Allan Timmermann

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19 件の論文

2 件の論文

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共著者

M. Hashem Pesaran, M H Pesaran, M...Distinguished Professor Emeritus of Economics at USC, and Fellow of Trinity College, Cambridge確認したメールアドレス: cam.ac.uk
Russ WermersProfessor of Finance確認したメールアドレス: umd.edu
Davide PettenuzzoAssociate Professor of Financial Econometrics, Brandeis International Business School確認したメールアドレス: brandeis.edu
Massimo GuidolinBocconi University確認したメールアドレス: unibocconi.it
Andrew PattonZelter Family Professor of Economics and Finance, Duke University確認したメールアドレス: duke.edu
Asger LundePartner, Copenhagen Economics確認したメールアドレス: copenhageneconomics.com
Lawrence D. W. SchmidtMassachusetts Institute of Technology確認したメールアドレス: mit.edu
Alberto RossiGeorgetown University確認したメールアドレス: georgetown.edu
Ian TonksProfessor of Finance確認したメールアドレス: bristol.ac.uk
rossen valkanovprofessor of finance, ucsd確認したメールアドレス: ucsd.edu
Antonio GarganoAssociate Professor of Finance, C.T. Bauer College of Business確認したメールアドレス: bauer.uh.edu
Tolga CenesizogluProfessor of Finance, HEC Montreal確認したメールアドレス: hec.ca
Benjamin GillenAssistant Professor of Economics, Claremont McKenna College確認したメールアドレス: cmc.edu
Luís CatãoLisbon School of Economics and Management (ISEG) and Centre for Economic Policy Research (CEPR)確認したメールアドレス: iseg.ulisboa.pt
Bradley PayeAssociate Professor of Finance, Virginia Tech確認したメールアドレス: vt.edu
Andreas PickErasmus University University確認したメールアドレス: ese.eur.nl
Robert KosowskiImperial College London確認したメールアドレス: imperial.ac.uk
Andrew AngBlackRock確認したメールアドレス: blackrock.com
David MilesImperial College確認したメールアドレス: imperial.ac.uk
Peter HansenHenry A. Latané Distinguished Professor, Dept. of Economics, University of North Carolina & Visiting確認したメールアドレス: unc.edu

フォロー

Allan Timmermann

Professor of Finance and Economics, UCSD

確認したメールアドレス: ucsd.edu - ホームページ

Economic forecasting asset pricing investment performance forecast combination applied econometrics


タイトル引用回数順公開年順タイトル順	引用先引用先	年
Forecast combinations A Timmermann Handbook of economic forecasting 1, 135-196, 2006	2203	2006
Data‐snooping, technical trading rule performance, and the bootstrap R Sullivan, A Timmermann, H White The journal of Finance 54 (5), 1647-1691, 1999	1438	1999
Can mutual fund “stars” really pick stocks? New evidence from a bootstrap analysis R Kosowski, A Timmermann, R Wermers, H White The Journal of finance 61 (6), 2551-2595, 2006	1414	2006
Predictability of stock returns: Robustness and economic significance MH Pesaran, A Timmermann The Journal of Finance 50 (4), 1201-1228, 1995	1313	1995
A simple nonparametric test of predictive performance MH Pesaran, A Timmermann Journal of Business & Economic Statistics 10 (4), 461-465, 1992	1089	1992
Firm size and cyclical variations in stock returns G Perez‐Quiros, A Timmermann The Journal of Finance 55 (3), 1229-1262, 2000	934	2000
Efficient market hypothesis and forecasting A Timmermann, CWJ Granger International Journal of forecasting 20 (1), 15-27, 2004	869	2004
Regime changes and financial markets A Ang, A Timmermann Annu. Rev. Financ. Econ. 4 (1), 313-337, 2012	589	2012
Selection of estimation window in the presence of breaks MH Pesaran, A Timmermann Journal of Econometrics 137 (1), 134-161, 2007	548	2007
Asset allocation under multivariate regime switching M Guidolin, A Timmermann Journal of Economic Dynamics and Control 31 (11), 3503-3544, 2007	533	2007
International asset allocation under regime switching, skew, and kurtosis preferences M Guidolin, A Timmermann The Review of Financial Studies 21 (2), 889-935, 2008	529	2008
Handbook of economic forecasting G Elliott, A Timmermann Newnes, 2013	514	2013
Moments of Markov switching models A Timmermann Journal of econometrics 96 (1), 75-111, 2000	510	2000
Asset allocation dynamics and pension fund performance D Blake, BN Lehmann, A Timmermann The Journal of Business 72 (4), 429-461, 1999	496	1999
Instability of return prediction models BS Paye, A Timmermann Journal of Empirical Finance 13 (3), 274-315, 2006	492	2006
How learning in financial markets generates excess volatility and predictability in stock prices AG Timmermann The Quarterly Journal of Economics 108 (4), 1135-1145, 1993	492	1993
Economic forecasting G Elliott, A Timmermann Journal of Economic Literature 46 (1), 3-56, 2008	487	2008
Small sample properties of forecasts from autoregressive models under structural breaks MH Pesaran, A Timmermann Journal of Econometrics 129 (1-2), 183-217, 2005	449	2005
Persistence in forecasting performance and conditional combination strategies M Aiolfi, A Timmermann Journal of Econometrics 135 (1-2), 31-53, 2006	447	2006
Forecasting time series subject to multiple structural breaks MH Pesaran, D Pettenuzzo, A Timmermann The Review of Economic Studies 73 (4), 1057-1084, 2006	436	2006

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