Timmermann, Allan

Item Type Year Departments File available

Article

Issler, João Victor, Linton, Oliver, Timmermann, Allan (2011). Annals issue on forecasting — guest editors’ introduction. Journal of Econometrics, 164(1), 1-3. https://doi.org/10.1016/j.jeconom.2011.02.015

Sullivan, Ryan, Timmermann, Allan, White, Halbert (2001). Dangers of data mining: the case of calendar effects in stock returns. Journal of Econometrics, 105(1), 249-286. https://doi.org/10.1016/S0304-4076(01)00077-X

Perez-Quiros, Gabriel, Timmermann, Allan (2001). Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities. Journal of Econometrics, 103(1-2), 259 - 306. https://doi.org/10.1016/S0304-4076(01)00045-8

Timmermann, Allan (2001). Structural breaks, incomplete information, and stock prices. Journal of Business and Economic Statistics, 19(3), 299-314.

Book

Timmermann, Allan, Dunis, Christian, Moody, John (Eds.) (2001). Developments in forecast combination and portfolio choice. John Wiley & Sons.

Working paper

Lehmann, Bruce, Timmermann, Allan (2007). Performance measurement and evaluation. (Financial Markets Group Discussion Papers 604). Financial Markets Group, The London School of Economics and Political Science.

Patton, Andrew J., Timmermann, Allan (2005). Testable implications of forecast optimality. (EM 485). Suntory and Toyota International Centres for Economics and Related Disciplines.

Blake, David, Timmermann, Allan (2002). Returns from active management in international equity markets: evidence from a panel of UK pension funds. (Financial Markets Group Discussion Papers 426). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf

Blake, David, Lehmann, Bruce N., Timmermann, Allan (2002). Performance clustering and incentives in the UK pension fund industry. (UBS Pensions Series 003). Financial Markets Group, The London School of Economics and Political Science.

Blake, David, Timmermann, Allan (2002). International asset allocation with time-varying investment opportunities. (Financial Markets Group Discussion Papers 424). Financial Markets Group, The London School of Economics and Political Science.

Pesaran, M. Hashem, Timmermann, Allan (2002). Market timing and return prediction under model instability. (Financial Markets Group Discussion Papers 412). Financial Markets Group, The London School of Economics and Political Science.

Guidolin, Massimo, Timmermann, Allan (2001). Option prices under Bayesian learning: implied volatility dynamics and predictive densities. (Financial Markets Group Discussion Papers 397). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf

Perez-Quiros, Gabriel, Timmermann, Allan (2000). Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities. (Financial Markets Group Discussion Papers 360). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf

Perez-Quiros, Gabriel, Timmermann, Allan (1999). Firm size and cyclical variations in stock returns. (Financial Markets Group Discussion Papers 335). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf

Timmermann, Allan (1999). Moments of Markov switching models. (Financial Markets Group Discussion Papers 323). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf

Pesaran, M., Timmermann, Allan (1999). A recursive modelling approach to predicting UK stock returns. (Financial Markets Group Discussion Papers 322). Financial Markets Group, The London School of Economics and Political Science.

Timmermann, Allan (1998). Structural breaks, incomplete information and stock prices. (Financial Markets Group Discussion Papers 311). Financial Markets Group, The London School of Economics and Political Science.

Sullivan, Ryan, Timmermann, Allan, White, Halbert (1998). Data snooping, technical trading, rule performance, and the bootstrap. (Financial Markets Group Discussion Papers 303). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf

Sullivan, Ryan, Timmermann, Allan, White, Halbert (1998). The dangers of data-driven inference: the case of calender effects in stock returns. (Financial Markets Group Discussion Papers 304). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf

Lunde, Asger, Timmermann, Allan, Blake, David (1998). The hazards of mutual fund performance: a Cox regression analysis. (Financial Markets Group Discussion Papers 302). Financial Markets Group, The London School of Economics and Political Science.