Allan G. Timmermann

From Bogleheads
Jump to navigation Jump to search
Allan G. Timmermann
AllanTimmermann.jpg
Nationality United Kingdom
Occupation Academic
Website Home page
Academic background
Alma mater University of Cambridge
Academic work
Discipline Financial economics
Institutions University of California San Diego
Main interests Asset pricing
Portfolio management and evaluation
Time-series econometrics

Allan G. Timmermann is the Atkinson/Epstein Endowed Chair Professor of Finance at Rady School O Management, UC San Diego. Research interests include asset pricing, portfolio management and evaluation, time-series econometrics, and forecasting.

Papers

Timmermann is the author/coauthor of the following most cited works, listed from most to least cited.

Year Study
2006 Handbook of economic forecasting[1]
1999 Data‐snooping, technical trading rule performance, and the bootstrap[2]
1995 Predictability of stock returns: Robustness and economic significance[3]
2006 Can mutual fund “stars” really pick stocks? New evidence from a bootstrap analysis[4]
2000 Firm size and cyclical variations in stock returns[5]
1993 How learning in financial markets generates excess volatility and predictability in stock prices[6]
2000 Moments of Markov switching models[7]
2004 Efficient market hypothesis and forecasting[8]
1999 Asset allocation dynamics and pension fund performance[9]
1998 Mutual fund performance: evidence from the UK[10]
2006 Forecasting time series subject to multiple structural breaks[11]
2000 A recursive modelling approach to predicting UK stock returns[12]
2008 International asset allocation under regime switching, skew, and kurtosis preferences[13]

Books

Graham Elliott; Allan Timmermann (April 2016). Economic Forecasting. Princeton, New Jersey: Princeton University Press. pp. 568. ISBN 9780691140131.

See also

References

  1. Timmermann, Allan (December 2006). Handbook of economic forecasting. Handbook of economic forecasting Volume 1: Elsevier. pp. 135-196. https://scholar.google.com/citations?view_op=view_citatiElseviern&hl=en&user=38t3MC4AAAAJ&citation_for_view=38t3MC4AAAAJ:9yKSN-GCB0IC.
  2. Sullivan,Ryan; Timmermann, Allan; White, Halbert (October 1999). Data‐snooping, technical trading rule performance, and the bootstrap. The Journal of Finance Volume 54 (5): Blackwell Publishers, Inc.. pp. 1647-1691. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=38t3MC4AAAAJ&citation_for_view=38t3MC4AAAAJ:u-x6o8ySG0sC.
  3. Pesaran, M. Hashem; Timmermann, Allan (September,1995). Predictability of stock returns: Robustness and economic significance. The Journal of Finance Volume 50 (4): Blackwell Publishers, Inc.. pp. 201-1228. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=38t3MC4AAAAJ&citation_for_view=38t3MC4AAAAJ:u5HHmVD_uO8C.
  4. Kosowski, Robert; Timmermann, Allan; Wermers, Russ; White, Hal (December 2006). Can mutual fund “stars” really pick stocks? New evidence from a bootstrap analysis. The Journal of Finance Volume 61 (6): Blackwell Publishers, Inc.. pp. 2551-2595. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=38t3MC4AAAAJ&citation_for_view=38t3MC4AAAAJ:2osOgNQ5qMEC.
  5. Perez‐Quiro, Gabriel; Timmermann, Allan (June 2000). Firm size and cyclical variations in stock returns. The Journal of Finance Volume 55 (3): Blackwell Publishers, Inc.. pp. 1229-1262. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=38t3MC4AAAAJ&citation_for_view=38t3MC4AAAAJ:qjMakFHDy7sC.
  6. Timmermann, Allan (november 1993). How learning in financial markets generates excess volatility and predictability in stock prices. The Quarterly Journal of Economics: MIT Press. pp. 1135-1145. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=38t3MC4AAAAJ&citation_for_view=38t3MC4AAAAJ:UeHWp8X0CEIC.
  7. Timmermann, Allan (June 2000). Moments of Markov switching models. Journal of Econometrics Volume 96 (1): North-Holland. pp. 75-111. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=38t3MC4AAAAJ&citation_for_view=38t3MC4AAAAJ:IjCSPb-OGe4C.
  8. Timmermann, Allan; Granger, Clive WJ (March 2004 Clive WJ). Efficient market hypothesis and forecasting. International Journal of Forecasting Volume 20 (1): Elsevier. pp. 15-27. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=38t3MC4AAAAJ&citation_for_view=38t3MC4AAAAJ:ufrVoPGSRksC.
  9. Blake, David; Lehmann,Bruce N.; Timmermann, Allan. Asset allocation dynamics and pension fund performance. The Journal of Business Volume 72 (4): The University of Chicago Press. pp. 429-461. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=38t3MC4AAAAJ&citation_for_view=38t3MC4AAAAJ:zYLM7Y9cAGgC.
  10. Blake, David; Timmermann, Allan (January 1998). Mutual fund performance: evidence from the UK. European Finance Review Volume 2(1): Kluwer Academic Publishers. pp. 57-77. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=38t3MC4AAAAJ&citation_for_view=38t3MC4AAAAJ:Y0pCki6q_DkC.
  11. Pesaran, M. Hashem; Pettenuzzo, Davide; Timmermann, Allan (October 2006). Forecasting time series subject to multiple structural breaks. The Review of Economic Studies Volume 73 (4): Oxford University Press. pp. 1057-1084. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=38t3MC4AAAAJ&citation_for_view=38t3MC4AAAAJ:eQOLeE2rZwMC.
  12. Pesaran, M. Hashem; Timmermann, Allan (January 2000). A recursive modelling approach to predicting UK stock returns. The Economic Journal Volume 110 (460): Blackwell Publishers Ltd. pp. 159-191. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=38t3MC4AAAAJ&citation_for_view=38t3MC4AAAAJ:Tyk-4Ss8FVUC.
  13. Guidolin, Massimo; Timmermann, Allan (April 2008). International asset allocation under regime switching, skew, and kurtosis preferences. Review of Financial Studies Volume 21 (2): Oxford University Press. pp. 889-935. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=38t3MC4AAAAJ&citation_for_view=38t3MC4AAAAJ:LkGwnXOMwfcC.

External links