← All authors Allan Timmermann University of California, San Diego (from arXiv:2601.08962, 2026) · ORCID · OpenAlex
123 papers in scope · 122 published · 1 on the econ.EM arXiv · 18,749 citations · h-index 68 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Zhi Liu Kim Christensen Luca Barbaglia Boyuan Zhang Ulrich Hounyo Jonas Striaukas Éric Ghysels Andrii Babii Qiang Liu José E. Figueroa-López Mark Podolskij Bei Wu Yiyao Luo Carsten Chong Tetsuya Takabatake Chen Zhang Viktor Todorov Zhou Wang Ruijun Bu Hanchao Wang Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 123)
published 2025 · Journal of Financial Economics · 8 citations · first circulated 2023
Breaks in the Phillips Curve: Evidence From Panel Data
published 2024 · Journal of Applied Econometrics · 13 citations · first circulated 2023
with Simon C. Smith, Jonathan H. Wright, Simon Smith, Jonathan L. Wright
Monetary Policy in Uncertain Times
published 2024 · FEDS Notes
with Simon C. Smith, Jonathan H. Wright
working paper 2024 · arXiv · 4 citations · first circulated 2022
Comparing forecasting performance with panel data
published 2023 · International Journal of Forecasting · 22 citations · first circulated 2019
Predictive modeling of financial data
published 2023 · Journal of Econometrics · 1 citations
Search and Predictability of Prices in the Housing Market
published 2023 · Management Science · 26 citations · first circulated 2021
with Stig V. Møller, Thomas Pedersen, Erik Christian Montes Schütte
Payout suspensions during the Covid-19 pandemic
published 2023 · Economics Letters · 12 citations
Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model
published 2023 · Journal of Econometrics · 10 citations
Conditional rotation between forecasting models
published 2021 · Journal of Econometrics · 12 citations
Comparing forecasting performance in cross-sections
published 2021 · Journal of Econometrics · 7 citations
Have risk premia vanished?
published 2021 · Journal of Financial Economics · 50 citations
with Simon C. Smith
Break Risk
published 2020 · Review of Financial Studies · 63 citations · first circulated 2018
with Simon C. Smith
Picking funds with confidence
published 2020 · Journal of Financial Economics · 45 citations · first circulated 2017
Cash Flow News and Stock Price Dynamics
published 2020 · The Journal of Finance · 44 citations · first circulated 2019
Introduction to the 2017 Hal White Memorial Lecture
published 2020 · Journal of Financial Econometrics
with Fabio Trojani
Investor Information Acquisition and Money Market Fund Risk Rebalancing during the 2011–2012 Eurozone Crisis*
published 2019 · Review of Financial Studies · 72 citations · first circulated 2016
with Emily Gallagher, Lawrence Schmidt, Russ Wermers, Russell R. Wermers
Variable selection in panel models with breaks
published 2019 · Journal of Econometrics · 21 citations · first circulated 2018
THE ET INTERVIEW: PROFESSOR HASHEM PESARAN
published 2018 · Econometric Theory
Forecasting Methods in Finance
published 2018 · Annual Review of Financial Economics · 71 citations
Network centrality and delegated investment performance
published 2018 · Journal of Financial Economics · 179 citations
with Alberto G. Rossi, David Blake, Ian Tonks, Russ Wermers
Bond Return Predictability: Economic Value and Links to the Macroeconomy
published 2017 · Management Science · 120 citations · first circulated 2014
Guest Editors’ Introduction: Regime Switching and Threshold Models
published 2017 · Journal of Business and Economic Statistics · 18 citations
JBES HIGHLIGHTS | Editor’s Introduction: Regime Switching and Threshold Models
published 2017 · AMSTAT news: the membership magazine of the American Statistical Association
with Kung Sik Chan
no link
Forecasting in Economics and Finance
published 2016 · Annual Review of Economics · 70 citations
Runs on Money Market Mutual Funds
published 2016 · American Economic Review · 280 citations · first circulated 2014
with Lawrence Schmidt, Russ Wermers
A MIDAS approach to modeling first and second moment dynamics
published 2016 · Journal of Econometrics · 46 citations · first circulated 2014
Forecasting Macroeconomic Variables Under Model Instability
published 2015 · Journal of Business and Economic Statistics · 37 citations
Complete subset regressions with large-dimensional sets of predictors
published 2015 · Journal of Economic Dynamics and Control · 48 citations
Modeling Covariance Risk in Merton's ICAPM
published 2015 · Review of Financial Studies · 92 citations
with Alberto G. Rossi
Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics
published 2015 · Econometrica · 13 citations
Forecasting stock returns under economic constraints
published 2014 · Journal of Financial Economics · 314 citations · first circulated 2012
Forecasting commodity price indexes using macroeconomic and financial predictors
published 2014 · International Journal of Forecasting · 179 citations
with Antonio Gargano
Complete subset regressions
published 2013 · Journal of Econometrics · 231 citations
Dynamic econometric modeling and forecasting in the presence of instability
published 2013 · Journal of Econometrics · 5 citations
with Herman K. van Dijk
Decentralized Investment Management: Evidence from the Pension Fund Industry
published 2013 · The Journal of Finance · 136 citations · first circulated 2012
with David Blake, Alberto G. Rossi, Ian Tonks, Russ Wermers, Russell R. Wermers
The cross section of conditional mutual fund performance in European stock markets
published 2013 · Journal of Financial Economics · 98 citations · first circulated 2012
with Ayelen Banegas, Ben Gillen, Russ Wermers
Optimal Convergence Trade Strategies
published 2013 · Review of Financial Studies · 81 citations
with Jun Liu
Combining expert forecasts: Can anything beat the simple average?
published 2012 · International Journal of Forecasting · 322 citations
with Véronique Genre, Geoff Kenny, Aidan Meyler
Regime Changes and Financial Markets
published 2012 · Annual Review of Financial Economics · 412 citations · first circulated 2011
with Andrew Ang
Do return prediction models add economic value?
published 2012 · Journal of Banking & Finance · 188 citations · first circulated 2011
with Tolga Cenesizoglu
Forecast Rationality Tests Based on Multi-Horizon Bounds
published 2012 · Journal of Business and Economic Statistics · 140 citations · first circulated 2011
Rejoinder
published 2012 · Journal of Business and Economic Statistics · 2 citations
Variable selection, estimation and inference for multi-period forecasting problems
published 2011 · Journal of Econometrics · 94 citations · first circulated 2009
Predictability of stock returns and asset allocation under structural breaks” [J. Econometrics 164 (2011) 60–78
published 2011 · Journal of Econometrics · 220 citations · first circulated 2010
Annals issue on forecasting—Guest editors’ introduction
published 2011 · Journal of Econometrics
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach
published 2010 · Journal of Business and Economic Statistics · 65 citations
Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion
published 2010 · Journal of Monetary Economics · 356 citations
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts☆
published 2010 · Journal of Financial Economics · 306 citations
Common factors in Latin America's business cycles
published 2010 · Journal of Development Economics · 17 citations · first circulated 2006
with Marco Aiolfi, Luis Catão
Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability
published 2009 · Journal of Financial Econometrics · 8 citations
with Marco Aiolfi, María Pía Rodríguez, Marius Rodriguez
Forecast Combination With Entry and Exit of Experts
published 2009 · Journal of Business and Economic Statistics · 130 citations · first circulated 2006
with Carlos Capistrán
Testing Dependence Among Serially Correlated Multicategory Variables
published 2009 · Journal of the American Statistical Association · 221 citations
Disagreement and Biases in Inflation Expectations
published 2009 · Journal of money credit and banking · 276 citations · first circulated 2006
with Carlos Capistrán
Forecasts of US short-term interest rates: A flexible forecast combination approach
published 2008 · Journal of Econometrics · 103 citations · first circulated 2005
with Massimo Guidolin
International asset allocation under regime switching, skew, and kurtosis preferences
published 2008 · Review of Financial Studies · 425 citations · first circulated 2005
with Massimo Guidolin
Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?
published 2008 · Journal of the European Economic Association · 278 citations
Economic Forecasting
published 2008 · Journal of Economic Literature · 237 citations
Elusive return predictability
published 2008 · International Journal of Forecasting · 249 citations
Size and Value Anomalies under Regime Shifts
published 2007 · Journal of Financial Econometrics · 120 citations · first circulated 2005
with Massimo Guidolin
Testing Forecast Optimality Under Unknown Loss
published 2007 · Journal of the American Statistical Association · 175 citations
Reply to the discussion of Elusive Return Predictability
published 2007 · International Journal of Forecasting · 3 citations
Learning, Structural Instability, and Present Value Calculations
published 2007 · Econometric Reviews · 24 citations · first circulated 2006
Asset allocation under multivariate regime switching
published 2007 · Journal of Economic Dynamics and Control · 414 citations · first circulated 2005
with Massimo Guidolin
Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis
published 2006 · The Journal of Finance · 344 citations · first circulated 2003
with Robert Kosowski, Russ Wermers, Halbert White
Properties of optimal forecasts under asymmetric loss and nonlinearity
published 2006 · Journal of Econometrics · 192 citations · first circulated 2004
Instability of return prediction models
published 2006 · Journal of Empirical Finance · 455 citations · first circulated 2005
with Bradley S. Paye
Selection of estimation window in the presence of breaks
published 2006 · Journal of Econometrics · 472 citations
Properties of equilibrium asset prices under alternative learning schemes
published 2006 · Journal of Economic Dynamics and Control · 51 citations · first circulated 2003
with Massimo Guidolin
An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns
published 2006 · Journal of Applied Econometrics · 271 citations · first circulated 2004
with Massimo Guidolin
OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING*
published 2005 · International Economic Review · 25 citations
Estimation and Testing of Forecast Rationality under Flexible Loss
published 2005 · The Review of Economic Studies · 344 citations
Relative Performance Evaluation Contracts and Asset Market Equilibrium
published 2005 · The Economic Journal · 68 citations
with Sandeep Kapur
Persistence in forecasting performance and conditional combination strategies
published 2005 · Journal of Econometrics · 365 citations
with Marco Aiolfi
Completion time structures of stock price movements
published 2005 · Annals of Finance · 14 citations
Returns from active management in international equity markets: Evidence from a panel of UK pension funds
published 2005 · Journal of Asset Management · 23 citations · first circulated 2002
with David Blake
Term structure of risk under alternative econometric specifications
published 2005 · Journal of Econometrics · 105 citations · first circulated 2004
with Massimo Guidolin
REAL-TIME ECONOMETRICS
published 2005 · Econometric Theory · 62 citations · first circulated 2004
International Asset Allocation with Time‐Varying Investment Opportunities
published 2005 · The Journal of Business · 14 citations · first circulated 2002
with David Blake
Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns
published 2004 · The Economic Journal · 213 citations · first circulated 2003
with Massimo Guidolin
Duration Dependence in Stock Prices
published 2004 · Journal of Business and Economic Statistics · 262 citations · first circulated 2003
Optimal forecast combinations under general loss functions and forecast error distributions
published 2004 · Journal of Econometrics · 175 citations · first circulated 2002
Forecasting Time Series Subject to Multiple Structural Breaks
published 2004 · The Review of Economic Studies · 114 citations
Properties of Optimal Forecasts
published 2004 · Econometric Society 2004 North American Winter Meetings · 7 citations · first circulated 2003
no link
Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching
published 2004 · Econometric Society 2004 Australasian Meetings · 30 citations
with Massimo Guidolin
How costly is it to ignore breaks when forecasting the direction of a time series?
published 2003 · International Journal of Forecasting · 177 citations
Recursive Modeling of Nonlinear Dynamics in UK Stock Returns
published 2003 · Manchester School · 1 citations
with Massimo Guidolin
Efficient market hypothesis and forecasting
published 2003 · International Journal of Forecasting · 512 citations · first circulated 2002
with Clive W. J. Granger
Small Sample Properties of Forecasts from Autoregressive Models Under Structural Breaks
published 2003 · Journal of Econometrics · 38 citations
Forecast evaluation with shared data sets
published 2002 · International Journal of Forecasting · 6 citations
with Ryan J. Sullivan, Halbert White
Option prices under Bayesian learning: implied volatility dynamics and predictive densities
published 2002 · Journal of Economic Dynamics and Control · 37 citations · first circulated 2001
with Massimo Guidolin
Market timing and return prediction under model instability
published 2002 · Journal of Empirical Finance · 317 citations
Performance clustering and incentives in the UK pension fund industry
published 2002 · Journal of Asset Management · 82 citations
with David Blake, Bruce N. Lehmann
Dangers of data mining: The case of calendar effects in stock returns
published 2001 · Journal of Econometrics · 289 citations · first circulated 1998
with Ryan J. Sullivan, Halbert White
Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities
published 2001 · Journal of Econometrics · 195 citations
with Gabriel Pérez-Quirós
Structural Breaks, Incomplete Information, and Stock Prices
published 2001 · Journal of Business and Economic Statistics · 184 citations
Density forecasting in economics and finance
published 2000 · Journal of Forecasting · 56 citations
Firm Size and Cyclical Variations in Stock Returns
published 2000 · The Journal of Finance · 679 citations · first circulated 1999
with Gabriel Pérez-Quirós
Moments of Markov switching models
published 2000 · Journal of Econometrics · 348 citations · first circulated 1999
A Recursive Modelling Approach to Predicting UK Stock Returns
published 2000 · The Economic Journal · 259 citations · first circulated 1996
Data mining with local model specification uncertainty: a discussion of Hoover and Perez
published 1999 · Econometrics Journal · 18 citations
with Clive W. J. Granger
Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap
published 1999 · The Journal of Finance · 1054 citations · first circulated 1997
with Ryan J. Sullivan, Halbert White
Asset Allocation Dynamics and Pension Fund Performance
published 1999 · The Journal of Business · 364 citations
with David Blake, Bruce N. Lehmann
Risk sharing and transition costs in the reform of pension systems in Europe
published 1999 · Economic Policy · 73 citations
with David Miles
The hazards of mutual fund underperformance: A Cox regression analysis
published 1999 · Journal of Empirical Finance · 122 citations · first circulated 1998
Mutual Fund Performance: Evidence from the UK
published 1998 · European Finance Review · 242 citations
with David Blake
Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning
published 1996 · The Review of Economic Studies · 272 citations
Variation in Expected Stock Returns: Evidence on the Pricing of Equities from a Cross-section of UK Companies
published 1996 · Economica · 48 citations
with David Miles
An assessment of the economic value of non‐linear foreign exchange rate forecasts
published 1995 · Journal of Forecasting · 80 citations
with Steve Satchell
Predictability of Stock Returns: Robustness and Economic Significance
published 1995 · The Journal of Finance · 1017 citations
On the optimality of adaptive expectations: Muth revisited
published 1995 · International Journal of Forecasting · 22 citations
with Steve Satchell
Scales and stock markets
published 1995 · Nature · 8 citations
Cointegration tests of present value models with a time‐varying discount factor
published 1995 · Journal of Applied Econometrics · 74 citations
Present value models with feedback
published 1994 · Journal of Economic Dynamics and Control · 24 citations
Why do dividend yields forecast stock returns?
published 1994 · Economics Letters · 5 citations
Forecasting stock returns an examination of stock market trading in the presence of transaction costs
published 1994 · Journal of Forecasting · 132 citations
Optimal properties of exponentially weighted forecasts in the presence of different information sources
published 1994 · Economics Letters
with Steve Satchell
A generalization of the non-parametric Henriksson-Merton test of market timing
published 1994 · Economics Letters · 101 citations · first circulated 1992
How Learning in Financial Markets Generates Excess Volatility and Predictability in Stock Prices
published 1993 · The Quarterly Journal of Economics · 465 citations
Learning, Specification Search and Market Efficiency. With an Application to the Danish Stock Market
published 1993 · Scandinavian Journal of Economics · 4 citations
Kaos" og ikke-lineariteter i de finansielle markeder i Danmark
published 1993 · Nationaløkonomisk tidsskrift
no link
A Simple Nonparametric Test of Predictive Performance
published 1992 · Journal of Business and Economic Statistics · 623 citations
Udviklingen i de danske aktiekurser 1914-1990
published 1992 · Nationaløkonomisk tidsskrift · 2 citations
no link
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