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Incoming Resources
- Learning, structural instability and present value calculations
- Variation in expected stock returns, evidence on the pricing of equities from a cross-section of UK companies
- Option prices under Bayesian learning, implied volatility dynamics and predictiva densities
- A recursive modelling approach to predicting UK stock returns
- Data-snooping, technical trading rule performance and the bootstrap
- A simple, non-parametric test of predictive performance
- Firm size and cyclical variations in stock returns
- Business cycle asymmetric in stock returns, evidence from higher order moments and conditional densities
- Essays in honor of M. Hashem Pesaran, prediction and macro modeling, edited by Alexander Chudik, Cheng Hsiao, Allan Timmermann
- Asset allocation dynamics and pension fund performance
- Relative performance evaluation contracts and asset market equilibrium
- Real time econometrics
- Economic forecasting, Graham Elliott and Allan Timmermann
- Forecasting stock returns
- The use of recursive model selection strategies in forecasting stock returns
- Country and industry dynamics in stock returns
- Properties of optimal forecasts
- Forecast evaluation with shared data sets
- Optimal forecast combinations under general loss functions and forecast error distributions
- Model instability and choice of observation window
- The hazard of mutual fund underperformance, a Cox regression analysis
- Developments in forecast combination and portfolio choice, edited by Christian Dunis, John Moody, and Allan Timmermann
- Handbook of economic forecasting, edited by Graham Elliott, Clive W.J. Granger, Allan Timmermann
- The birth and death processes of mutual funds
- Data-snooping, technical trading rule performance, and the bootstrap
- Mutual fund performance, evidence from the UK
- The hazards of mutual fund performance, a cox regression analysis
- Choice of sample split in out-of-sample forecast evaluation, Peter Reinhard Hansen, Allan Timmermann
- Performance measurement using multiple asset class portfolio data, a study of UK pension funds
- On the optimality of adaptive expectations, Muth revisited
- On business cycle variation in the mean, volatility and conditional distribution of stock returns
- How stable are financial prediction models?, evidence from US and international stock market data
- Equivalence between out-of-sample forecast, comparisons and Wald statistics, Peter Reinhard Hansen, Allan Timmermann
- Real time econometrics
- The dangers of data-driven inference, the case of calendar effects in stock returns
- A recursive modelling approach to predicting UK stock returns
- Testing dependence among serially correlated multi-category variables
- Forecasting time series subject to multiple structural breaks
- Duration dependence in stock prices, an analysis of bull and bear markets
- The statistical and economic significance of the predictability of excess returns on common stocks
- A generalisaton of the non-parametric Herriksson-Merton test of market timing
- An assessment of the economic value of nonlinear foreign exchange rate forecasts
- Predictability of stock returns, robustness and economic significance
- Data-snooping, technical trading rule performance and the bootstrap
- Performance clustering and incentives in the UK pension fund industry
- Dangers of data-driven inference, the case of calendar effects in stock returns
- Market timing and return prediction under model instability
- Estimating loss function parameters