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Economics and Finance

D-Index
84
Citations
34312
World Ranking
226
National Ranking
166

Overview

Allan Timmermann is affiliated with the University of California, San Diego in the United States. Their research primarily spans the fields of Economics, Econometrics, and Finance, with a focus on subfields including Economics and Econometrics, Finance, General Economics, Econometrics and Finance, Accounting, and Management Science and Operations Research.

Their work covers several main topics, such as:

  • Monetary Policy and Economic Impact
  • Financial Markets and Investment Strategies
  • Corporate Finance and Governance
  • Housing Market and Economics
  • Economic Growth and Productivity
  • Financial Reporting and Valuation Research
  • Spatial and Panel Data Analysis

Among their recent publications are:

  • Break Risk, 2020, Review of Financial Studies
  • Picking funds with confidence, 2020, Journal of Financial Economics
  • Have risk premia vanished?, 2021, Journal of Financial Economics
  • Cash Flow News and Stock Price Dynamics, 2020, The Journal of Finance
  • Search and Predictability of Prices in the Housing Market, 2023, Management Science

They have coauthored extensively with several researchers, including:

  • Simon C. Smith
  • Davide Pettenuzzo
  • Riccardo Sabbatucci
  • Yinchu Zhu
  • Alexander Chudík

Allan Timmermann has frequently published in venues such as:

  • SSRN Electronic Journal
  • Journal of Econometrics
  • Journal of Financial Economics
  • Journal of Applied Econometrics
  • IMF Working Paper

They have contributed to scholarly books, particularly two titles published by Advances in Econometrics in 2022: Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling and Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology.

Best Publications

  • The role of biotic interactions in shaping distributions and realised assemblages of species: implications for species distribution modelling

    Mary Susanne Wisz;Julien Pottier;W. Daniel Kissling;Loïc Pellissier

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

    Ryan Sullivan;Allan Timmermann;Halbert White

  • Predictability of Stock Returns: Robustness and Economic Significance

    M. Hashem Pesaran;Allan Timmermann

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

    Robert Kosowski;Allan Timmermann;Russ Wermers;Hal White

  • Chapter 4 Forecast Combinations

    Allan Timmermann

  • A Simple Nonparametric Test of Predictive Performance

    M. Hashem Pesaran;Allan Timmermann

  • Forecast Combinations

    Unknown

  • Regime Changes and Financial Markets

    Andrew Ang;Allan Timmermann

  • Firm Size and Cyclical Variations in Stock Returns

    Gabriel Perez-Quiros;Allan Timmermann

  • Efficient market hypothesis and forecasting

    Allan Timmermann;Clive W.J. Granger

  • Handbook of Economic Forecasting

    Graham Elliott;C. W. J. Granger;Allan Timmermann

  • Selection of estimation window in the presence of breaks

    M. Hashem Pesaran;Allan Timmermann

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

    Allan G. Timmermann

  • Instability of return prediction models

    Bradley S. Paye;Allan Timmermann

  • International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences ∗

    Massimo Guidolin;Allan Timmermann

  • Moments of Markov switching models

    Allan Timmermann

  • Asset Allocation Dynamics and Pension Fund Performance

    David Blake;Bruce N. Lehmann;Allan Timmermann

  • Asset allocation under multivariate regime switching

    Massimo Guidolin;Massimo Guidolin;Allan Timmermann

  • Small sample properties of forecasts from autoregressive models under structural breaks

    M. Hashem Pesaran;Allan Timmermann

  • Forecasting Time Series Subject to Multiple Structural Breaks

    M. Hashem Pesaran;Davide Pettenuzzo;Allan Timmermann

  • A SIMPLE, NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE

    M Pesaran;Allan Timmermann

  • International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences

    Allan G. Timmermann;Massimo Guidolin

  • Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks

    M Pesaran;Allan Timmermann

Frequent Co-Authors

M. Hashem Pesaran
M. Hashem Pesaran University of Cambridge
Massimo Guidolin
Massimo Guidolin Bocconi University
Russ Wermers
Russ Wermers University of Maryland, College Park
David Blake
David Blake City, University of London
Andrew J. Patton
Andrew J. Patton Duke University
Halbert White
Halbert White University of California, San Diego
Asger Lunde
Asger Lunde Copenhagen Economics
Rossen I. Valkanov
Rossen I. Valkanov University of California, San Diego
Clive W. J. Granger
Clive W. J. Granger University of California, San Diego
Anders D. Børglum
Anders D. Børglum Aarhus University

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