Allan G Timmermann

Forecast Evaluation with Shared Data Sets

Year: 2001
Journal: International Journal of Forecasting
Authors: Ryan Sullivan; Allan G. Timmermann; Halbert White

International Asset Allocation with Time-Varying Investment Opportunities

Year: 2002
Journal: No Journal Matched
Authors: Allan G. Timmermann; David Blake

Efficient Market Hypothesis and Forecasting

Year: 2002
Journal: International Journal of Forecasting
Authors: Allan G. Timmermann; Clive Granger

Relative Performance Evaluation Contracts and Asset Market Equilibrium

Year: 2003
Journal: Economic Journal
Authors: Sandeep Kapur; Allan G. Timmermann

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

Year: 2003
Journal: No Journal Matched
Authors: Asger Lunde; Allan G. Timmermann

Properties of Optimal Forecasts

Year: 2003
Journal: No Journal Matched
Authors: Andrew J. Patton; Allan G. Timmermann

Estimating Loss Function Parameters

Year: 2003
Journal: No Journal Matched
Authors: Graham Elliott; Ivana Komunjer; Allan G. Timmermann

Country and Industry Factors in Stock Returns: A Regime Switching Approach

Year: 2004
Journal: No Journal Matched
Authors: Luis Cato; Allan G Timmermann

Real Time Econometrics

Year: 2004
Journal: Econometric Theory
Authors: M. Hashem Pesaran; Allan G. Timmermann

Forecasting Time Series Subject to Multiple Structural Breaks

Year: 2004
Journal: Review of Economic Studies
Authors: M Hashem Pesaran; Davide Pettenuzzo; Allan G Timmermann

Optimal Forecast Combination under Regime Switching

Year: 2004
Journal: International Economic Review
Authors: Graham Elliott; Allan G. Timmermann

Term Structure of Risk Under Alternative Econometric Specifications

Year: 2004
Journal: Journal of Econometrics
Authors: Massimo Guidolin; Allan G. Timmermann

Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks

Year: 2004
Journal: Journal of Econometrics
Authors: M. Hashem Pesaran; Allan G. Timmermann

Forecast Combinations

Year: 2005
Journal: No Journal Matched
Authors: Allan G. Timmermann

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

Year: 2007
Journal: Journal of Econometrics
Authors: Massimo Guidolin; Allan G. Timmermann

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

Year: 2007
Journal: No Journal Matched
Authors: Andrew J. Patton; Allan G. Timmermann

Variable Selection and Inference for Multiperiod Forecasting Problems

Year: 2009
Journal: Journal of Econometrics
Authors: M. Hashem Pesaran; Andreas Pick; Allan G. Timmermann

Risky Arbitrage Strategies, Optimal Portfolio Choice, and Economic Implications

Year: 2009
Journal: No Journal Matched
Authors: Jun Liu; Allan G. Timmermann

Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability

Year: 2010
Journal: Journal of Financial Econometrics
Authors: Marco Aiolfi; Marius Rodriguez; Allan G. Timmermann

Common Factors in Latin America's Business Cycles

Year: 2010
Journal: Journal of Development Economics
Authors: Marco Aiolfi; Luis A. V. Cato; Allan G. Timmermann

Decentralized Investment Management: Evidence from the Pension Fund Industry

Year: 2010
Journal: Journal of Finance
Authors: David Blake; Allan G. Timmermann; Ian Tonks; Russ Wermers

Regime Changes and Financial Markets

Year: 2011
Journal: Annual Review of Financial Economics
Authors: Andrew Ang; Allan G. Timmermann

Forecast Rationality Tests Based on Multihorizon Bounds

Year: 2011
Journal: No Journal Matched
Authors: Andrew J. Patton; Allan G. Timmermann

Forecasting Stock Returns Under Economic Constraints

Year: 2013
Journal: No Journal Matched
Authors: Davide Pettenuzzo; Allan G. Timmermann; Rossen Valkanov

A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics

Year: 2014
Journal: No Journal Matched
Authors: Davide Pettenuzzo; Allan G. Timmermann; Rossen Valkanov

Runs on Money Market Funds

Year: 2014
Journal: No Journal Matched
Authors: Lawrence Schmidt; Allan G. Timmermann; Russ Wermers

Bond Return Predictability: Economic Value and Links to the Macroeconomy

Year: 2014
Journal: No Journal Matched
Authors: Antonio Gargano; Davide Pettenuzzo; Allan G. Timmermann