| Year |
Citation |
Score |
| 2020 |
Pettenuzzo D, Sabbatucci R, Timmermann A. Cash Flow News and Stock Price Dynamics Journal of Finance. 75: 2221-2270. DOI: 10.1111/Jofi.12901 |
0.394 |
|
| 2020 |
Gallagher EA, Schmidt LDW, Timmermann A, Wermers R. Investor Information Acquisition and Money Market Fund Risk Rebalancing during the 2011–2012 Eurozone Crisis Review of Financial Studies. 33: 1445-1483. DOI: 10.1093/Rfs/Hhz071 |
0.368 |
|
| 2020 |
Groenborg N, Lunde A, Timmermann AG, Wermers R. Picking Funds with Confidence Journal of Financial Economics. DOI: 10.1016/J.Jfineco.2020.07.003 |
0.397 |
|
| 2019 |
Timmermann A. The ET Interview: Professor Hashem Pesaran Econometric Theory. 35: 685-728. DOI: 10.2139/Ssrn.3241808 |
0.456 |
|
| 2019 |
Smith SC, Timmermann A, Zhu Y. Variable selection in panel models with breaks Journal of Econometrics. 212: 323-344. DOI: 10.1016/J.Jeconom.2019.04.033 |
0.39 |
|
| 2018 |
Timmermann AG. Forecasting Methods in Finance Review of Financial Economics. 10: 449-479. DOI: 10.1146/Annurev-Financial-110217-022713 |
0.444 |
|
| 2018 |
Rossi AG, Blake DP, Timmermann AG, Tonks I, Wermers R. Network centrality and delegated investment performance Journal of Financial Economics. 128: 183-206. DOI: 10.1016/J.Jfineco.2018.02.003 |
0.575 |
|
| 2017 |
Gargano A, Pettenuzzo D, Timmermann AG. Bond Return Predictability: Economic Value and Links to the Macroeconomy Management Science. 65: 508-540. DOI: 10.1287/Mnsc.2017.2829 |
0.486 |
|
| 2017 |
Pettenuzzo D, Timmermann AG. Forecasting Macroeconomic Variables Under Model Instability Journal of Business & Economic Statistics. 35: 183-201. DOI: 10.1080/07350015.2015.1051183 |
0.427 |
|
| 2016 |
Schmidt LDW, Timmermann AG, Wermers R. Runs on Money Market Mutual Funds The American Economic Review. 106: 2625-2657. DOI: 10.2139/Ssrn.2024282 |
0.484 |
|
| 2016 |
Elliott G, Timmermann AG. Forecasting in Economics and Finance Annual Review of Economics. 8: 81-110. DOI: 10.1146/Annurev-Economics-080315-015346 |
0.391 |
|
| 2016 |
Pettenuzzo D, Timmermann A, Valkanov R. A MIDAS approach to modeling first and second moment dynamics Journal of Econometrics. 193: 315-334. DOI: 10.1016/J.Jeconom.2016.04.009 |
0.425 |
|
| 2015 |
Hansen PR, Timmermann A. Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics Econometrica. 83: 2485-2505. DOI: 10.3982/Ecta10581 |
0.342 |
|
| 2015 |
Rossi AG, Timmermann A. Modeling covariance risk in Merton's ICAPM Review of Financial Studies. 28: 1428-1461. DOI: 10.1093/Rfs/Hhv015 |
0.656 |
|
| 2015 |
Elliott G, Gargano A, Timmermann A. Complete subset regressions with large-dimensional sets of predictors Journal of Economic Dynamics and Control. 54: 86-110. DOI: 10.1016/J.Jedc.2015.03.004 |
0.369 |
|
| 2014 |
Pettenuzzo D, Timmermann AG, Valkanov RI. Forecasting Stock Returns Under Economic Constraints Journal of Financial Economics. 114: 517-553. DOI: 10.2139/Ssrn.2186574 |
0.487 |
|
| 2014 |
Gargano A, Timmermann A. Forecasting commodity price indexes using macroeconomic and financial predictors International Journal of Forecasting. 30: 825-843. DOI: 10.1016/J.Ijforecast.2013.09.003 |
0.491 |
|
| 2013 |
Banegas A, Gillen BJ, Timmermann AG, Wermers R. The cross section of conditional mutual fund performance in European stock markets Journal of Financial Economics. 108: 699-726. DOI: 10.2139/Ssrn.1787794 |
0.767 |
|
| 2013 |
Blake D, Rossi AG, Timmermann A, Tonks I, Wermers R. Decentralized Investment Management: Evidence from the Pension Fund Industry Journal of Finance. 68: 1133-1178. DOI: 10.1111/Jofi.12024 |
0.616 |
|
| 2013 |
Liu J, Timmermann A. Optimal convergence trade strategies Review of Financial Studies. 26: 1048-1086. DOI: 10.1093/Rfs/Hhs130 |
0.409 |
|
| 2013 |
Elliott G, Gargano A, Timmermann A. Complete subset regressions Journal of Econometrics. 177: 357-373. DOI: 10.1016/J.Jeconom.2013.04.017 |
0.448 |
|
| 2013 |
Timmermann A, Van Dijk HK. Dynamic econometric modeling and forecasting in the presence of instability Journal of Econometrics. 177: 131-133. DOI: 10.1016/J.Jeconom.2013.04.001 |
0.355 |
|
| 2013 |
Genre V, Kenny G, Meyler A, Timmermann A. Combining expert forecasts: Can anything beat the simple average? International Journal of Forecasting. 29: 108-121. DOI: 10.1016/J.Ijforecast.2012.06.004 |
0.4 |
|
| 2012 |
Ang A, Timmermann A. Regime changes and financial markets Annual Review of Financial Economics. 4: 313-337. DOI: 10.1146/Annurev-Financial-110311-101808 |
0.461 |
|
| 2012 |
Patton AJ, Timmermann A. Forecast rationality tests based on multi-horizon bounds Journal of Business and Economic Statistics. 30: 1-17. DOI: 10.1080/07350015.2012.634337 |
0.386 |
|
| 2012 |
Cenesizoglu T, Timmermann A. Do return prediction models add economic value? Journal of Banking and Finance. 36: 2974-2987. DOI: 10.1016/J.Jbankfin.2012.06.008 |
0.788 |
|
| 2011 |
Patton AJ, Timmermann A. Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach Journal of Business & Economic Statistics. 29: 397-410. DOI: 10.1198/Jbes.2010.08347 |
0.435 |
|
| 2011 |
Pettenuzzo D, Timmermann A. Predictability of stock returns and asset allocation under structural breaks Journal of Econometrics. 164: 60-78. DOI: 10.1016/J.Jeconom.2011.02.019 |
0.512 |
|
| 2011 |
Pesaran MH, Pick A, Timmermann A. Variable selection, estimation and inference for multi-period forecasting problems Journal of Econometrics. 164: 173-187. DOI: 10.1016/J.Jeconom.2011.02.018 |
0.431 |
|
| 2011 |
Aiolfi M, Catão LAV, Timmermann A. Common factors in Latin America's business cycles Journal of Development Economics. 95: 212-228. DOI: 10.1016/J.Jdeveco.2010.04.003 |
0.326 |
|
| 2010 |
Patton AJ, Timmermann A. Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion Journal of Monetary Economics. 57: 803-820. DOI: 10.1016/J.Jmoneco.2010.07.001 |
0.431 |
|
| 2010 |
Patton AJ, Timmermann A. Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts Journal of Financial Economics. 98: 605-625. DOI: 10.1016/J.Jfineco.2010.06.006 |
0.474 |
|
| 2009 |
Pesaran MH, Timmermann AG. Testing Dependence among Serially Correlated Multi-Category Variables Journal of the American Statistical Association. 104: 325-337. DOI: 10.1198/Jasa.2009.0113 |
0.358 |
|
| 2009 |
Aiolfi M, Rodriguez M, Timmermann A. Understanding analysts' earnings expectations: Biases, nonlinearities, and predictability Journal of Financial Econometrics. 8: 305-334. DOI: 10.1093/Jjfinec/Nbp024 |
0.665 |
|
| 2009 |
Guidolin M, Timmermann A. Forecasts of US short-term interest rates: A flexible forecast combination approach Journal of Econometrics. 150: 297-311. DOI: 10.1016/J.Jeconom.2008.12.004 |
0.657 |
|
| 2008 |
Elliott G, Komunjer I, Timmermann A. Biases in macroeconomic forecasts: Irrationality or asymmetric loss? Journal of the European Economic Association. 6: 122-157. DOI: 10.1162/Jeea.2008.6.1.122 |
0.37 |
|
| 2008 |
Guidolin M, Timmermann A. International asset allocation under regime switching, skew, and kurtosis preferences Review of Financial Studies. 21: 889-935. DOI: 10.1093/Rfs/Hhn006 |
0.687 |
|
| 2008 |
Guidolin M, Timmermann A. Size and value anomalies under regime shifts Journal of Financial Econometrics. 6: 1-48. DOI: 10.1093/Jjfinec/Nbm021 |
0.686 |
|
| 2008 |
Timmermann A. Reply to the discussion of Elusive Return Predictability International Journal of Forecasting. 24: 29-30. DOI: 10.1016/J.Ijforecast.2007.10.001 |
0.347 |
|
| 2008 |
Timmermann A. Elusive return predictability International Journal of Forecasting. 24: 1-18. DOI: 10.1016/J.Ijforecast.2007.07.008 |
0.473 |
|
| 2008 |
Lehmann B, Timmermann A. Performance Measurement and Evaluation Handbook of Financial Intermediation and Banking. 191-258. DOI: 10.1016/B978-044451558-2.50013-1 |
0.437 |
|
| 2007 |
Pesaran MH, Pettenuzzo D, Timmermann AG. Learning, Structural Instability and Present Value Calculations Econometric Reviews. 26: 253-288. DOI: 10.2139/Ssrn.874993 |
0.33 |
|
| 2007 |
Patton AJ, Timmermann A. Testing forecast optimality under unknown loss Journal of the American Statistical Association. 102: 1172-1184. DOI: 10.1198/016214506000001176 |
0.378 |
|
| 2007 |
Timmermann A. An evaluation of the World Economic Outlook forecasts Imf Staff Papers. 54: 1-33. DOI: 10.1057/Palgrave.Imfsp.9450007 |
0.422 |
|
| 2007 |
Guidolin M, Timmermann A. Asset allocation under multivariate regime switching Journal of Economic Dynamics and Control. 31: 3503-3544. DOI: 10.1016/J.Jedc.2006.12.004 |
0.686 |
|
| 2007 |
Guidolin M, Timmermann A. Properties of equilibrium asset prices under alternative learning schemes Journal of Economic Dynamics and Control. 31: 161-217. DOI: 10.1016/J.Jedc.2005.10.006 |
0.632 |
|
| 2007 |
Patton AJ, Timmermann A. Properties of optimal forecasts under asymmetric loss and nonlinearity Journal of Econometrics. 140: 884-918. DOI: 10.1016/J.Jeconom.2006.07.018 |
0.361 |
|
| 2007 |
Pesaran MH, Timmermann A. Selection of estimation window in the presence of breaks Journal of Econometrics. 137: 134-161. DOI: 10.1016/J.Jeconom.2006.03.010 |
0.407 |
|
| 2006 |
Paye BS, Timmermann AG. Instability of Return Prediction Models Journal of Empirical Finance. 13: 274-315. DOI: 10.2139/Ssrn.730844 |
0.774 |
|
| 2006 |
Kosowski R, Timmermann AG, Wermers R, White HL. Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis Journal of Finance. 61: 2551-2595. DOI: 10.2139/Ssrn.414441 |
0.32 |
|
| 2006 |
Capistrán C, Timmermann AG. Disagreement and Biases in Inflation Expectations Journal of Money, Credit and Banking. 41: 365-396. DOI: 10.2139/Ssrn.1270550 |
0.447 |
|
| 2006 |
Capistrán C, Timmermann AG. Forecast Combination with Entry and Exit of Experts Journal of Business & Economic Statistics. 27: 428-440. DOI: 10.2139/Ssrn.1270549 |
0.358 |
|
| 2006 |
Hashem Pesaran M, Pettenuzzo D, Timmermann A. Forecasting time series subject to multiple structural breaks Review of Economic Studies. 73: 1057-1084. DOI: 10.1111/J.1467-937X.2006.00408.X |
0.442 |
|
| 2006 |
Aiolfi M, Timmermann A. Persistence in forecasting performance and conditional combination strategies Journal of Econometrics. 135: 31-53. DOI: 10.1016/J.Jeconom.2005.07.015 |
0.424 |
|
| 2006 |
Guidolin M, Timmermann A. Term structure of risk under alternative econometric specifications Journal of Econometrics. 131: 285-308. DOI: 10.1016/J.Jeconom.2005.01.033 |
0.639 |
|
| 2006 |
Guidolin M, Timmermann A. An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns Journal of Applied Econometrics. 21: 1-22. DOI: 10.1002/Jae.824 |
0.624 |
|
| 2005 |
Patton AJ, Timmermann AG. Testable implications of forecast optimality Lse Research Online Documents On Economics. DOI: 10.2139/Ssrn.688861 |
0.38 |
|
| 2005 |
Elliott G, Timmermann A. Optimal forecast combination under regime switching International Economic Review. 46: 1081-1102. DOI: 10.1111/J.1468-2354.2005.00361.X |
0.355 |
|
| 2005 |
Kapur S, Timmermann A. Relative performance evaluation contracts and asset market equilibrium Economic Journal. 115: 1077-1102. DOI: 10.1111/J.1468-0297.2005.01033.X |
0.402 |
|
| 2005 |
Guidolin M, Timmermann A. Economic implications of bull and bear regimes in UK stock and bond returns Economic Journal. 115: 111-143. DOI: 10.1111/J.1468-0297.2004.00962.X |
0.672 |
|
| 2005 |
Timmermann A, Blake D. International asset allocation with time-varying investment opportunities Journal of Business. 78: 71-98. DOI: 10.1086/426520 |
0.479 |
|
| 2005 |
Blake D, Timmermann A. Returns from active management in international equity markets: Evidence from a panel of UK pension funds Journal of Asset Management. 6: 5-20. DOI: 10.1057/Palgrave.Jam.2240162 |
0.459 |
|
| 2005 |
Pesaran MH, Timmermann A. Small sample properties of forecasts from autoregressive models under structural breaks Journal of Econometrics. 129: 183-217. DOI: 10.1016/J.Jeconom.2004.09.007 |
0.41 |
|
| 2005 |
Lunde A, Timmermann A. Completion time structures of stock price movements Annals of Finance. 1: 293-326. DOI: 10.1007/S10436-005-0012-0 |
0.454 |
|
| 2004 |
Elliott G, Timmermann AG. Optimal Forecast Combinations Under General Loss Functions and Forecast Error Distributions Journal of Econometrics. 122: 47-79. DOI: 10.2139/Ssrn.318723 |
0.338 |
|
| 2004 |
Lunde A, Timmermann A. Duration dependence in stock prices: An analysis of bull and bear markets Journal of Business and Economic Statistics. 22: 253-273. DOI: 10.1198/073500104000000136 |
0.459 |
|
| 2004 |
Pesaran MH, Timmermann A. How costly is it to ignore breaks when forecasting the direction of a time series? International Journal of Forecasting. 20: 411-425. DOI: 10.1016/S0169-2070(03)00068-2 |
0.426 |
|
| 2004 |
Timmermann A, Granger CWJ. Efficient market hypothesis and forecasting International Journal of Forecasting. 20: 15-27. DOI: 10.1016/S0169-2070(03)00012-8 |
0.474 |
|
| 2003 |
Guidolin M, Timmermann AG. Recursive Modeling of Nonlinear Dynamics in UK Stock Returns The Manchester School. 71: 381-395. DOI: 10.1111/1467-9957.00352 |
0.655 |
|
| 2003 |
Sullivan R, Timmermann A, White H. Forecast evaluation with shared data sets International Journal of Forecasting. 19: 217-227. DOI: 10.1016/S0169-2070(01)00140-6 |
0.438 |
|
| 2003 |
Guidolin M, Timmermann A. Option prices under Bayesian learning: Implied volatility dynamics and predictive densities Journal of Economic Dynamics and Control. 27: 717-769. DOI: 10.1016/S0165-1889(01)00069-0 |
0.68 |
|
| 2002 |
Blake D, Lehmann BN, Timmermann A. Performance Clustering and Incentives in the UK Pension Fund Industry Journal of Asset Management. 3: 173-194. DOI: 10.1057/Palgrave.Jam.2240073 |
0.344 |
|
| 2002 |
Pesaran MH, Timmermann A. Market timing and return prediction under model instability Journal of Empirical Finance. 9: 495-510. DOI: 10.1016/S0927-5398(02)00007-5 |
0.48 |
|
| 2001 |
Timmermann A. Structural breaks, incomplete information, and stock prices Journal of Business and Economic Statistics. 19: 299-314. DOI: 10.1198/073500101681019954 |
0.438 |
|
| 2001 |
Sullivan R, Timmermann A, White H. Dangers of data mining: The case of calendar effects in stock returns Journal of Econometrics. 105: 249-286. DOI: 10.1016/S0304-4076(01)00077-X |
0.358 |
|
| 2001 |
Perez-Quiros G, Timmermann A. Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities Journal of Econometrics. 103: 259-306. DOI: 10.1016/S0304-4076(01)00045-8 |
0.486 |
|
| 2000 |
Pesaran MH, Timmermann AG. A Recursive Modelling Approach to Predicting UK Stock Returns The Economic Journal. 110: 159-191. DOI: 10.1111/1468-0297.00495 |
0.514 |
|
| 2000 |
Perez-Quiros G, Timmermann A. Firm Size and Cyclical Variations in Stock Returns Journal of Finance. 55: 1229-1262. DOI: 10.1111/0022-1082.00246 |
0.465 |
|
| 2000 |
Timmermann A. Moments of Markov switching models Journal of Econometrics. 96: 75-111. DOI: 10.1016/S0304-4076(99)00051-2 |
0.339 |
|
| 2000 |
Timmermann A. Density forecasting in economics and finance Journal of Forecasting. 19: 231-234. DOI: 10.1002/1099-131X(200007)19:4<231::Aid-For771>3.0.Co;2-# |
0.323 |
|
| 1999 |
Miles D, Timmermann A. Risk sharing and transition costs in the reform of pension systems in Europe Economic Policy. 14: 252-286. DOI: 10.1111/1468-0327.00050 |
0.32 |
|
| 1999 |
Granger C, Timmermann A. Data mining with local model specification uncertainty: a discussion of Hoover and Perez Econometrics Journal. 2: 220-225. DOI: 10.1111/1368-423X.00028 |
0.325 |
|
| 1999 |
Sullivan R, Timmermann AG, White HL. Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap Journal of Finance. 54: 1647-1691. DOI: 10.1111/0022-1082.00163 |
0.374 |
|
| 1999 |
Blake D, Lehmann BN, Timmermann A. Asset Allocation Dynamics and Pension Fund Performance The Journal of Business. 72: 429-461. DOI: 10.1086/209623 |
0.459 |
|
| 1999 |
Lunde A, Timmermann A, Blake D. The hazards of mutual fund underperformance: A Cox regression analysis Journal of Empirical Finance. 6: 121-152. DOI: 10.1016/S0927-5398(98)00013-9 |
0.354 |
|
| 1998 |
Blake D, Timmermann A. Mutual Fund Performance: Evidence from the UK Review of Finance. 2: 57-77. DOI: 10.1023/A:1009729630606 |
0.42 |
|
| 1996 |
Miles D, Timmermann A. Variation in Expected Stock Returns: Evidence on the Pricing of Equities from a Cross-Section of UK Companies Economica. 63: 369-382. DOI: 10.2307/2555012 |
0.442 |
|
| 1996 |
Timmermann A. Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning The Review of Economic Studies. 63: 523-557. DOI: 10.2307/2297792 |
0.416 |
|
| 1995 |
Pesaran MH, Timmermann AG. Predictability of Stock Returns: Robustness and Economic Significance Journal of Finance. 50: 1201-1228. DOI: 10.1111/J.1540-6261.1995.Tb04055.X |
0.48 |
|
| 1995 |
Timmermann A. Scales and stock markets Nature. 376: 18-19. DOI: 10.1038/376018A0 |
0.352 |
|
| 1995 |
Satchell S, Timmermann A. On the optimality of adaptive expectations: Muth revisited International Journal of Forecasting. 11: 407-416. DOI: 10.1016/0169-2070(95)00588-7 |
0.323 |
|
| 1995 |
Timmermann A. Cointegration tests of present value models with a time‐varying discount factor Journal of Applied Econometrics. 10: 17-31. DOI: 10.1002/Jae.3950100103 |
0.456 |
|
| 1995 |
Satchell S, Timmermann A. An assessment of the economic value of non‐linear foreign exchange rate forecasts Journal of Forecasting. 14: 477-497. DOI: 10.1002/For.3980140602 |
0.447 |
|
| 1994 |
Timmermann A. Can Agents Learn to Form Rational Expectations? Some Results on Convergence and Stability of Learning in the UK Stock Market The Economic Journal. 104: 777-797. DOI: 10.2307/2234974 |
0.329 |
|
| 1994 |
Timmermann A. Present value models with feedback. Solutions, stability, bubbles, and some empirical evidence Journal of Economic Dynamics and Control. 18: 1093-1119. DOI: 10.1016/0165-1889(94)90049-3 |
0.393 |
|
| 1994 |
Satchell S, Timmermann A. Optimal properties of exponentially weighted forecasts in the presence of different information sources Economics Letters. 45: 169-174. DOI: 10.1016/0165-1765(94)90129-5 |
0.33 |
|
| 1994 |
Timmermann A. Why do dividend yields forecast stock returns? Economics Letters. 46: 149-158. DOI: 10.1016/0165-1765(94)90010-8 |
0.46 |
|
| 1994 |
Pesaran MH, Timmermann AG. A generalization of the non-parametric Henriksson-Merton test of market timing Economics Letters. 44: 1-7. DOI: 10.1016/0165-1765(93)00284-U |
0.411 |
|
| 1994 |
Pesaran MH, Timmermann A. Forecasting stock returns an examination of stock market trading in the presence of transaction costs Journal of Forecasting. 13: 335-367. DOI: 10.1002/For.3980130402 |
0.473 |
|
| 1993 |
Timmermann AG. How learning in financial markets generates excess volatility and predictability in stock prices Quarterly Journal of Economics. 108: 1135-1145. DOI: 10.2307/2118462 |
0.461 |
|
| 1992 |
Hashem Pesaran M, Timmermann A. A simple nonparametric test of predictive performance Journal of Business and Economic Statistics. 10: 461-465. DOI: 10.1080/07350015.1992.10509922 |
0.36 |
|
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