diego (UCSD) - Department of Economics and University of Maryland - Robert H. Smith School of Business

Abstract:

European equity markets, mutual fund performance, time-varying investment opportunities

20.

Instability of Return Prediction Models

Number of pages: 43 Posted: 31 May 2005
Bradley S. Paye and Allan G. Timmermann
Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law and University of California, San Diego (UCSD) - Department of Economics
Downloads 317 (72,577)
Citation 52

Abstract:

Stock return predictability, model instability, structural breaks

21.
Downloads 289 ( 84,801)
Citation 87

Forecast Combinations

CREATES Research Paper No. 2010-21
Number of pages: 35 Posted: 19 May 2010
Marco Aiolfi, Carlos Capistrán and Allan G. Timmermann
Bocconi University, Banco de México and University of California, San Diego (UCSD) - Department of Economics
Downloads 234 (105,826)
Citation 87

Abstract:

Time-series forecasts, survey forecasts, model instability

Forecast Combinations

CEPR Discussion Paper No. 5361
Number of pages: 81 Posted: 26 Jan 2006
Allan G. Timmermann
University of California, San Diego (UCSD) - Department of Economics
Downloads 55 (312,943)
Citation 87

Abstract:

Forecast combinations, pooling and trimming, shrinkage methods, model misspecification, diversification gains

22.

Bond Return Predictability: Economic Value and Links to the Macroeconomy

Number of pages: 67 Posted: 26 Jul 2014 Last Revised: 11 Feb 2017
Antonio Gargano, Davide Pettenuzzo and Allan G. Timmermann
University of Melbourne - Department of Finance, Brandeis University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 264 (45,817)
Citation 2

Abstract:

bond returns, yield curve, macro factors, stochastic volatility, time-varying parameters, unspanned macro risk factors

23.

Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities

ECB Working Paper No. 58
Number of pages: 56 Posted: 10 Feb 2003
Gabriel Perez-Quiros and Allan G. Timmermann
Banco de España and University of California, San Diego (UCSD) - Department of Economics
Downloads 239 (101,764)
Citation 33

Abstract:

Markov Switching; Density Modelling; Mixtures of Distributions; Business Cycle risk

Term Structure of Risk under Alternative Econometric Specifications

Number of pages: 25 Posted: 04 May 2004
Massimo Guidolin and Allan G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics
Downloads 200 (123,648)
Citation 25

Abstract:

Term structure of risk, nonlinear econometric models, simulation methods

Term Structure of Risk under Alternative Econometric Specifications

CEPR Discussion Paper No. 4645
Number of pages: 28 Posted: 22 Nov 2004
Allan G. Timmermann and Massimo Guidolin
University of California, San Diego (UCSD) - Department of Economics and Bocconi University - Department of Finance
Downloads 24 (430,692)
Citation 25

Abstract:

Term structure of risk, nonlinear econometric models, simulation models

Term Structure of Risk under Alternative Econometric Specifications

Journal of Econometrics, Vol. 131, pp. 285-308, March-April 2006
Posted: 29 Mar 2005
Massimo Guidolin and Allan G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics

Abstract:

Term structure of risk, nonlinear econometric models, simulation methods

25.

Optimal Forecast Combinations Under General Loss Functions and Forecast Error Distributions

U of California, Econ, Discussion Paper No. 2002-08
Number of pages: 56 Posted: 30 Jul 2002
Graham Elliott and Allan G. Timmermann
University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 224 (107,215)
Citation 26

Abstract:

Forecast Combination, Asymmetric Loss, Inflation Forecasting

Properties of Equilibrium Asset Prices Under Alternative Learning Schemes

Number of pages: 50 Posted: 17 Nov 2003
Allan G. Timmermann and Massimo Guidolin
University of California, San Diego (UCSD) - Department of Economics and Bocconi University - Department of Finance
Downloads 223 (111,051)
Citation 8

Abstract:

Rational learning, adaptive learning, Bayesian updating, lattice models, asset prices.

Properties of Equilibrium Asset Prices Under Alternative Learning Schemes

Journal of Economic Dynamics and Control, Vol. 31, No. 1, pp. 161-217, January 2007
Posted: 14 Nov 2005
Massimo Guidolin and Allan G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics

Abstract:

Rational learning, adaptive learning, Bayesian updating, lattice models, asset prices

27.

How Costly is it to Ignore Breaks When Forecasting the Direction of a Time Series?

CESifo Working Paper Series No. 875
Number of pages: 39 Posted: 10 Mar 2003
M. Hashem Pesaran and Allan G. Timmermann
USC Dornsife Institute for New Economic Thinking and University of California, San Diego (UCSD) - Department of Economics
Downloads 201 (120,557)
Citation 19

Abstract:

Sign Prediction, Estimation Window, Structural Breaks

A MIDAS Approach to Modeling First and Second Moment Dynamics

Number of pages: 41 Posted: 26 Jul 2014 Last Revised: 19 Sep 2015
Davide Pettenuzzo, Allan G. Timmermann and Rossen I. Valkanov
Brandeis University - Department of Economics, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 192 (128,510)

Abstract:

MIDAS regressions; Bayesian estimation; stochastic volatility; out-of-sample forecasts; GDP growth

A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics

CEPR Discussion Paper No. DP10160
Number of pages: 48 Posted: 25 Sep 2014
Davide Pettenuzzo, Allan G. Timmermann and Rossen I. Valkanov
Brandeis University - Department of Economics, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 0

Abstract:

Bayesian estimation, GDP growth, MIDAS regressions, out-of-sample forecasts, stochastic volatility

29.
Downloads 181 (136,045)
Citation 15

An Evaluation of the World Economic Outlook Forecasts

IMF Working Paper No. 06/59
Number of pages: 108 Posted: 26 Apr 2006
Allan G. Timmermann
University of California, San Diego (UCSD) - Department of Economics
Downloads 180 (136,591)
Citation 15

Abstract:

Global economic condition, forecasting, forecast performance and evaluation

An Evaluation of the World Economic Outlook Forecasts

IMF Staff Papers, Vol. 54, Issue 1, pp. 1-33, 2007
Number of pages: 33 Posted: 12 Oct 2010
Allan G. Timmermann
University of California, San Diego (UCSD) - Department of Economics
Downloads 1 (564,477)
Citation 15

Abstract:

30.
Downloads 166 (146,911)
Citation 4

Country and Industry Dynamics in Stock Returns

IMF Working Paper No. 03/52
Number of pages: 51 Posted: 28 Jan 2006
Luis Catão and Allan G. Timmermann
International Monetary Fund (IMF) and University of California, San Diego (UCSD) - Department of Economics
Downloads 143 (167,235)
Citation 4

Abstract:

Diversification, Risk, Volatility States, Regime Switching, International Financial Markets

Country and Industry Dynamics in Stock Returns

CEPR Discussion Paper No. 4368
Number of pages: 43 Posted: 26 May 2004
Luis Catão and Allan G. Timmermann
International Monetary Fund (IMF) and University of California, San Diego (UCSD) - Department of Economics
Downloads 23 (436,263)
Citation 4

Abstract:

Diversification, risk, volatility states, international financial markets

Learning, Structural Instability and Present Value Calculations

CESifo Working Paper Series No. 1650
Number of pages: 39 Posted: 23 Feb 2006
M. Hashem Pesaran, Davide Pettenuzzo and Allan G. Timmermann
USC Dornsife Institute for New Economic Thinking, Brandeis University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 109 (206,712)
Citation 4

Abstract:

present value, stock prices, structural breaks, Bayesian learning

Learning, Structural Instability and Present Value Calculations

Econometric Reviews 26 (2-4), 253-–288,
Number of pages: 35 Posted: 10 Jan 2006 Last Revised: 30 Nov 2012
M. Hashem Pesaran, Davide Pettenuzzo and Allan G. Timmermann
USC Dornsife Institute for New Economic Thinking, Brandeis University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 45 (343,382)
Citation 4

Abstract:

present value, stock prices, structural breaks, Bayesian learning

Small Sample Properties of Forecasts from Autoregressive Models Under Structural Breaks

CESifo Working Paper Series No. 990
Number of pages: 42 Posted: 21 Aug 2003
M. Hashem Pesaran and Allan G. Timmermann
USC Dornsife Institute for New Economic Thinking and University of California, San Diego (UCSD) - Department of Economics
Downloads 133 (177,423)
Citation 16

Abstract:

Small Sample Properties of Forecasts, RMSFE, Structural Breaks, Autoregression

Small Sample Properties of Forecasts from Autoregressive Models Under Structural Breaks

CEPR Discussion Paper No. 4401
Number of pages: 47 Posted: 28 Jun 2004
M. Hashem Pesaran and Allan G. Timmermann
USC Dornsife Institute for New Economic Thinking and University of California, San Diego (UCSD) - Department of Economics
Downloads 12 (499,465)
Citation 16

Abstract:

Autoregression, MSFE, rolling window estimator, small sample properties of forecasts and structural breaks

33.

Do Return Prediction Models Add Economic Value?

Journal of Banking and Finance, Vol. 36, No. 11, 2012
Number of pages: 37 Posted: 22 Aug 2011 Last Revised: 19 Feb 2014
Tolga Cenesizoglu and Allan G. Timmermann
HEC Montreal - Department of Finance and University of California, San Diego (UCSD) - Department of Economics
Downloads 141 (168,834)
Citation 3

Abstract:

predictability of stock returns, mean squared forecast error, portfolio selection, probability distribution forecasts

34.
Downloads 120 (191,656)
Citation 2

Testable Implications of Forecast Optimality

LSE STICERD Discussion Paper No. EM/05/485
Number of pages: 36 Posted: 15 Apr 2005
Andrew J. Patton and Allan G. Timmermann
Duke University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 101 (218,434)
Citation 2

Abstract:

forecast evaluation, loss function, rationality tests

Testable Implications of Forecast Optimality

LSE STICERD Research Paper No. EM485
Number of pages: 39 Posted: 21 Jul 2008
Andrew J. Patton and Allan G. Timmermann
Duke University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 19 (459,277)
Citation 2

Abstract:

35.

Testing Dependence among Serially Correlated Multi-Category Variables

IZA Discussion Paper No. 2196, CESifo Working Paper Series No. 1770, IEPR Working Paper No. 06.61
Number of pages: 46 Posted: 25 Jul 2006
M. Hashem Pesaran and Allan G. Timmermann
USC Dornsife Institute for New Economic Thinking and University of California, San Diego (UCSD) - Department of Economics
Downloads 100 (212,793)
Citation 6

Abstract:

contingency tables, canonical correlations, serial dependence, tests of

Forecasting Macroeconomic Variables Under Model Instability

Number of pages: 41 Posted: 09 May 2015
Davide Pettenuzzo and Allan G. Timmermann
Brandeis University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 97 (224,668)

Abstract:

Time-varying parameters, regime switching, change point models, stochastic volatility, GDP growth forecasts, inflation forecasts

Forecasting Macroeconomic Variables Under Model Instability

CEPR Discussion Paper No. DP11355
Number of pages: 44 Posted: 27 Jun 2016
Davide Pettenuzzo and Allan G. Timmermann
Brandeis University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 0

Abstract:

GDP growth, inflation, regime switching, stochastic volatility, time-varying parameters

37.

Predictability of Stock Returns and Asset Allocation Under Structural Breaks

Journal of Econometrics, Vol. 164, No. 1, September 2011
Number of pages: 43 Posted: 30 Nov 2012
Davide Pettenuzzo and Allan G. Timmermann
Brandeis University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 75 (208,566)
Citation 15

Abstract:

38.

Efficient Market Hypothesis and Forecasting

CEPR Discussion Paper No. 3593
Number of pages: 29 Posted: 20 Nov 2002
Clive W. J. Granger and Allan G. Timmermann
University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 69 (274,900)
Citation 27

Abstract:

Efficient market hypothesis, forecast evaluation, model specification, learning

Variable Selection and Inference for Multi-Period Forecasting Problems

CESifo Working Paper Series No. 2543
Number of pages: 40 Posted: 11 Feb 2009
M. Hashem Pesaran, Andreas Pick and Allan G. Timmermann
USC Dornsife Institute for New Economic Thinking, Erasmus University Rotterdam (EUR) - Department of Econometrics and University of California, San Diego (UCSD) - Department of Economics
Downloads 65 (287,313)
Citation 6

Abstract:

Variable Selection and Inference for Multi-Period Forecasting Problems

CEPR Discussion Paper No. DP7139
Number of pages: 38 Posted: 18 Feb 2009
M. Hashem Pesaran, Andreas Pick and Allan G. Timmermann
USC Dornsife Institute for New Economic Thinking, Erasmus University Rotterdam (EUR) - Department of Econometrics and University of California, San Diego (UCSD) - Department of Economics
Downloads 2 (554,355)
Citation 6

Abstract:

factor-augmented VAR, forecast horizon, macroeconomic forecasting

40.

Combining the Forecasts in the ECB Survey of Professional Forecasters: Can Anything Beat the Simple Average?

ECB Working Paper No. 1277
Number of pages: 54 Posted: 11 Dec 2010
Veronique Genre, Geoff Kenny, Aidan Meyler and Allan G. Timmermann
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and University of California, San Diego (UCSD) - Department of Economics
Downloads 66 (262,215)
Citation 1

Abstract:

forecast combination, forecast evaluation, data snooping, real-time data, Survey of Professional Forecasters

Transparency, Investor Information Acquisition, and Money Market Fund Risk Rebalancing During the 2011-12 Eurozone Crisis

Robert H. Smith School Research Paper No. RHS 2886171
Number of pages: 65 Posted: 16 Dec 2016
Washington University in St. Louis - John M. Olin Business School, University of Chicago - Department of Economics, University of California, San Diego (UCSD) - Department of Economics and University of Maryland - Robert H. Smith School of Business
Downloads 61 (297,027)

Abstract:

Money market funds, Eurozone crisis, financial fragility, endogenous information acqui- sition, transparency in short-term funding markets

Transparency, Investor Information Acquisition, and Money Market Fund Risk Rebalancing During the 2011-12 Eurozone Crisis

CEPR Discussion Paper No. DP11895
Number of pages: 68 Posted: 16 Mar 2017
Washington University in St. Louis - John M. Olin Business School, University of Chicago - Department of Economics, University of California, San Diego (UCSD) - Department of Economics and University of Maryland - Robert H. Smith School of Business
Downloads 0

Abstract:

endogenous information acquisition, eurozone crisis, financial fragility, Money market funds, transparency in short-term funding markets

42.
Downloads 59 (298,148)
Citation 11

Optimal Forecast Combination under Regime Switching

International Economic Review, Vol. 46, No. 4, pp. 1081-1102, November 2005
Number of pages: 22 Posted: 06 Nov 2005
Graham Elliott and Allan G. Timmermann
University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 33 (387,237)
Citation 11

Abstract:

Optimal Forecast Combination under Regime Switching

CEPR Discussion Paper No. 4649
Number of pages: 31 Posted: 02 Dec 2004
Graham Elliott and Allan G. Timmermann
University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 26 (419,953)
Citation 11

Abstract:

Forecast combination, time-varying combination weights, Markov switching, survey data

Relative Performance Evaluation Contracts and Asset Market Equilibrium

Economic Journal, Vol. 115, No. 506, pp. 1077-1102, October 2005
Number of pages: 26 Posted: 07 Dec 2005
Sandeep Kapur and Allan G. Timmermann
University of London - Birkbeck College and University of California, San Diego (UCSD) - Department of Economics
Downloads 33 (387,237)
Citation 16

Abstract:

Relative Performance Evaluation Contracts and Asset Market Equilibrium

CEPR Discussion Paper No. 4038
Number of pages: 33 Posted: 20 Nov 2003
Sandeep Kapur and Allan G. Timmermann
University of London - Birkbeck College and University of California, San Diego (UCSD) - Department of Economics
Downloads 25 (425,213)
Citation 16

Abstract:

Portfolio delegation, relative performance evaluation, equity premium

44.

Disagreement and Biases in Inflation Expectations

CREATES Research Paper 2008-56
Number of pages: 55 Posted: 21 Sep 2008
Carlos Capistrán and Allan G. Timmermann
Banco de México and University of California, San Diego (UCSD) - Department of Economics
Downloads 57 (295,677)

Abstract:

asymmetric loss, real-time data, survey expectations

45.

The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast

CREATES Research Paper No. 2008-54
Number of pages: 36 Posted: 21 Sep 2008
Andrew J. Patton and Allan G. Timmermann
Duke University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 55 (290,874)

Abstract:

Fixed-event forecasts, multiple forecast horizons, Kalman filtering, survey data

46.

Forecast Combination with Entry and Exit of Experts

CREATES Research Paper No. 2008-55
Number of pages: 27 Posted: 21 Sep 2008
Carlos Capistrán and Allan G. Timmermann
Banco de México and University of California, San Diego (UCSD) - Department of Economics
Downloads 46 (325,391)

Abstract:

Real-time Data, Survey of Professional Forecasters, Bias-adjustment, EM Algorithm

47.

Variable Selection, Estimation and Inference for Multi-Period Forecasting Problems

De Nederlandsche Bank Working Paper No. 250
Number of pages: 39 Posted: 24 Oct 2011
M. Hashem Pesaran, Andreas Pick and Allan G. Timmermann
USC Dornsife Institute for New Economic Thinking, Erasmus University Rotterdam (EUR) - Department of Econometrics and University of California, San Diego (UCSD) - Department of Economics
Downloads 38 (334,292)
Citation 6

Abstract:

Multi-period forecasts, direct and iterated methods, factor augmented VARs

48.

Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets

CEPR Discussion Paper No. 4104
Number of pages: 43 Posted: 12 Dec 2003
Asger Lunde and Allan G. Timmermann
University of Aarhus - School of Economics and Management and University of California, San Diego (UCSD) - Department of Economics
Downloads 37 (363,669)
Citation 19

Abstract:

Hazard model, survival rate, interest rate effect

49.

Recursive Modeling of Nonlinear Dynamics in UK Stock Returns

Manchester School, Vol. 71, pp. 381-395, July 2003
Number of pages: 15 Posted: 03 Jul 2003
Massimo Guidolin and Allan G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics
Downloads 35 (370,752)
Citation 8

Abstract:

50.

Properties of Optimal Forecasts

CEPR Discussion Paper No. 4037
Number of pages: 42 Posted: 22 Oct 2003
Andrew J. Patton and Allan G. Timmermann
Duke University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 32 (382,171)
Citation 24

Abstract:

Forecast evaluation, loss function, rationality, efficient markets

51.

Forecast Evaluation with Shared Data Sets

CEPR Discussion Paper No. 3060
Number of pages: 24 Posted: 02 Dec 2001
Ryan Sullivan, Allan G. Timmermann and Halbert L. White, Jr.
Bates White & Ballentine, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 27 (403,541)
Citation 6

Abstract:

Forecast evaluation, bootstrap, data sharing, calendar effects, technical trading

52.

Estimating Loss Function Parameters

CEPR Discussion Paper No. 3821
Number of pages: 55 Posted: 06 May 2003
Graham Elliott, Allan G. Timmermann and Ivana Komunjer
University of California, San Diego (UCSD) - Department of Economics, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 24 (417,971)
Citation 5

Abstract:

IMF, OECD, asymmetric loss, macroeconomic forecasting

53.

International Asset Allocation with Time-Varying Investment Opportunities

CEPR Discussion Paper No. 3464
Number of pages: 39 Posted: 04 Sep 2002
Allan G. Timmermann and David P. Blake
University of California, San Diego (UCSD) - Department of Economics and City University London - Cass Business School - The Pensions Institute
Downloads 21 (433,240)
Citation 12

Abstract:

International asset allocation, market timing, UK pension funds, investment performance

54.

Decentralized Investment Management: Evidence from the Pension Fund Industry

CEPR Discussion Paper No. DP7679
Number of pages: 57 Posted: 10 Feb 2010
David P. Blake, Allan G. Timmermann, Ian Tonks and Russ Wermers
City University London - Cass Business School - The Pensions Institute, University of California, San Diego (UCSD) - Department of Economics, University of Bath School of Management and University of Maryland - Robert H. Smith School of Business
Downloads 15 (464,145)
Citation 7

Abstract:

asset management, decentralized management, pension funds, principal agent problems

55.

Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns

Economic Journal, Vol. 115, No. 500, pp. 111-143, January 2005
Number of pages: 33 Posted: 28 Dec 2004
Allan G. Timmermann and Massimo Guidolin
University of California, San Diego (UCSD) - Department of Economics and Bocconi University - Department of Finance
Downloads 15 (464,145)
Citation 30

Abstract:

56.

Economic Forecasting

CEPR Discussion Paper No. DP6158
Number of pages: 61 Posted: 19 May 2008
Graham Elliott and Allan G. Timmermann
University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 7 (503,889)
Citation 15

Abstract:

Economic forecasting, forecast evaluation, loss function

57.

Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications

CEPR Discussion Paper No. DP7188
Number of pages: 44 Posted: 11 Mar 2009
Jun Liu and Allan G. Timmermann
University of California, San Diego (UCSD) - Rady School of Management and University of California, San Diego (UCSD) - Department of Economics
Downloads 6 (508,367)
Citation 1

Abstract:

cointegrated asset prices, optimal portfolio choice, risky arbitrage

58.

Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability

CEPR Discussion Paper No. DP7656
Number of pages: 40 Posted: 08 Feb 2010
Marco Aiolfi, Marius Rodriguez and Allan G. Timmermann
Goldman Sachs Group, Inc. - Asset Management Group, Federal Reserve Board and University of California, San Diego (UCSD) - Department of Economics
Downloads 5 (512,698)

Abstract:

analysts' earnings forecasts, mixture model, predictability of forecast revisions

59.
Downloads 4 (516,992)
Citation 4

Forecasting in Economics and Finance

CEPR Discussion Paper No. DP11354
Number of pages: 40 Posted: 27 Jun 2016
Graham Elliott and Allan G. Timmermann
University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 4 (541,583)
Citation 4

Abstract:

Big Data, Forecast evaluation, Forecast models, Model Instability, Parameter Estimation

Forecasting in Economics and Finance

Annual Review of Economics, Vol. 8, pp. 81-110, 2016
Posted: 18 Nov 2016
Graham Elliott and Allan G. Timmermann
University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics

Abstract:

60.

Runs on Money Market Funds

CEPR Discussion Paper No. DP9906
Number of pages: 63 Posted: 02 Jun 2014
Lawrence D. W. Schmidt, Allan G. Timmermann and Russ Wermers
University of Chicago - Department of Economics, University of California, San Diego (UCSD) - Department of Economics and University of Maryland - Robert H. Smith School of Business
Downloads 3 (521,539)
Citation 7

Abstract:

bank runs, money market mutual funds, quantile regression, strategic complementarities

61.

Common Factors in Latin America's Business Cycles

CEPR Discussion Paper No. DP7671
Number of pages: 39 Posted: 08 Feb 2010
Marco Aiolfi, Luis A. V. Catão and Allan G. Timmermann
Goldman Sachs Group, Inc. - Asset Management Group, Inter American Development Bank and University of California, San Diego (UCSD) - Department of Economics
Downloads 2 (527,845)
Citation 6

Abstract:

factor models, International business cycles, Latin America

62.

Forecasts of U.S. Short-Term Interest Rates: A Flexible Forecast Combination Approach

CEPR Discussion Paper No. DP6188
Number of pages: 32 Posted: 20 May 2008
Massimo Guidolin and Allan G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics
Downloads 2 (527,845)
Citation 11

Abstract:

Forecast combinations, term structure of interest rates

63.

Forecast Rationality Tests Based on Multi-Horizon Bounds

CEPR Discussion Paper No. DP8194
Number of pages: 52 Posted: 31 Jan 2011
Andrew J. Patton and Allan G. Timmermann
Duke University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 1 (536,520)
Citation 9

Abstract:

forecast horizon, forecast optimality, real-time data, survey forecasts

64.

Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts

CEPR Discussion Paper No. DP6526
Number of pages: 60 Posted: 05 Jun 2008
Andrew J. Patton and Allan G. Timmermann
Duke University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 1 (536,520)
Citation 2

Abstract:

real time learning, survey forecasts, term structure of forecasts

65.

Picking Funds with Confidence

CEPR Discussion Paper No. DP11896
Number of pages: 61 Posted: 16 Mar 2017
Niels Groenborg, Asger Lunde, Allan G. Timmermann and Russ Wermers
University of Aarhus, University of Aarhus - School of Economics and Management, University of California, San Diego (UCSD) - Department of Economics and University of Maryland - Robert H. Smith School of Business
Downloads 0 (536,520)

Abstract:

equity mutual funds, Fund confidence set, risk-adjusted performance

66.

Learning, Structural Instability and Present Value Calculations

Bundesbank Series 1 Discussion Paper No. 2006,27
Number of pages: 56 Posted: 08 Jun 2016
M. Hashem Pesaran, Davide Pettenuzzo and Allan G. Timmermann
USC Dornsife Institute for New Economic Thinking, Brandeis University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 0 (479,527)
Citation 4

Abstract:

present value, stock prices, structural breaks, Bayesian learning

67.

Network Centrality and Delegated Investment Performance

Netspar Discussion Paper No. 12/2015-065
Number of pages: 55 Posted: 07 Mar 2016 Last Revised: 02 Oct 2016
University of Maryland - Department of Finance, City University London - Cass Business School - The Pensions Institute, University of California, San Diego (UCSD) - Department of Economics, University of Bath School of Management and University of Maryland - Robert H. Smith School of Business
Downloads 0 (211,410)

Abstract:

Networks, Investment Management, Performance

68.

Structural Breaks, Incomplete Information and Stock Prices

Journal of Business & Economic Statistics, July 2001
Posted: 30 Apr 2001
Allan G. Timmermann
University of California, San Diego (UCSD) - Department of Economics

Abstract:

Structural breaks, learning, stock prices

69.

A Recursive Modelling Approach to Predicting UK Stock Returns

The Economic Journal, Vol. 110, Issue 460, January 2000
Posted: 31 Jul 2000
M. Hashem Pesaran and Allan G. Timmermann
USC Dornsife Institute for New Economic Thinking and University of California, San Diego (UCSD) - Department of Economics

Abstract:

70.

Asset Allocation Dynamics and Pension Fund Performance

The Journal of Business, Vol. 72, No. 4, October 1999, Cass Business School Research Paper
Posted: 11 Feb 2000
Allan G. Timmermann, Bruce N. Lehmann and David P. Blake
University of California, San Diego (UCSD) - Department of Economics, University of California, San Diego and City University London - Cass Business School - The Pensions Institute

Abstract:

71.

Predictability of Stock Returns: Robustness and Economic Significance

JOURNAL OF FINANCE, Vol. 50 No. 4, September 1995
Posted: 24 Aug 1998
M. Hashem Pesaran and Allan G. Timmermann
USC Dornsife Institute for New Economic Thinking and University of California, San Diego (UCSD) - Department of Economics

Abstract:

72.

The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis

UCSD Economics Discussion Paper 98-11, Cass Business School Research Paper
Posted: 20 Aug 1998
Asger Lunde, David P. Blake and Allan G. Timmermann
University of Aarhus - School of Economics and Management, City University London - Cass Business School - The Pensions Institute and University of California, San Diego (UCSD) - Department of Economics

Abstract:

73.

Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns

UCSD Economics Discussion Paper 98-16
Posted: 20 Aug 1998
Ryan Sullivan, Allan G. Timmermann and Halbert L. White, Jr.
Bates White & Ballentine, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics

Abstract:

Data-Snooping, Technical Trading Rule Performance, and the Bootstrap

Journal of Finance, Vol. 54, No. 5, October 1999
Posted: 18 May 1999
Ryan Sullivan, Allan G. Timmermann and Halbert L. White, Jr.
Bates White & Ballentine, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics

Abstract:

Data-Snooping, Technical Trading Rule Performance, and the Bootstrap

University of California at San Diego, Department of Economics, Discussion Paper No. 97-31
Posted: 08 Mar 1998
Ryan Sullivan, Allan G. Timmermann and Halbert L. White, Jr.
Bates White & Ballentine, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics

Abstract: