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Information about:
Allan Timmermann

Personal Details | Affiliation | Works
This is information that was supplied by Allan Timmermann in registering through RePEc. If you are Allan Timmermann , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Allan
Middle Name:
Last Name: Timmermann
Suffix:

RePEc Short-ID: pti8

Email:
Homepage: http://rady.ucsd.edu/faculty/directory/timmermann/
Postal Address: University of California San Diego Rady School of Management, 9500 Gilman Drive La Jolla CA 92093-0553, USA
Phone: +1 858 534 0894

Affiliation

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Lists

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Works
  3. Number of Distinct Works
  4. Number of Distinct Works, Weighted by Simple Impact Factor
  5. Number of Distinct Works, Weighted by Recursive Impact Factor
  6. Number of Distinct Works, Weighted by Number of Authors
  7. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  8. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  9. Number of Citations
  10. Number of Citations, Discounted by Citation Age
  11. Number of Citations, Weighted by Simple Impact Factor
  12. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  13. Number of Citations, Weighted by Recursive Impact Factor
  14. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  15. Number of Citations, Weighted by Number of Authors
  16. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  17. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  18. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  19. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  20. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  21. h, where author has written h papers that have each been cited at least h times.
  22. Number of Registered Citing Authors
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  24. Number of Journal Pages
  25. Number of Journal Pages, Weighted by Simple Impact Factor
  26. Number of Journal Pages, Weighted by Recursive Impact Factor
  27. Number of Journal Pages, Weighted by Number of Authors
  28. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  29. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  30. Number of Abstract Views in RePEc Services over the past 12 months
  31. Number of Downloads through RePEc Services over the past 12 months
  32. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  33. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  34. Wu-Index

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Marco Aiolfi & Allan Timmermann & Luis Catão, 2006. "Common Factors in Latin America's Business Cycles," IMF Working Papers 06/49, International Monetary Fund. [Downloadable!]

  2. Pesaran, M.H. & Timmermann, A., 2006. "Testing Dependence Among Serially Correlated Multi-category Variables," Cambridge Working Papers in Economics 0648, Faculty of Economics, University of Cambridge. [Downloadable!]
    Other versions:

  3. Allan Timmermann, 2006. "An Evaluation of the World Economic Outlook Forecasts," IMF Working Papers 06/59, International Monetary Fund. [Downloadable!]

  4. Carlos Capistrán & Allan Timmermann, 2006. "Disagreement and Biases in Inflation Expectations," Computing in Economics and Finance 2006 3, Society for Computational Economics.
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    Published as:

  5. M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, structural instability and present value calculations," Computing in Economics and Finance 2006 529, Society for Computational Economics. [Downloadable!]
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    Published as:

  6. Profoessor Hashem Pesaran & Allan Timmermann & Davide Pettenuzzo, 2005. "The Forecasing time series subject to multiple structure breaks," Money Macro and Finance (MMF) Research Group Conference 2005 33, Money Macro and Finance Research Group.

  7. Andrew J. Patton & Allan Timmermann, 2005. "Testable Implications of Forecast Optimality," STICERD - Econometrics Paper Series /2005/485, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]

  8. Allan Timmermann & Graham Elliott & Ivana Komunjer, 2004. "Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?," Econometric Society 2004 North American Summer Meetings 601, Econometric Society. [Downloadable!]
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  9. Guidolin, Massimo & Timmermann, Allan G, 2004. "Term Structure of Risk Under Alternative Econometric Specifications," CEPR Discussion Papers 4645, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    Published as:

  10. Sandeep Kapur & Allan Timmermann, 2004. "Relative Performance Evaluation Contracts and Asset Market Equilibrium," Finance 0408001, EconWPA. [Downloadable!]
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  11. Massimo Guidolin, University of Virginia & Allan Timmermann, 2004. "Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching," Econometric Society 2004 Australasian Meetings 349, Econometric Society.

  12. Pesaran, M. Hashem & Timmermann, Allan, 2004. "Real Time Econometrics," IZA Discussion Papers 1108, Institute for the Study of Labor (IZA). [Downloadable!]
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  13. Allan Timmermann & Andrew J. Patton, 2004. "Properties of Optimal Forecasts," Econometric Society 2004 North American Winter Meetings 234, Econometric Society. [Downloadable!]
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  14. Catão, Luis A. V. & Timmermann, Allan G, 2004. "Country and Industry Dynamics in Stock Returns," CEPR Discussion Papers 4368, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  15. Elliott, Graham & Timmermann, Allan G, 2004. "Optimal Forecast Combination Under Regime Switching," CEPR Discussion Papers 4649, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Published as:

  16. Pesaran, M. Hashem & Pettenuzzo, Davide & Timmermann, Allan, 2004. "Forecasting Time Series Subject to Multiple Structural Breaks," IZA Discussion Papers 1196, Institute for the Study of Labor (IZA). [Downloadable!]
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  17. Allan Timmermann & M. Hashem Pesaran, 2003. "Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
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    Published as:

  18. Guidolin, Massimo & Allan Timmermann, 2003. "Economic Implications of Bull and Bear Regimes in UK Stock Returns," Royal Economic Society Annual Conference 2003 95, Royal Economic Society. [Downloadable!]

  19. Pesaran, H.M. & Timmermann, A., 2003. "How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?," Cambridge Working Papers in Economics 0306, Faculty of Economics, University of Cambridge. [Downloadable!]
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  20. Elliott, Graham & Komunjer, Ivana & Timmermann, Allan G, 2003. "Estimating Loss Function Parameters," CEPR Discussion Papers 3821, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  21. Bruce N. Lehmann & Allan Timmermann, 2002. "(UBS Pensions Series 3) Performance Clustering and Incentives in the UK Pension Fund Industry," FMG Discussion Papers dp425, Financial Markets Group. [Downloadable!] (restricted)

  22. Allan Timmermann & M. Hashem Pesaran, 2002. "Market Timing and Return Prediction under Model Instability," FMG Discussion Papers dp412, Financial Markets Group. [Downloadable!] (restricted)
    Published as:

  23. Blake, David & Timmermann, Allan G, 2002. "International Asset Allocation with Time-Varying Investment Opportunities," CEPR Discussion Papers 3464, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Published as:

  24. Allan Timmermann, 2002. "(UBS Pensions Series 4) Returns from Active Management in International Equity Markets; Evidence from a Panel of UK Pension Funds," FMG Discussion Papers dp426, Financial Markets Group. [Downloadable!] (restricted)

  25. Granger, Clive & Timmermann, Allan G, 2002. "Efficient Market Hypothesis and Forecasting," CEPR Discussion Papers 3593, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Published as:

  26. Allan Timmermann, 2002. "(UBS Pensions Series 2) International Asset Allocation with Time-Varying Investment Opportunities," FMG Discussion Papers dp424, Financial Markets Group. [Downloadable!] (restricted)

  27. Guidolin, Massimo & Timmermann, Allan G, 2001. "Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities," CEPR Discussion Papers 3005, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
    Published as:

  28. Allan Timmerman & Massimo Guidolin, 2001. "Option prices and implied volatility dynamics under Bayesian learning," CeNDEF Workshop Papers, January 2001 P3, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.

  29. Sullivan, Ryan & Timmermann, Allan G & White, Halbert, 2001. "Forecast Evaluation with Shared Data Sets," CEPR Discussion Papers 3060, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Published as:

  30. Perez-Quiros, G. & Timmermann, A., 2001. "Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities," Papers 58, Quebec a Montreal - Recherche en gestion.
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  31. Asger Lunde & Allan Timmermann, 2000. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," Econometric Society World Congress 2000 Contributed Papers 1216, Econometric Society. [Downloadable!]
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  32. Massimo Guidolin & Allan Timmermann, 2000. "Implied Learning Paths from Option Prices," Econometric Society World Congress 2000 Contributed Papers 0447, Econometric Society. [Downloadable!]

  33. Allan Timmermann, 1999. "Moments of Markov Switching Models," FMG Discussion Papers dp323, Financial Markets Group. [Downloadable!] (restricted)
    Published as:

  34. Allan Timmermann & Gabriel Perez-Quiros, 1999. "Firm Size and Cyclical Variations in Stock Returns," FMG Discussion Papers dp335, Financial Markets Group. [Downloadable!] (restricted)
    Published as:

  35. M. Hashem Pesaran & Allan Timmermann, 1999. "Model Instability and Choice of Observation Window," University of California at San Diego, Economics Working Paper Series 99-19, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:

  36. Allan Timmermann & Halbert White & Ryan Sullivan, 1998. "The Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," FMG Discussion Papers dp304, Financial Markets Group. [Downloadable!] (restricted)

  37. Allan Timmermann, 1998. "Structural Breaks, Incomplete Information and Stock Prices," FMG Discussion Papers dp311, Financial Markets Group. [Downloadable!] (restricted)
    Published as:

  38. Asger Lunde & Allan Timmermann & David Blake, 1998. "The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis," University of California at San Diego, Economics Working Paper Series 98-11, Department of Economics, UC San Diego. [Downloadable!]
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    Published as:

  39. Ryan Sullivan & Allan Timmermann & Halbert White, 1998. "Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," University of California at San Diego, Economics Working Paper Series 98-16, Department of Economics, UC San Diego. [Downloadable!]
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  40. Ryan Sullivan & Allan Timmermann & Halbert White, 1997. "Data-Snooping, Technical Trading Rule Performance, and the Bootstrap," University of California at San Diego, Economics Working Paper Series 97-31, Department of Economics, UC San Diego. [Downloadable!]
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  41. Blake, David & Lehmann, Bruce N & Timmermann, Allan G, 1997. "Performance Measurement using Multiple Asset Class Portfolio Data," CEPR Discussion Papers 1618, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  42. Allan Timmermann, 1996. "Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning," University of California at San Diego, Economics Working Paper Series 96-14, Department of Economics, UC San Diego.
    Published as:

  43. Gabriel Perez-Quiros & Allan Timmermann, 1996. "On Business Cycle Variation in the Mean, Volatility and Conditional Distribution of Stock Returns," University of California at San Diego, Economics Working Paper Series 96-13, Department of Economics, UC San Diego.

  44. Pesaran, M. H. & Timmermann, A., 1996. "A Recursive Modelling Approach to Predicting UK Stock Returns'," Cambridge Working Papers in Economics 9625, Faculty of Economics, University of Cambridge.
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  45. Allan Timmermann, 1995. "Volatility Clustering and Mean Reversion of Stock Returns in an Asset Pricing Model with Incomplete Learning," University of California at San Diego, Economics Working Paper Series 95-23, Department of Economics, UC San Diego.

  46. Pesaran, H. & Timmermann, A., 1995. "The Use of Recursive Model Selection Strategies in Forecasting Stock Returns," Cambridge Working Papers in Economics 9406, Faculty of Economics, University of Cambridge.

  47. David Miles & Allan Timmermann, 1995. "Variation in Expected Stock Returns: Evidence on the Pricing of Equities from a Cross-Section of UK Companies," University of California at San Diego, Economics Working Paper Series 95-06, Department of Economics, UC San Diego.
    Published as:

  48. M. Hashem Pesaran & Allan Timmermann, 1995. "Predictability of Stock Returns: Robustness and Economic Significance," University of California at San Diego, Economics Working Paper Series 95-19, Department of Economics, UC San Diego.
    Published as:

  49. Steve Satchell & Allan Timmermann, 1995. "An Assessment of the Economic Value of Nonlinear Foreign Exchange Rate Forecasts," University of California at San Diego, Economics Working Paper Series 95-16, Department of Economics, UC San Diego.

  50. Steve Satchell & Allan Timmermann, 1994. "On the Optimality of Adaptive Expectations: Muth Revisited," University of California at San Diego, Economics Working Paper Series 94-26, Department of Economics, UC San Diego.
    Published as:

  51. Pesaran, M.H. & Timmermann, A.G., 1992. "A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing," Cambridge Working Papers in Economics 9218, Faculty of Economics, University of Cambridge.
    Published as:

  52. Pesaran, M.H. & Timmermann, A., 1992. "Forecasting Stock Returns," Cambridge Working Papers in Economics 9216, Faculty of Economics, University of Cambridge.

  53. Pesaran, M.H. & Timmermann, G., 1990. "The Statistical And Economic Significance Of The Predictability Of Exess Returns On Common Stocks," Cambridge Working Papers in Economics 9022, Faculty of Economics, University of Cambridge.
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  54. Pesaran, M.H. & Timmermann, A., 1990. "A Simple, Non-Parametric Test Of Predictive Performance," Cambridge Working Papers in Economics 9021, Faculty of Economics, University of Cambridge.
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Articles

  1. Guidolin, Massimo & Timmermann, Allan, 2007. "Properties of equilibrium asset prices under alternative learning schemes," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 161-217, January. [Downloadable!] (restricted)
    Other versions:

  2. Pesaran, M. Hashem & Timmermann, Allan, 2007. "Selection of estimation window in the presence of breaks," Journal of Econometrics, Elsevier, vol. 137(1), pages 134-161, March. [Downloadable!] (restricted)

  3. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Forecasting Time Series Subject to Multiple Structural Breaks," Review of Economic Studies, Blackwell Publishing, vol. 73(4), pages 1057-1084, October. [Downloadable!] (restricted)
    Other versions:

  4. Allan Timmermann & Massimo Guidolin, 2006. "An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 1-22. [Downloadable!]
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  5. Robert Kosowski & Allan Timmermann & Russ Wermers & Hal White, 2006. "Can Mutual Fund "Stars" Really Pick Stocks? New Evidence from a Bootstrap Analysis," Journal of Finance, American Finance Association, vol. 61(6), pages 2551-2595, December. [Downloadable!] (restricted)

  6. Guidolin, Massimo & Timmermann, Allan, 2006. "Term structure of risk under alternative econometric specifications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 285-308. [Downloadable!] (restricted)
    Other versions:

  7. Aiolfi, Marco & Timmermann, Allan, 2006. "Persistence in forecasting performance and conditional combination strategies," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 31-53. [Downloadable!] (restricted)

  8. Paye, Bradley S. & Timmermann, Allan, 2006. "Instability of return prediction models," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 274-315, June. [Downloadable!] (restricted)

  9. Graham Elliott & Allan Timmermann, 2005. "Optimal Forecast Combination Under Regime Switching ," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 46(4), pages 1081-1102, November. [Downloadable!] (restricted)
    Other versions:

  10. Asger Lunde & Allan Timmermann, 2005. "Completion time structures of stock price movements," Annals of Finance, Springer, vol. 1(3), pages 293-326, 08. [Downloadable!] (restricted)

  11. Massimo Guidolin & Allan Timmermann, 2005. "Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns," Economic Journal, Royal Economic Society, vol. 115(500), pages 111-143, 01. [Downloadable!] (restricted)

  12. Sandeep Kapur & Allan Timmermann, 2005. "Relative Performance Evaluation Contracts and Asset Market Equilibrium," Economic Journal, Royal Economic Society, vol. 115(506), pages 1077-1102, October. [Downloadable!] (restricted)
    Other versions:

  13. Allan Timmermann & David Blake, 2005. "International Asset Allocation with Time-Varying Investment Opportunities," Journal of Business, University of Chicago Press, vol. 78(1), pages 71-98, January. [Downloadable!]
    Other versions:

  14. Pesaran, M. Hashem & Timmermann, Allan, 2005. "Small sample properties of forecasts from autoregressive models under structural breaks," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 183-217. [Downloadable!] (restricted)
    Other versions:

  15. Elliott, Graham & Timmermann, Allan, 2004. "Optimal forecast combinations under general loss functions and forecast error distributions," Journal of Econometrics, Elsevier, vol. 122(1), pages 47-79, September. [Downloadable!] (restricted)

  16. Pesaran, M. Hashem & Timmermann, Allan, 2004. "How costly is it to ignore breaks when forecasting the direction of a time series?," International Journal of Forecasting, Elsevier, vol. 20(3), pages 411-425. [Downloadable!] (restricted)
    Other versions:

  17. Lunde A. & Timmermann A., 2004. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 253-273, July. [Downloadable!] (restricted)
    Other versions:

  18. Timmermann, Allan & Granger, Clive W. J., 2004. "Efficient market hypothesis and forecasting," International Journal of Forecasting, Elsevier, vol. 20(1), pages 15-27. [Downloadable!] (restricted)
    Other versions:

  19. Massimo Guidolin & Allan Timmermann, 2003. "Recursive Modeling of Nonlinear Dynamics in UK Stock Returns," Manchester School, University of Manchester, vol. 71(4), pages 381-395, 07. [Downloadable!] (restricted)

  20. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2003. "Forecast evaluation with shared data sets," International Journal of Forecasting, Elsevier, vol. 19(2), pages 217-227. [Downloadable!] (restricted)
    Other versions:

  21. Guidolin, Massimo & Timmermann, Allan, 2003. "Option prices under Bayesian learning: implied volatility dynamics and predictive densities," Journal of Economic Dynamics and Control, Elsevier, vol. 27(5), pages 717-769, March. [Downloadable!] (restricted)
    Other versions:

  22. Pesaran, M. Hashem & Timmermann, Allan, 2002. "Market timing and return prediction under model instability," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 495-510, December. [Downloadable!] (restricted)
    Other versions:

  23. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2001. "Dangers of data mining: The case of calendar effects in stock returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 249-286, November. [Downloadable!] (restricted)

  24. Perez-Quiros, Gabriel & Timmermann, Allan, 2001. "Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 259-306, July. [Downloadable!] (restricted)
    Other versions:

  25. Timmermann, Allan, 2001. "Structural Breaks, Incomplete Information, and Stock Prices," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 299-314, July.
    Other versions:

  26. Timmermann, Allan, 2000. "Moments of Markov switching models," Journal of Econometrics, Elsevier, vol. 96(1), pages 75-111, May. [Downloadable!] (restricted)
    Other versions:

  27. Gabriel Perez-Quiros & Allan Timmermann, 2000. "Firm Size and Cyclical Variations in Stock Returns," Journal of Finance, American Finance Association, vol. 55(3), pages 1229-1262, 06. [Downloadable!] (restricted)
    Other versions:

  28. Pesaran, M Hashem & Timmermann, Allan, 2000. "A Recursive Modelling Approach to Predicting UK Stock Returns," Economic Journal, Royal Economic Society, vol. 110(460), pages 159-91, January. [Downloadable!] (restricted)
    Other versions:

  29. David Miles & Allan Timmermann, 1999. "Risk sharing and transition costs in the reform of pension systems in Europe," Economic Policy, CEPR, CES, MSH, vol. 14(29), pages 251-286, October. [Downloadable!] (restricted)

  30. Ryan Sullivan & Allan Timmermann & Halbert White, 1999. "Data-Snooping, Technical Trading Rule Performance, and the Bootstrap," Journal of Finance, American Finance Association, vol. 54(5), pages 1647-1691, October. [Downloadable!] (restricted)
    Other versions:

  31. Clive Granger & Allan Timmermann, 1999. "Data mining with local model specification uncertainty: a discussion of Hoover and Perez," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 220-225.

  32. Lunde, Asger & Timmermann, Allan & Blake, David, 1999. "The hazards of mutual fund underperformance: A Cox regression analysis," Journal of Empirical Finance, Elsevier, vol. 6(2), pages 121-152, April. [Downloadable!] (restricted)
    Other versions:

  33. Blake, David & Lehmann, Bruce N & Timmermann, Allan, 1999. "Asset Allocation Dynamics and Pension Fund Performance," Journal of Business, University of Chicago Press, vol. 72(4), pages 429-61, October. [Downloadable!] (restricted)

  34. Miles, David & Timmermann, Allan, 1996. "Variation in Expected Stock Returns: Evidence on the Pricing of Equities from a Cross-Section of UK Companies," Economica, London School of Economics and Political Science, vol. 63(251), pages 369-82, August. [Downloadable!] (restricted)
    Other versions:

  35. Timmermann, Allan, 1996. "Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning," Review of Economic Studies, Blackwell Publishing, vol. 63(4), pages 523-57, October. [Downloadable!] (restricted)
    Other versions:

  36. Satchell, Steve & Timmermann, Allan, 1995. "On the optimality of adaptive expectations: Muth revisited," International Journal of Forecasting, Elsevier, vol. 11(3), pages 407-416, September. [Downloadable!] (restricted)
    Other versions:

  37. Pesaran, M Hashem & Timmermann, Allan, 1995. " Predictability of Stock Returns: Robustness and Economic Significance," Journal of Finance, American Finance Association, vol. 50(4), pages 1201-28, September. [Downloadable!] (restricted)
    Other versions:

  38. Timmermann, Allan, 1995. "Cointegration Tests of Present Value Models with a Time-Varying Discount Factor," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(1), pages 17-31, Jan.-Marc. [Downloadable!] (restricted)

  39. Timmermann, Allan, 1994. "Present value models with feedback : Solutions, stability, bubbles, and some empirical evidence," Journal of Economic Dynamics and Control, Elsevier, vol. 18(6), pages 1093-1119, November. [Downloadable!] (restricted)

  40. Satchell, Steve & Timmermann, Allan, 1994. "Optimal properties of exponentially weighted forecasts in the presence of different information sources," Economics Letters, Elsevier, vol. 45(2), pages 169-174, June. [Downloadable!] (restricted)

  41. Pesaran, M. Hashem & Timmermann, Allan G., 1994. "A generalization of the non-parametric Henriksson-Merton test of market timing," Economics Letters, Elsevier, vol. 44(1-2), pages 1-7. [Downloadable!] (restricted)
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  42. Timmermann, Allan, 1994. "Why do dividend yields forecast stock returns?," Economics Letters, Elsevier, vol. 46(2), pages 149-158, October. [Downloadable!] (restricted)

  43. Timmermann, Allan, 1994. "Can Agents Learn to Form Rational Expectations? Some Results on Convergence and Stability of Learning in the UK Stock Market," Economic Journal, Royal Economic Society, vol. 104(425), pages 777-97, July. [Downloadable!] (restricted)

  44. Timmermann, Allan Gilling, 1993. " Learning, Specification Search and Market Efficiency. With an Application to the Danish Stock Market," Scandinavian Journal of Economics, Blackwell Publishing, vol. 95(2), pages 157-73.

  45. Timmermann, Allan G, 1993. "How Learning in Financial Markets Generates Excess Volatility and Predictability in Stock Prices," The Quarterly Journal of Economics, MIT Press, vol. 108(4), pages 1135-45, November. [Downloadable!] (restricted)

  46. Pesaran, M Hashem & Timmermann, Allan, 1992. "A Simple Nonparametric Test of Predictive Performance," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 561-65, October.
    Other versions:

NEP Fields

34 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2006-07-15
  2. NEP-CBA: Central Banking (1) 2006-07-15
  3. NEP-CFN: Corporate Finance (6) 2003-03-14 2003-03-14 2003-06-16 2004-02-29 2004-08-23 2005-02-20 Author is listed
  4. NEP-ECM: Econometrics (11) 2003-02-10 2003-06-19 2003-07-16 2003-10-05 2004-04-18 2004-06-27 2004-12-02 2005-02-13 2006-02-26 2006-07-21 2006-08-05 Author is listed
  5. NEP-ETS: Econometric Time Series (16) 2003-01-27 2003-03-14 2003-07-13 2004-02-29 2004-04-18 2004-05-02 2004-07-04 2004-10-30 2004-12-02 2005-02-13 2005-02-13 2006-02-26 2006-07-21 2006-07-28 2006-08-05 2006-08-19 Author is listed
  6. NEP-FIN: Finance (12) 2004-02-29 2004-08-02 2004-08-16 2004-08-23 2004-12-02 2005-02-13 2005-02-20 2006-01-24 2006-03-18 2006-04-08 2006-07-15 2006-09-23 Author is listed
  7. NEP-FMK: Financial Markets (5) 2003-03-14 2004-02-29 2006-04-08 2006-07-02 2006-07-15 Author is listed
  8. NEP-FOR: Forecasting (2) 2006-02-26 2006-08-05
  9. NEP-HPE: History & Philosophy of Economics (2) 2004-04-18 2004-05-02
  10. NEP-IFN: International Finance (2) 2003-10-05 2004-08-16
  11. NEP-LAM: Central & South America (1) 2006-07-02
  12. NEP-MAC: Macroeconomics (3) 2004-10-30 2006-07-02 2006-08-05
  13. NEP-RMG: Risk Management (5) 2003-01-27 2003-03-14 2004-02-29 2005-02-13 2006-07-02 Author is listed
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This page was last updated on 2009-7-1.

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