Allan G. Timmermann

Available identifiers

zbMath Open timmermann.allan-gMaRDI QIDQ1327873

List of research outcomes

Publication	Date of Publication	Type
Comparing forecasting performance in cross-sections	2023-11-17	Paper
Dividend suspensions and cash flows during the Covid-19 pandemic: a dynamic econometric model	2023-06-29	Paper
Conditional rotation between forecasting models	2022-12-14	Paper
Corrigendum to ``Predictability of stock returns and asset allocation under structural breaks	2022-03-16	Paper
Variable selection in panel models with breaks	2019-09-02	Paper
THE ET INTERVIEW: PROFESSOR HASHEM PESARAN	2019-07-11	Paper
Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics	2019-01-30	Paper
Complete subset regressions with large-dimensional sets of predictors	2018-08-13	Paper
Predictability of stock returns and asset allocation under structural breaks	2016-08-12	Paper
Variable selection, estimation and inference for multi-period forecasting problems	2016-08-12	Paper
A MIDAS approach to modeling first and second moment dynamics	2016-07-12	Paper
Forecasts of US short-term interest rates: a flexible forecast combination approach	2016-07-04	Paper
Persistence in forecasting performance and conditional combination strategies	2016-06-10	Paper
Term structure of risk under alternative econometric specifications	2016-06-10	Paper
Selection of estimation window in the presence of breaks	2016-05-02	Paper
Small sample properties of forecasts from autoregressive models under structural breaks	2016-04-01	Paper
Testing Dependence Among Serially Correlated Multicategory Variables	2015-06-22	Paper
Complete subset regressions	2014-06-06	Paper
Optimal forecast combinations under general loss functions and forecast error distributions	2014-03-07	Paper
Complete subset regressions	2013-12-01	Paper
https://portal.mardi4nfdi.de/entity/Q2857562	2013-11-04	Paper
Properties of optimal forecasts under asymmetric loss and nonlinearity	2012-09-23	Paper
Completion time structures of stock price movements	2012-03-05	Paper
https://portal.mardi4nfdi.de/entity/Q3099633	2011-12-01	Paper
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach	2011-08-24	Paper
Asset allocation under multivariate regime switching	2009-07-01	Paper
Testing Forecast Optimality Under Unknown Loss	2009-06-12	Paper
Properties of equilibrium asset prices under alternative learning schemes	2008-12-12	Paper
Learning, Structural Instability, and Present Value Calculations	2007-06-20	Paper
Forecasting Time Series Subject to Multiple Structural Breaks	2007-02-12	Paper
Estimation and Testing of Forecast Rationality under Flexible Loss	2006-02-21	Paper
REAL-TIME ECONOMETRICS	2005-10-18	Paper
Option prices under Bayesian learning: implied volatility dynamics and predictive densities	2003-01-21	Paper
Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities	2001-11-19	Paper
Moments of Markov switching models	2001-10-06	Paper
Dangers of data mining: The case of calendar effects in stock returns	2001-01-01	Paper
Data mining with local model specification uncertainty: a discussion of Hoover and Perez	2000-10-26	Paper
Mutual Fund Performance: Evidence from the UK	2000-06-01	Paper
Optimal properties of exponentially weighted forecasts in the presence of different information sources	1999-11-08	Paper
Present value models with feedback	1997-02-27	Paper
Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning	1997-01-07	Paper
https://portal.mardi4nfdi.de/entity/Q3838968	1996-01-01	Paper
Why do dividend yields forecast stock returns?	1995-01-12	Paper
Present value models with feedback. Solutions, stability, bubbles, and some empirical evidence	1995-01-11	Paper
A generalization of the non-parametric Henriksson-Merton test of market timing	1994-07-03	Paper

Research outcomes over time

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