Allan Timmermann

Recent Papers
Research Interests
Editorial Works 

Recent Papers

Working Papers

Learning, Structural Instability and Present Value Calculations (with H. Pesaran and D. Pettenuzzo).

Disagreement and Biases in Inflation Expectations (with Carlos Capistran)

International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences (with Massimo Guidolin)

Predictability of Stock Returns and Asset Allocation under Structural Breaks (with Davide Pettenuzzo)

Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach (with Massimo Guidolin)

Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching (with Massimo Guidolin)

Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? (with Graham Elliott and Ivana Komunjer)

Testable Implications of Forecast Optimality (with Andrew J. Patton)

Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity (with Andrew J. Patton)

Common Factors in Latin America’s Business Cycles (with Marco Aiolfi and Luis Catão)

Size and Value Anomalies under Regime Shifts (with Massimo Guidolin)

Performance Measurement and Evaluation (with Bruce Lehmann)

Volatility Regimes and Global Equity Returns (with Luis Catão)

Forthcoming Papers

Forecasting Time Series Subject to Multiple Structural Breaks (with M. Hashem Pesaran and Davide Pettenuzzo). Forthcoming in Review of Economic Studies

Can Mutual Fund Stars Really Pick Stocks? New Evidence from a Bootstrap Analysis (with Robert Kosowski, Russ Wermers, and Hal White). Forthcoming in Journal of Finance.

Term Structure of Risk under Alternative Econometric Specifications. Forthcoming in Journal of Econometrics (with Massimo Guidolin)

Selection of Estimation Window in the Presence of Breaks. Forthcoming in Journal of Econometrics (with M. Hashem Pesaran)

Instability of Return Prediction Models (with Bradley S. Paye). Forthcoming in Journal of Empirical Finance.

Persistence in Forecasting Performance and Conditional Combination Strategies. Forthcoming in Journal of Econometrics (with Marco Aiolfi)

Properties of Equilibrium Asset Prices Under Alternative Learning Schemes (with Massimo Guidolin). Forthcoming in Journal of Economic Dynamics and Control.

Forecast Combinations. Forthcoming in Handbook of Economic Forecasting.

An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns. Forthcoming in Journal of Applied Economics (with Massimo Guidolin)

Recent Publications

Estimation and Testing of Forecast Rationality under Flexible Loss. Review of Economic Studies (2005) 72, 1107–1125 (with Graham Elliott and Ivana Komunjer)

Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks. Journal of Econometrics, 2005, 183-217 (with M. Hashem Pesaran)

International Asset Allocation with Time-Varying Investment Opportunities. Journal of Business, 2005, 71-98 (with David Blake)

Real Time Econometrics. Econometric Theory, 2005, 212-231 (with Hashem Pesaran)

Optimal Forecast Combination Under Regime Switching. International Economic Review, 2005, 1081-1102 (with Graham Elliott)

Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns. Economic Journal, 2005, 111-143 (with Massimo Guidolin)

Completion Time Structures of Stock Price Movements. Annals of Finance, 2005, 193-226 (with Asger Lunde)

Relative Performance Evaluation Contracts and Asset Market Equilibrium. Economic Journal, 2005, 1077-11202 (with Sandeep Kapur)

Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets. Journal of Business and Economic Statistics, 2004, vol 22, 253-273 (with Asger Lunde)

How costly is it to ignore breaks when forecasting the direction of a time series? International Journal of Forecasting, 2004, 411-424 (with M. Hashem Pesaran)

Media Coverage

Performance Persistence in Mutual Funds: An Independent Assessment of the Studies Prepared by Charles River Associates for the Investment Management Association (with David Blake)

The Economist: The Law of Averages

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