Timmermann, Allan G.: search on Z-Library

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1

Efficient market hypothesis and forecasting

Allan Timmermann, Clive W.J. Granger

Journal:

International Journal of Forecasting

Year:

2004

Language:

english

File:

PDF, 164 KB

english, 2004

2

Regime Changes and Financial Markets

Ang, Andrew, Timmermann, Allan

Journal:

Annual Review of Financial Economics

Year:

2012

Language:

english

File:

PDF, 996 KB

english, 2012

3

Forecasting Methods in Finance

Timmermann, Allan

Journal:

Annual Review of Financial Economics

Year:

2018

Language:

english

File:

PDF, 518 KB

english, 2018

4

Predictability of Stock Returns: Robustness and Economic Significance

M. Hashem Pesaran and Allan Timmermann

Journal:

The Journal of Finance

Year:

1995

Language:

english

File:

PDF, 728 KB

english, 1995

5

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

Ryan Sullivan, Allan Timmermann, Halbert White

Journal:

The Journal of Finance

Year:

1999

Language:

english

File:

PDF, 1.59 MB

english, 1999

6

Decentralized Investment Management: Evidence from the Pension Fund Industry

BLAKE, DAVID, ROSSI, ALBERTO G., TIMMERMANN, ALLAN, TONKS, IAN, WERMERS, RUSS

Journal:

The Journal of Finance

Year:

2013

Language:

english

File:

PDF, 562 KB

english, 2013

7

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

Asger Lunde and Allan Timmermann

Journal:

Journal of Business and Economic Statistics

Year:

2004

Language:

english

File:

PDF, 1.63 MB

english, 2004

8

Runs on Money Market Mutual Funds

Schmidt, Lawrence, Timmermann, Allan, Wermers, Russ

Journal:

American Economic Review

Year:

2016

Language:

english

File:

PDF, 1.05 MB

english, 2016

9

Cash Flow News and Stock Price Dynamics

PETTENUZZO, DAVIDE, SABBATUCCI, RICCARDO, TIMMERMANN, ALLAN

Journal:

The Journal of Finance

Year:

2020

Language:

english

File:

PDF, 3.06 MB

english, 2020

10

A Simple Nonparametric Test of Predictive Performance

M. Hashem Pesaran and Allan Timmermann

Journal:

Journal of Business and Economic Statistics

Year:

1992

Language:

english

File:

PDF, 214 KB

english, 1992

11

Forecasting stock returns under economic constraints

Pettenuzzo, Davide, Timmermann, Allan, Valkanov, Rossen

Journal:

Journal of Financial Economics

Year:

2014

Language:

english

File:

PDF, 2.26 MB

english, 2014

12

Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts

Andrew J. Patton, Allan Timmermann

Journal:

Journal of Financial Economics

Year:

2010

Language:

english

File:

PDF, 489 KB

english, 2010

13

Forecasting in Economics and Finance

Elliott, Graham, Timmermann, Allan

Journal:

Annual Review of Economics

Year:

2016

Language:

english

File:

PDF, 353 KB

english, 2016

14

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

Robert Kosowski, Allan Timmermann, Russ Wermers and Hal White

Journal:

The Journal of Finance

Year:

2006

Language:

english

File:

PDF, 5.69 MB

english, 2006

15

A MIDAS approach to modeling first and second moment dynamics

Pettenuzzo, Davide, Timmermann, Allan, Valkanov, Rossen

Journal:

Journal of Econometrics

Year:

2016

Language:

english

File:

PDF, 945 KB

english, 2016

16

Predictability of stock returns and asset allocation under structural breaks

Davide Pettenuzzo, Allan Timmermann

Journal:

Journal of Econometrics

Year:

2011

Language:

english

File:

PDF, 2.01 MB

english, 2011

17

International asset allocation under regime switching, skew, and kurtosis preferences

Guidolin, Massimo, Timmermann, Allan

Journal:

Review of Financial Studies

Year:

2008

Language:

english

File:

PDF, 538 KB

english, 2008

18

Duration Dependence in Stock Prices

Lunde, Asger, Timmermann, Allan

Journal:

Journal of Business and Economic Statistics

Year:

2004

Language:

english

File:

PDF, 837 KB

english, 2004

19

Dangers of data mining: The case of calendar effects in stock returns

Ryan Sullivan, Allan Timmermann, Halbert White

Journal:

Journal of Econometrics

Year:

2001

Language:

english

File:

PDF, 431 KB

english, 2001

20

Option prices under Bayesian learning: implied volatility dynamics and predictive densities

Massimo Guidolin, Allan Timmermann

Journal:

Journal of Economic Dynamics and Control

Year:

2003

Language:

english

File:

PDF, 563 KB

english, 2003

21

Selection of estimation window in the presence of breaks

M. Hashem Pesaran, Allan Timmermann

Journal:

Journal of Econometrics

Year:

2007

Language:

english

File:

PDF, 293 KB

english, 2007

22

Forecasting commodity price indexes using macroeconomic and financial predictors

Gargano, Antonio, Timmermann, Allan

Journal:

International Journal of Forecasting

Year:

2014

Language:

english

File:

PDF, 752 KB

english, 2014

23

Trait evolution, resource specialization and vulnerability to plant extinctions among Antillean hummingbirds

Dalsgaard, Bo, Kennedy, Jonathan D., Simmons, Benno I., Baquero, Andrea C., Martín González, Ana M., Timmermann, Allan, Maruyama, Pietro K., McGuire, Jimmy A., Ollerton, Jeff, Sutherland, William J.,

Journal:

Proceedings Biological Sciences

Year:

2018

Language:

english

File:

PDF, 608 KB

english, 2018

24

Asset Allocation Dynamics and Pension Fund Performance

Blake, David, Lehmann, Bruce N., Timmermann, Allan

Journal:

The Journal of Business

Year:

1999

Language:

english

File:

PDF, 203 KB

english, 1999

25

Optimal Convergence Trade Strategies

Liu, Jun, Timmermann, Allan

Journal:

Review of Financial Studies

Year:

2013

Language:

english

File:

PDF, 577 KB

english, 2013

26

International Asset Allocation with Time‐Varying Investment Opportunities

Timmermann, Allan, Blake, David

Journal:

The Journal of Business

Year:

2005

Language:

english

File:

PDF, 545 KB

english, 2005

27

Risk Sharing and Transition Costs in the Reform of Pension Systems in Europe

David Miles, Allan Timmermann, Jakob de Haan and Marco Pagano

Journal:

Economic Policy

Year:

1999

Language:

english

File:

PDF, 2.43 MB

english, 1999

28

Forecasts of US short-term interest rates: A flexible forecast combination approach

Massimo Guidolin, Allan Timmermann

Journal:

Journal of Econometrics

Year:

2009

Language:

english

File:

PDF, 4.86 MB

english, 2009

29

Do return prediction models add economic value?

Tolga Cenesizoglu, Allan Timmermann

Journal:

Journal of Banking & Finance

Year:

2012

Language:

english

File:

PDF, 349 KB

english, 2012

30

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

Ryan Sullivan, Allan Timmermann and Halbert White

Journal:

The Journal of Finance

Year:

1999

Language:

english

File:

PDF, 1.16 MB

english, 1999

31

Structural and functional responses of floodplain vegetation to stream ecosystem restoration

Göthe, Emma, Timmermann, Allan, Januschke, Kathrin, Baattrup-Pedersen, Annette

Journal:

Year:

2016

Language:

english

File:

PDF, 541 KB

english, 2016

32

Combining expert forecasts: Can anything beat the simple average?

Genre, Véronique, Kenny, Geoff, Meyler, Aidan, Timmermann, Allan

Journal:

International Journal of Forecasting

Year:

2013

Language:

english

File:

PDF, 2.12 MB

english, 2013

33

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

ROBERT KOSOWSKI, ALLAN TIMMERMANN, RUSS WERMERS, HAL WHITE

Journal:

The Journal of Finance

Year:

2006

Language:

english

File:

PDF, 457 KB

english, 2006

34

Small sample properties of forecasts from autoregressive models under structural breaks

M. Hashem Pesaran, Allan Timmermann

Journal:

Journal of Econometrics

Year:

2005

Language:

english

File:

PDF, 337 KB

english, 2005

35

Asset allocation under multivariate regime switching

Massimo Guidolin, Allan Timmermann

Journal:

Journal of Economic Dynamics and Control

Year:

2007

Language:

english

File:

PDF, 1.19 MB

english, 2007

36

Variable selection, estimation and inference for multi-period forecasting problems

M. Hashem Pesaran, Andreas Pick, Allan Timmermann

Journal:

Journal of Econometrics

Year:

2011

Language:

english

File:

PDF, 328 KB

english, 2011

37

Bond Return Predictability: Economic Value and Links to the Macroeconomy

Gargano, Antonio, Pettenuzzo, Davide, Timmermann, Allan G.

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 903 KB

english, 2014

38

Guest Editors’ Introduction: Regime Switching and Threshold Models

Chan, Kung-Sik, Hansen, Bruce E., Timmermann, Allan

Journal:

Journal of Business and Economic Statistics

Year:

2017

Language:

english

File:

PDF, 312 KB

english, 2017

39

Cointegration Tests of Present Value Models with a Time-Varying Discount Factor

Allan Timmermann

Journal:

Journal of Applied Econometrics

Year:

1995

Language:

english

File:

PDF, 518 KB

english, 1995

40

Regime Changes and Financial Markets

Ang, Andrew, Timmermann, Allan G.

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 330 KB

english, 2011

41

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

Massimo Guidolin and Allan Timmermann

Journal:

The Economic Journal

Year:

2005

Language:

english

File:

PDF, 3.47 MB

english, 2005

42

Moments of Markov switching models

Allan Timmermann

Journal:

Journal of Econometrics

Year:

2000

Language:

english

File:

PDF, 1.97 MB

english, 2000

43

Firm Size and Cyclical Variations in Stock Returns

Gabriel Perez-Quiros, Allan Timmermann

Journal:

The Journal of Finance

Year:

2000

Language:

english

File:

PDF, 1.01 MB

english, 2000

44

How Learning in Financial Markets Generates Excess Volatility and Predictability in Stock Prices

Allan G. Timmermann

Journal:

Quarterly Journal of Economics

Year:

1993

Language:

english

File:

PDF, 248 KB

english, 1993

45

Variation in Expected Stock Returns: Evidence on the Pricing of Equities from a Cross-section of UK Companies

David Miles and Allan Timmermann

Journal:

Year:

1996

Language:

english

File:

PDF, 338 KB

english, 1996

46

REAL-TIME ECONOMETRICS

Pesaran, Hashem, Timmermann, Allan

Journal:

Econometric Theory

Year:

2005

Language:

english

File:

PDF, 151 KB

english, 2005

47

Optimal Forecast Combination under Regime Switching

Graham Elliott and Allan Timmermann

Journal:

International Economic Review

Year:

2005

Language:

english

File:

PDF, 2.93 MB

english, 2005

48

Firm Size and Cyclical Variations in Stock Returns

Gabriel Perez-Quiros and Allan Timmermann

Journal:

The Journal of Finance

Year:

2000

Language:

english

File:

PDF, 843 KB

english, 2000

49

[Handbook of Economic Forecasting] Volume 1 || Chapter 4 Forecast Combinations

Timmermann, Allan

Year:

2006

Language:

english

File:

PDF, 472 KB

english, 2006

50

Picking funds with confidence

GrÃ¸nborg, Niels S., Lunde, Asger, Timmermann, Allan, Wermers, Russ

Journal:

Journal of Financial Economics

Year:

2020

File:

PDF, 2.19 MB

2020

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