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Allan Timmermann

Global rank #1461 98%

Institution: University of California-San Diego (UCSD)

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: http://rady.ucsd.edu/faculty/directory/timmermann/

First Publication: 1994

Most Recent: 2011

RePEc ID: pti8 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 0.00 0.00 0.00
Last 10 Years 0.00 0.00 0.00 0.00 0.00
All Time 0.00 18.27 11.73 0.00 50.27

Publication Statistics

Raw Publications 33
Coauthorship-Adjusted Count 34.16

Publications (33)

Year Article Journal Tier Authors
2011 Common factors in Latin America's business cycles Journal of Development Economics A 3
2011 Annals issue on forecasting--Guest editors' introduction Journal of Econometrics A 3
2011 Variable selection, estimation and inference for multi-period forecasting problems Journal of Econometrics A 3
2011 Predictability of stock returns and asset allocation under structural breaks Journal of Econometrics A 2
2010 Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts Journal of Financial Economics A 2
2010 Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion Journal of Monetary Economics A 2
2009 Forecasts of US short-term interest rates: A flexible forecast combination approach Journal of Econometrics A 2
2008 International asset allocation under regime switching, skew, and kurtosis preferences The Review of Financial Studies A 2
2008 Elusive return predictability International Journal of Forecasting B 1
2008 Reply to the discussion of Elusive Return Predictability International Journal of Forecasting B 1
2007 Properties of equilibrium asset prices under alternative learning schemes Journal of Economic Dynamics and Control B 2
2007 Asset allocation under multivariate regime switching Journal of Economic Dynamics and Control B 2
2007 Properties of optimal forecasts under asymmetric loss and nonlinearity Journal of Econometrics A 2
2007 Selection of estimation window in the presence of breaks Journal of Econometrics A 2
2006 Term structure of risk under alternative econometric specifications Journal of Econometrics A 2
2006 Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis Journal of Finance A 4
2006 Persistence in forecasting performance and conditional combination strategies Journal of Econometrics A 2
2005 REAL-TIME ECONOMETRICS Econometric Theory B 2
2005 Small sample properties of forecasts from autoregressive models under structural breaks Journal of Econometrics A 2
2004 Optimal forecast combinations under general loss functions and forecast error distributions Journal of Econometrics A 2
2004 Efficient market hypothesis and forecasting International Journal of Forecasting B 2
2004 How costly is it to ignore breaks when forecasting the direction of a time series? International Journal of Forecasting B 2
2003 Option prices under Bayesian learning: implied volatility dynamics and predictive densities Journal of Economic Dynamics and Control B 2
2003 Forecast evaluation with shared data sets International Journal of Forecasting B 3
2001 Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities Journal of Econometrics A 2
2001 Dangers of data mining: The case of calendar effects in stock returns Journal of Econometrics A 3
2000 Moments of Markov switching models Journal of Econometrics A 1
1995 Predictability of Stock Returns: Robustness and Economic Significance. Journal of Finance A 2
1995 On the optimality of adaptive expectations: Muth revisited International Journal of Forecasting B 2
1994 A generalization of the non-parametric Henriksson-Merton test of market timing Economics Letters C 2
1994 Present value models with feedback : Solutions, stability, bubbles, and some empirical evidence Journal of Economic Dynamics and Control B 1
1994 Optimal properties of exponentially weighted forecasts in the presence of different information sources Economics Letters C 2
1994 Why do dividend yields forecast stock returns? Economics Letters C 1