Allan Timmermann

UCSD

Professor

9500 Gilman Drive

La Jolla, CA 92093-0553

United States

http://rady.ucsd.edu/people/faculty/timmermann/

Centre for Economic Policy Research (CEPR)

Fellow

London

United Kingdom

  • UCSD

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    • Tel: 858-534-0894
SCHOLARLY PAPERS

82

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Scholarly Papers (82)

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1.

Runs on Money Market Mutual Funds

Downloads 1,128 ( 11,439)
Citation 32

Runs on Money Market Mutual Funds

Number of pages: 60 Posted: 14 Mar 2011 Last Revised: 12 Sep 2015
Lawrence Schmidt, Allan Timmermann and Russ Wermers
MIT Sloan School of Management, UCSD and University of Maryland - Robert H. Smith School of Business
Downloads 1,128 (17,469)
Citation 34

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Money market mutual funds; bank runs; strategic complementarities

2.

Asset Allocation Under Multivariate Regime Switching

Downloads 1,222 ( 15,760)

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 Timmermann
Bocconi University - Department of Finance and UCSD
Downloads 1,222 (15,446)
Citation 64

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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 Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance

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Regime switching, Portfolio choice, Predictability

3.

International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences

Downloads 1,189 ( 16,450)

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 Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance
Downloads 1,189 (16,135)
Citation 75

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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 Timmermann
Bocconi University - Department of Finance and UCSD

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G12, F30, C32

4.

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

Downloads 1,178 ( 16,665)

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
Robert Kosowski, Allan Timmermann, Russ Wermers and Halbert L. White, Jr.
Imperial College Business School, UCSD, University of Maryland - Robert H. Smith School of Business and University of California, San Diego (UCSD) - Department of Economics
Downloads 1,178 (16,345)
Citation 230

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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
Robert Kosowski, Allan Timmermann, Russ Wermers and Halbert L. White, Jr.
Imperial College Business School, UCSD, University of Maryland - Robert H. Smith School of Business and University of California, San Diego (UCSD) - Department of Economics

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mutual funds, performance evaluation, bootstrap

5.

Regime Changes and Financial Markets

Downloads 952 ( 22,894)
Citation 27

Regime Changes and Financial Markets

Netspar Discussion Paper No. 06/2011-068
Number of pages: 34 Posted: 30 Aug 2011
Andrew Ang and Allan Timmermann
BlackRock, Inc and UCSD
Downloads 890 (24,876)
Citation 2

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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 Timmermann
BlackRock, Inc and UCSD
Downloads 54 (376,288)

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Regime Changes and Financial Markets

CEPR Discussion Paper No. DP8480
Number of pages: 35 Posted: 20 Jul 2011
Andrew Ang and Allan Timmermann
BlackRock, Inc and UCSD
Downloads 8 (611,989)
Citation 45
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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 Timmermann
BlackRock, Inc and UCSD

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6.

Optimal Portfolio Choice Under Regime Switching, Skew and Kurtosis Preferences

EFMA 2003 Helsinki Meetings
Number of pages: 34 Posted: 15 Jun 2003
Allan Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance
Downloads 845 (27,187)
Citation 5

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Optimal Asset Allocation, Regime Switching, Skew and Kurtosis Preference

7.

Size and Value Anomalies under Regime Shifts

Downloads 691 ( 35,855)

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 Timmermann
Bocconi University - Department of Finance and UCSD
Downloads 691 (35,314)
Citation 30

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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 Timmermann
Bocconi University - Department of Finance and UCSD

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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 Timmermann
HEC Montreal - Department of Finance and UCSD
Downloads 680 (36,633)
Citation 24

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9.

Bond Return Predictability: Economic Value and Links to the Macroeconomy

Number of pages: 68 Posted: 26 Jul 2014 Last Revised: 05 Jun 2017
Antonio Gargano, Davide Pettenuzzo and Allan Timmermann
University of Melbourne - Department of Finance, Brandeis University - International Business School and UCSD
Downloads 647 (39,084)
Citation 65

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

10.

Pockets of Predictability

Downloads 625 ( 41,065)
Citation 6

Pockets of Predictability

Number of pages: 80 Posted: 29 Mar 2018 Last Revised: 19 Apr 2019
Leland Farmer, Lawrence Schmidt and Allan Timmermann
University of Virginia, MIT Sloan School of Management and UCSD
Downloads 625 (40,483)
Citation 6

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Predictability of stock returns; incomplete learning; Markov switching predictive systems; cash flows; affine asset pricing models

Pockets of Predictability

CEPR Discussion Paper No. DP12885
Number of pages: 72 Posted: 23 Apr 2018
Leland Farmer, Lawrence Schmidt and Allan Timmermann
University of Virginia, MIT Sloan School of Management and UCSD
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Predictability of stock returns; incomplete learning; Markov switching predictive systems; cash flows; affine asset pricing models.

11.

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 Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance
Downloads 563 (47,051)
Citation 2

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12.

Strategic Asset Allocation and Consumption Decisions Under Multivariate Regime Switching

Number of pages: 55 Posted: 04 Nov 2004
Massimo Guidolin and Allan Timmermann
Bocconi University - Department of Finance and UCSD
Downloads 559 (47,469)
Citation 8

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

13.

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

Downloads 555 ( 47,895)
Citation 12

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 Timmermann
Bocconi University - Department of Finance and UCSD
Downloads 523 (51,019)
Citation 4

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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 Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance
Downloads 32 (463,186)
Citation 26
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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 Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance

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Rational learning, Black-Scholes biases, option pricing

14.

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

Downloads 493 ( 55,614)
Citation 59

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 Timmermann
Bocconi University - Department of Finance and UCSD
Downloads 493 (54,986)
Citation 59

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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 Timmermann
Bocconi University - Department of Finance and UCSD

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Regime switching, stock and bond return predictability, nonlinear modeling

15.

Forecasting Stock Returns Under Economic Constraints

Downloads 474 ( 58,457)
Citation 21

Forecasting Stock Returns Under Economic Constraints

Number of pages: 57 Posted: 09 Dec 2012
Davide Pettenuzzo, Allan Timmermann and Rossen I. Valkanov
Brandeis University - International Business School, UCSD and University of California, San Diego (UCSD) - Rady School of Management
Downloads 472 (58,154)
Citation 1

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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 Timmermann and Rossen I. Valkanov
Brandeis University - International Business School, UCSD and University of California, San Diego (UCSD) - Rady School of Management
Downloads 2 (660,769)
Citation 41
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Bayesian analysis, Economic constraints, Sharpe Ratio, Stock return predictability

16.

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 Timmermann
Board of Governors of the Federal Reserve System and UCSD
Downloads 457 (61,143)
Citation 22

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

17.

Real Time Econometrics

Downloads 436 ( 64,733)
Citation 11

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 Timmermann
University of Southern California - Department of Economics and UCSD
Downloads 418 (67,441)

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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 Timmermann
University of Southern California - Department of Economics and UCSD
Downloads 18 (545,460)
Citation 16
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Specification search, data snooping, recursive/sequential modelling, automated model selection

18.

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

Downloads 399 ( 72,036)
Citation 24

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

Number of pages: 30 Posted: 13 Oct 2005
Massimo Guidolin and Allan Timmermann
Bocconi University - Department of Finance and UCSD
Downloads 399 (71,376)
Citation 24

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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 Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance

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

19.

Forecast Combinations

Downloads 398 ( 72,241)
Citation 61

Forecast Combinations

CREATES Research Paper No. 2010-21
Number of pages: 35 Posted: 19 May 2010
Marco Aiolfi, Carlos Capistrán and Allan Timmermann
QMA, Banco de México and UCSD
Downloads 342 (85,547)
Citation 13

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Time-series forecasts, survey forecasts, model instability

Forecast Combinations

CEPR Discussion Paper No. 5361
Number of pages: 81 Posted: 26 Jan 2006
Allan Timmermann
UCSD
Downloads 56 (369,645)
Citation 130
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Forecast combinations, pooling and trimming, shrinkage methods, model misspecification, diversification gains

20.

Forecasting Time Series Subject to Multiple Structural Breaks

Downloads 383 ( 75,552)
Citation 29

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 Timmermann
University of Southern California - Department of Economics, Brandeis University - International Business School and UCSD
Downloads 363 (79,737)

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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 Timmermann
University of Southern California - Department of Economics, Brandeis University - International Business School and UCSD
Downloads 20 (532,545)
Citation 69
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Structural breaks, forecasting, hierarchical hidden Markov Chain Model, Bayesian model averaging

21.

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 Timmermann
University of California, San Diego (UCSD) - Department of Economics and UCSD
Downloads 380 (76,212)
Citation 3

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Financial Prediction Model, Breakpoint Structural Stability, International Stock Market

22.

Mutual Fund Return Predictability in Partially Segmented Markets

Downloads 346 ( 85,041)

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 Timmermann and Russ Wermers
Board of Governors of the Federal Reserve System, Claremont McKenna College - Robert Day School of Economics and Finance, UCSD and University of Maryland - Robert H. Smith School of Business
Downloads 346 (84,411)
Citation 2

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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 Timmermann and Russ Wermers
Board of Governors of the Federal Reserve System, Claremont McKenna College - Robert Day School of Economics and Finance, UCSD and University of Maryland - Robert H. Smith School of Business

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

23.

Instability of Return Prediction Models

Number of pages: 43 Posted: 31 May 2005
Bradley S. Paye and Allan Timmermann
Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law and UCSD
Downloads 341 (86,451)
Citation 115

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Stock return predictability, model instability, structural breaks

24.

A MIDAS Approach to Modeling First and Second Moment Dynamics

Downloads 251 (120,189)
Citation 6

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 Timmermann and Rossen I. Valkanov
Brandeis University - International Business School, UCSD and University of California, San Diego (UCSD) - Rady School of Management
Downloads 251 (119,669)
Citation 4

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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 Timmermann and Rossen I. Valkanov
Brandeis University - International Business School, UCSD and University of California, San Diego (UCSD) - Rady School of Management
Downloads 0
Citation 4
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Bayesian estimation, GDP growth, MIDAS regressions, out-of-sample forecasts, stochastic volatility

25.

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 Timmermann
Banco de España and UCSD
Downloads 248 (121,617)
Citation 45

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

26.

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 Timmermann
University of California, San Diego (UCSD) - Department of Economics and UCSD
Downloads 241 (125,225)
Citation 45

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Forecast Combination, Asymmetric Loss, Inflation Forecasting

27.

Term Structure of Risk Under Alternative Econometric Specifications

Downloads 228 (132,325)
Citation 16

Term Structure of Risk Under Alternative Econometric Specifications

Number of pages: 25 Posted: 04 May 2004
Massimo Guidolin and Allan Timmermann
Bocconi University - Department of Finance and UCSD
Downloads 204 (146,931)
Citation 2

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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 Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance
Downloads 24 (507,455)
Citation 38
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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 Timmermann
Bocconi University - Department of Finance and UCSD

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Term structure of risk, nonlinear econometric models, simulation methods

28.

Properties of Equilibrium Asset Prices Under Alternative Learning Schemes

Downloads 225 (134,064)
Citation 12

Properties of Equilibrium Asset Prices Under Alternative Learning Schemes

Number of pages: 50 Posted: 17 Nov 2003
Allan Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance
Downloads 225 (133,637)
Citation 12

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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 Timmermann
Bocconi University - Department of Finance and UCSD

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

29.

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 Timmermann
University of Southern California - Department of Economics and UCSD
Downloads 210 (143,210)
Citation 26

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Sign Prediction, Estimation Window, Structural Breaks

30.

Cash Flow News and Stock Price Dynamics

Swedish House of Finance Research Paper No. 18-10
Number of pages: 83 Posted: 01 Mar 2018 Last Revised: 01 Oct 2018
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and UCSD
Downloads 200 (149,845)

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High-frequency cash flow news; predictability of dividend growth; jump risk; dynamics in stock returns; uncertainty transmission channel; Bayesian modeling

31.

An Evaluation of the World Economic Outlook Forecasts

IMF Working Paper No. 06/59
Number of pages: 108 Posted: 26 Apr 2006
Allan Timmermann
UCSD
Downloads 200 (149,845)
Citation 16

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Global economic condition, forecasting, forecast performance and evaluation

32.

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

Downloads 197 (152,011)
Citation 2

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: 78 Posted: 16 Dec 2016 Last Revised: 26 Mar 2019
Emily Gallagher, Lawrence Schmidt, Allan Timmermann and Russ Wermers
University of Colorado at Boulder - Department of Finance, MIT Sloan School of Management, UCSD and University of Maryland - Robert H. Smith School of Business
Downloads 197 (151,853)
Citation 2

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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
Emily Gallagher, Lawrence Schmidt, Allan Timmermann and Russ Wermers
University of Colorado at Boulder - Department of Finance, MIT Sloan School of Management, UCSD and University of Maryland - Robert H. Smith School of Business
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endogenous information acquisition, eurozone crisis, financial fragility, Money market funds, transparency in short-term funding markets

33.

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
Alberto Rossi, David P. Blake, Allan Timmermann, Ian Tonks and Russ Wermers
University of Maryland - Department of Finance, City University London - Cass Business School, UCSD, University of Bristol and University of Maryland - Robert H. Smith School of Business
Downloads 175 (169,247)
Citation 2

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Networks, Investment Management, Performance

34.

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 Timmermann
HEC Montreal - Department of Finance and UCSD
Downloads 170 (173,631)
Citation 31

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

35.

Country and Industry Dynamics in Stock Returns

Downloads 168 (175,427)
Citation 2

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 Timmermann
International Monetary Fund (IMF) and UCSD
Downloads 145 (198,995)

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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 Timmermann
International Monetary Fund (IMF) and UCSD
Downloads 23 (513,582)
Citation 2
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Diversification, risk, volatility states, international financial markets

36.

Learning, Structural Instability and Present Value Calculations

Downloads 157 (185,785)
Citation 25

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 Timmermann
University of Southern California - Department of Economics, Brandeis University - International Business School and UCSD
Downloads 110 (246,412)
Citation 5

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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 Timmermann
University of Southern California - Department of Economics, Brandeis University - International Business School and UCSD
Downloads 47 (400,633)
Citation 21

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present value, stock prices, structural breaks, Bayesian learning

37.

Small Sample Properties of Forecasts from Autoregressive Models Under Structural Breaks

Downloads 146 (197,373)
Citation 15

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 Timmermann
University of Southern California - Department of Economics and UCSD
Downloads 134 (212,072)

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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 Timmermann
University of Southern California - Department of Economics and UCSD
Downloads 12 (584,762)
Citation 27
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Autoregression, MSFE, rolling window estimator, small sample properties of forecasts and structural breaks

38.

Break Risk

Number of pages: 75 Posted: 03 Sep 2018
Simon Smith and Allan Timmermann
USC Dornsife INET, Department of Economics, USC and UCSD
Downloads 139 (205,353)
Citation 2

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Forecasting Stock Returns, Panel Data, Structural Breaks, Bayesian Analysis, Dividend Growth

39.

Testable Implications of Forecast Optimality

Downloads 130 (216,646)
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 Timmermann
Duke University - Department of Economics and UCSD
Downloads 105 (254,815)
Citation 5

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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 Timmermann
Duke University - Department of Economics and UCSD
Downloads 25 (501,426)

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40.

Forecasting Macroeconomic Variables Under Model Instability

Downloads 126 (221,869)
Citation 7

Forecasting Macroeconomic Variables Under Model Instability

Number of pages: 41 Posted: 09 May 2015
Davide Pettenuzzo and Allan Timmermann
Brandeis University - International Business School and UCSD
Downloads 126 (222,716)
Citation 5

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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 Timmermann
Brandeis University - International Business School and UCSD
Downloads 0
Citation 5
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GDP growth, inflation, regime switching, stochastic volatility, time-varying parameters

41.

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 Timmermann
Brandeis University - International Business School and UCSD
Downloads 119 (231,553)
Citation 40

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42.

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 Timmermann
University of Southern California - Department of Economics and UCSD
Downloads 107 (249,953)
Citation 41

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contingency tables, canonical correlations, serial dependence, tests of

43.

The ET Interview: Professor Hashem Pesaran

USC-INET Research Paper No. 18-09
Number of pages: 57 Posted: 10 Sep 2018
Allan Timmermann
UCSD
Downloads 91 (278,277)

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Cambridge Econometrics, Trinity College, Bank Markazi Iran, Time Series Econometrics, Panel Data Models

44.

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 Timmermann
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and UCSD
Downloads 80 (301,228)
Citation 32

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

45.

Detecting Breaks in Real Time: A Panel Forecasting Approach

Number of pages: 61 Posted: 03 Sep 2018
Simon Smith and Allan Timmermann
USC Dornsife INET, Department of Economics, USC and UCSD
Downloads 74 (315,311)
Citation 7

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Panel Data, Structural Breaks, Bayesian Analysis, Out-of-Sample Forecasts, Inflation Modeling

46.

Variable Selection in Panel Models with Breaks

Number of pages: 82 Posted: 04 Sep 2018 Last Revised: 23 Sep 2018
Simon Smith, Allan Timmermann and Yinchu Zhu
USC Dornsife INET, Department of Economics, USC, UCSD and University of Oregon
Downloads 71 (322,618)
Citation 2

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Variable selection, Structural breaks, Panel data, Bayesian analysis, High-dimensional modeling, Firms' Choice of Capital Structure

47.

Variable Selection and Inference for Multi-Period Forecasting Problems

Downloads 69 (327,670)

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 Timmermann
University of Southern California - Department of Economics, Erasmus University Rotterdam (EUR) - Department of Econometrics and UCSD
Downloads 67 (336,942)

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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 Timmermann
University of Southern California - Department of Economics, Erasmus University Rotterdam (EUR) - Department of Econometrics and UCSD
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factor-augmented VAR, forecast horizon, macroeconomic forecasting

48.

Efficient Market Hypothesis and Forecasting

CEPR Discussion Paper No. 3593
Number of pages: 29 Posted: 20 Nov 2002
Clive W. J. Granger and Allan Timmermann
University of California, San Diego (UCSD) - Department of Economics and UCSD
Downloads 69 (327,670)
Citation 50
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Efficient market hypothesis, forecast evaluation, model specification, learning

49.

Disagreement and Biases in Inflation Expectations

CREATES Research Paper 2008-56
Number of pages: 55 Posted: 21 Sep 2008
Carlos Capistrán and Allan Timmermann
Banco de México and UCSD
Downloads 66 (335,537)
Citation 47

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asymmetric loss, real-time data, survey expectations

50.

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 Timmermann
Duke University - Department of Economics and UCSD
Downloads 64 (340,944)
Citation 4

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

51.

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 Timmermann
University of Southern California - Department of Economics, Erasmus University Rotterdam (EUR) - Department of Econometrics and UCSD
Downloads 61 (349,265)
Citation 27

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

52.

Optimal Forecast Combination Under Regime Switching

Downloads 59 (355,032)
Citation 13

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 Timmermann
University of California, San Diego (UCSD) - Department of Economics and UCSD
Downloads 33 (458,406)
Citation 21
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Optimal Forecast Combination Under Regime Switching

CEPR Discussion Paper No. 4649
Number of pages: 31 Posted: 02 Dec 2004
Graham Elliott and Allan Timmermann
University of California, San Diego (UCSD) - Department of Economics and UCSD
Downloads 26 (495,378)
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Forecast combination, time-varying combination weights, Markov switching, survey data

53.

Relative Performance Evaluation Contracts and Asset Market Equilibrium

Downloads 58 (358,037)
Citation 11

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 Timmermann
University of London - Birkbeck College and UCSD
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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 Timmermann
University of London - Birkbeck College and UCSD
Downloads 25 (501,426)
Citation 17
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Portfolio delegation, relative performance evaluation, equity premium

54.

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 Timmermann
Banco de México and UCSD
Downloads 51 (380,017)
Citation 33

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

55.

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 Timmermann
Aarhus University - School of Economics and Management and UCSD
Downloads 38 (426,953)
Citation 28
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Hazard model, survival rate, interest rate effect

56.

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 Timmermann
Bocconi University - Department of Finance and UCSD
Downloads 35 (439,199)
Citation 8
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57.

Properties of Optimal Forecasts

CEPR Discussion Paper No. 4037
Number of pages: 42 Posted: 22 Oct 2003
Andrew J. Patton and Allan Timmermann
Duke University - Department of Economics and UCSD
Downloads 32 (451,959)
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Forecast evaluation, loss function, rationality, efficient markets

58.

Forecast Evaluation with Shared Data Sets

CEPR Discussion Paper No. 3060
Number of pages: 24 Posted: 02 Dec 2001
Ryan Sullivan, Allan Timmermann and Halbert L. White, Jr.
Bates White & Ballentine, UCSD and University of California, San Diego (UCSD) - Department of Economics
Downloads 27 (476,133)
Citation 7
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Forecast evaluation, bootstrap, data sharing, calendar effects, technical trading

59.

Estimating Loss Function Parameters

CEPR Discussion Paper No. 3821
Number of pages: 55 Posted: 06 May 2003
Graham Elliott, Allan Timmermann and Ivana Komunjer
University of California, San Diego (UCSD) - Department of Economics, UCSD and University of California, San Diego (UCSD) - Department of Economics
Downloads 24 (492,325)
Citation 2
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IMF, OECD, asymmetric loss, macroeconomic forecasting

60.

International Asset Allocation with Time-Varying Investment Opportunities

CEPR Discussion Paper No. 3464
Number of pages: 39 Posted: 04 Sep 2002
Allan Timmermann and David P. Blake
UCSD and City University London - Cass Business School
Downloads 21 (509,267)
Citation 19
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International asset allocation, market timing, UK pension funds, investment performance

61.

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 Timmermann, Ian Tonks and Russ Wermers
City University London - Cass Business School, UCSD, University of Bristol and University of Maryland - Robert H. Smith School of Business
Downloads 15 (543,975)
Citation 29
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asset management, decentralized management, pension funds, principal agent problems

62.

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 Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance
Downloads 15 (543,975)
Citation 35
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63.

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 Timmermann
University of Southern California - Department of Economics, Brandeis University - International Business School and UCSD
Downloads 14 (549,912)

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present value, stock prices, structural breaks, Bayesian learning

64.

Forecasting Methods in Finance

CEPR Discussion Paper No. DP12692
Number of pages: 42 Posted: 14 Feb 2018
Allan Timmermann
UCSD
Downloads 8 (586,617)
Citation 1
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65.

Economic Forecasting

CEPR Discussion Paper No. DP6158
Number of pages: 61 Posted: 19 May 2008
Graham Elliott and Allan Timmermann
University of California, San Diego (UCSD) - Department of Economics and UCSD
Downloads 7 (592,904)
Citation 58
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Economic forecasting, forecast evaluation, loss function

66.

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 Timmermann
University of California, San Diego (UCSD) - Rady School of Management and UCSD
Downloads 6 (599,362)
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cointegrated asset prices, optimal portfolio choice, risky arbitrage

67.

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 Timmermann
QMA, Board of Governors of the Federal Reserve System and UCSD
Downloads 5 (605,926)
Citation 1
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analysts' earnings forecasts, mixture model, predictability of forecast revisions

68.

Forecasting in Economics and Finance

Downloads 4 (612,793)

Forecasting in Economics and Finance

CEPR Discussion Paper No. DP11354
Number of pages: 40 Posted: 27 Jun 2016
Graham Elliott and Allan Timmermann
University of California, San Diego (UCSD) - Department of Economics and UCSD
Downloads 4 (640,739)
Citation 5
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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 Timmermann
University of California, San Diego (UCSD) - Department of Economics and UCSD

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69.

Runs on Money Market Funds

CEPR Discussion Paper No. DP9906
Number of pages: 63 Posted: 02 Jun 2014
Lawrence Schmidt, Allan Timmermann and Russ Wermers
MIT Sloan School of Management, UCSD and University of Maryland - Robert H. Smith School of Business
Downloads 3 (620,718)
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bank runs, money market mutual funds, quantile regression, strategic complementarities

70.

Comparing Forecasting Performance with Panel Data

CEPR Discussion Paper No. DP13746
Number of pages: 66 Posted: 30 May 2019
Allan Timmermann and Yinchu Zhu
UCSD and University of Oregon
Downloads 2 (630,635)
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Economic forecasting, GDP growth, Inflation forecasts, panel data

71.

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 Timmermann
QMA, Inter American Development Bank and UCSD
Downloads 2 (630,635)
Citation 7
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factor models, International business cycles, Latin America

72.

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 Timmermann
Bocconi University - Department of Finance and UCSD
Downloads 2 (630,635)
Citation 4
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Forecast combinations, term structure of interest rates

73.

Picking Funds with Confidence

CEPR Discussion Paper No. DP11896
Number of pages: 61 Posted: 16 Mar 2017
Niels Groenborg, Asger Lunde, Allan Timmermann and Russ Wermers
School of Economics and Business Economics, Aarhus University, Aarhus University - School of Economics and Management, UCSD and University of Maryland - Robert H. Smith School of Business
Downloads 1 (643,301)
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equity mutual funds, Fund confidence set, risk-adjusted performance

74.

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 Timmermann
Duke University - Department of Economics and UCSD
Downloads 1 (643,301)
Citation 30
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forecast horizon, forecast optimality, real-time data, survey forecasts

75.

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 Timmermann
Duke University - Department of Economics and UCSD
Downloads 1 (643,301)
Citation 1
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real time learning, survey forecasts, term structure of forecasts

76.

Structural Breaks, Incomplete Information and Stock Prices

Journal of Business & Economic Statistics, July 2001
Posted: 30 Apr 2001
Allan Timmermann
UCSD

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Structural breaks, learning, stock prices

77.

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 Timmermann
University of Southern California - Department of Economics and UCSD

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78.

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 Timmermann, Bruce N. Lehmann and David P. Blake
UCSD, University of California, San Diego and City University London - Cass Business School

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79.

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 Timmermann
University of Southern California - Department of Economics and UCSD

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80.

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 Timmermann and Halbert L. White, Jr.
Bates White & Ballentine, UCSD and University of California, San Diego (UCSD) - Department of Economics

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81.

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 Timmermann
Aarhus University - School of Economics and Management, City University London - Cass Business School and UCSD

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82.

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

Downloads 0 (661,445)

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 Timmermann and Halbert L. White, Jr.
Bates White & Ballentine, UCSD and University of California, San Diego (UCSD) - Department of Economics

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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 Timmermann and Halbert L. White, Jr.
Bates White & Ballentine, UCSD and University of California, San Diego (UCSD) - Department of Economics

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