Details about Allan Timmermann

Access statistics for papers by Allan Timmermann.

Last updated 2023-03-10. Update your information in the RePEc Author Service.

Short-id: pti8

Working Papers

2023

1. Breaks in the Phillips Curve: Evidence from Panel Data
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)

2012

2. Choice of Sample Split in Out-of-Sample Forecast Evaluation
   Economics Working Papers, European University Institute View citations (80)

2011

3. Forecast Rationality Tests Based on Multi-Horizon Bounds
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
4. Regime Changes and Financial Markets
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (51)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (53)

2010

5. Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average?
   Working Paper Series, European Central Bank View citations (21)
6. Common Factors in Latin America?s Business Cycles
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
   See also Journal Article Common factors in Latin America's business cycles, Journal of Development Economics, Elsevier (2011) View citations (24) (2011)
7. Decentralized Investment Management: Evidence from the Pension Fund Industry
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in MPRA Paper, University Library of Munich, Germany (2010)
8. Forecast Combinations
   Working Papers, Banco de México View citations (21)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (14)
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (19)
   See also Chapter Forecast Combinations, Handbook of Economic Forecasting, Elsevier (2006) View citations (403) (2006)
9. Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
   See also Journal Article Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability, Journal of Financial Econometrics, Oxford University Press (2010) View citations (1) (2010)

2009

10. Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
11. The performance of European equity mutual funds
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR)
12. Variable Selection and Inference for Multi-period Forecasting Problems
    CESifo Working Paper Series, CESifo View citations (1)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2009)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009)

2008

13. Disagreement and Biases in Inflation Expectations
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (24)
    Also in Computing in Economics and Finance 2006, Society for Computational Economics (2006) View citations (5)
    Working Papers, Banco de México (2006) View citations (5)
    See also Journal Article Disagreement and Biases in Inflation Expectations, Journal of Money, Credit and Banking, Blackwell Publishing (2009) View citations (151) (2009)
14. Forecast Combination With Entry and Exit of Experts
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    Also in Working Papers, Banco de México (2006) View citations (303)
    See also Journal Article Forecast Combination With Entry and Exit of Experts, Journal of Business & Economic Statistics, American Statistical Association (2009) View citations (69) (2009)
15. Return Predictability under Equilibrium Constraints on the Equity Premium
    Working Papers, Brandeis University, Department of Economics and International Business School View citations (1)
16. The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (6)

2007

17. Economic Forecasting
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
    See also Journal Article Economic Forecasting, Journal of Economic Literature, American Economic Association (2008) View citations (191) (2008)
18. Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (16)
    See also Journal Article Forecasts of US short-term interest rates: A flexible forecast combination approach, Journal of Econometrics, Elsevier (2009) View citations (50) (2009)
19. Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
20. Performance Measurement and Evaluation
    FMG Discussion Papers, Financial Markets Group View citations (2)

2006

21. Learning, Structural Instability and Present Value Calculations
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (36)
    Also in CESifo Working Paper Series, CESifo (2006) View citations (3)
    Computing in Economics and Finance 2006, Society for Computational Economics (2006) View citations (3)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) View citations (31)
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2006) View citations (31)
    See also Journal Article Learning, Structural Instability, and Present Value Calculations, Econometric Reviews, Taylor & Francis Journals (2007) View citations (14) (2007)
22. Testing Dependence Among Serially Correlated Multi-category Variables
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2006) View citations (4)
    CESifo Working Paper Series, CESifo (2006) View citations (4)
    See also Journal Article Testing Dependence Among Serially Correlated Multicategory Variables, Journal of the American Statistical Association, American Statistical Association (2009) View citations (181) (2009)

2005

23. Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (12)
    See also Journal Article Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis, Journal of Finance, American Finance Association (2006) View citations (317) (2006)
24. Relative Performance Evaluation Contracts and Asset Market Equilibrium
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics View citations (27)
    Also in Finance, University Library of Munich, Germany (2004) View citations (2)
    Finance, University Library of Munich, Germany (2004)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) View citations (2)
    See also Journal Article Relative Performance Evaluation Contracts and Asset Market Equilibrium, Economic Journal, Royal Economic Society (2005) View citations (24) (2005)
25. The Forecasing time series subject to multiple structure breaks
    Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group

2004

26. Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (17)
    See also Journal Article Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?, Journal of the European Economic Association, MIT Press (2008) View citations (176) (2008)
27. Country and Industry Dynamics in Stock Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
28. Forecasting Time Series Subject to Multiple Structural Breaks
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (21)
    Also in CESifo Working Paper Series, CESifo (2004) View citations (20)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (32)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2004) View citations (17)
29. Optimal Forecast Combination Under Regime Switching
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
    See also Journal Article OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING *, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2005) View citations (59) (2005)
30. Properties of Optimal Forecasts
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (13)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) View citations (12)
31. Real Time Econometrics
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) View citations (5)
    CESifo Working Paper Series, CESifo (2004) View citations (4)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2004) View citations (4)
    See also Journal Article REAL-TIME ECONOMETRICS, Econometric Theory, Cambridge University Press (2005) View citations (22) (2005)
32. Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) View citations (3)
    CESifo Working Paper Series, CESifo (2003) View citations (2)
    See also Journal Article Small sample properties of forecasts from autoregressive models under structural breaks, Journal of Econometrics, Elsevier (2005) View citations (215) (2005)
33. Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (15)
34. Term Structure of Risk Under Alternative Econometric Specifications
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
    See also Journal Article Term structure of risk under alternative econometric specifications, Journal of Econometrics, Elsevier (2006) View citations (66) (2006)

2003

35. Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (13)
    See also Journal Article Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets, Journal of Business & Economic Statistics, American Statistical Association (2004) View citations (129) (2004)
36. Economic Implications of Bull and Bear Regimes in UK Stock Returns
    Royal Economic Society Annual Conference 2003, Royal Economic Society
37. Estimating Loss Function Parameters
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (14)
38. How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
    Also in CESifo Working Paper Series, CESifo (2003) View citations (3)
    See also Journal Article How costly is it to ignore breaks when forecasting the direction of a time series?, International Journal of Forecasting, Elsevier (2004) View citations (96) (2004)

2002

39. (UBS Pensions Series 2) International Asset Allocation with Time-Varying Investment Opportunities
    FMG Discussion Papers, Financial Markets Group
40. (UBS Pensions Series 3) Performance Clustering and Incentives in the UK Pension Fund Industry
    FMG Discussion Papers, Financial Markets Group View citations (13)
41. (UBS Pensions Series 4) Returns from Active Management in International Equity Markets; Evidence from a Panel of UK Pension Funds
    FMG Discussion Papers, Financial Markets Group
42. Efficient Market Hypothesis and Forecasting
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    See also Journal Article Efficient market hypothesis and forecasting, International Journal of Forecasting, Elsevier (2004) View citations (148) (2004)
43. How Stable are Financial Prediction Models? Evidence from US and International Stock Market Data
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (5)
44. International Asset Allocation with Time-Varying Investment Opportunities
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
    See also Journal Article International Asset Allocation with Time-Varying Investment Opportunities, The Journal of Business, University of Chicago Press (2005) View citations (18) (2005)
45. Market Timing and Return Prediction under Model Instability
    FMG Discussion Papers, Financial Markets Group View citations (138)
    See also Journal Article Market timing and return prediction under model instability, Journal of Empirical Finance, Elsevier (2002) View citations (173) (2002)
46. Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (10)
    See also Journal Article Optimal forecast combinations under general loss functions and forecast error distributions, Journal of Econometrics, Elsevier (2004) View citations (99) (2004)

2001

47. Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities
    Working Papers, Quebec a Montreal - Recherche en gestion View citations (94)
    Also in FMG Discussion Papers, Financial Markets Group (2000) View citations (2)
    See also Journal Article Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities, Journal of Econometrics, Elsevier (2001) View citations (100) (2001)
48. Forecast Evaluation with Shared Data Sets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    See also Journal Article Forecast evaluation with shared data sets, International Journal of Forecasting, Elsevier (2003) View citations (22) (2003)
49. Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
    Also in FMG Discussion Papers, Financial Markets Group (2001) View citations (4)
    See also Journal Article Option prices under Bayesian learning: implied volatility dynamics and predictive densities, Journal of Economic Dynamics and Control, Elsevier (2003) View citations (54) (2003)
50. Option prices and implied volatility dynamics under Bayesian learning
    CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance View citations (7)
51. Structural Breaks, Incomplete Information and Stock Prices
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (56)
    Also in FMG Discussion Papers, Financial Markets Group (1998)
    See also Journal Article Structural Breaks, Incomplete Information, and Stock Prices, Journal of Business & Economic Statistics, American Statistical Association (2001) View citations (59) (2001)

2000

52. Implied Learning Paths from Option Prices
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society

1999

53. A Recursive Modelling Approach to Predicting UK Stock Returns
    FMG Discussion Papers, Financial Markets Group
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1996) View citations (5)
    See also Journal Article A Recursive Modelling Approach to Predicting UK Stock Returns, Economic Journal, Royal Economic Society (2000) View citations (126) (2000)
54. Firm Size and Cyclical Variations in Stock Returns
    FMG Discussion Papers, Financial Markets Group View citations (4)
55. Model Instability and Choice of Observation Window
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (8)
56. Moments of Markov Switching Models
    FMG Discussion Papers, Financial Markets Group View citations (2)
    See also Journal Article Moments of Markov switching models, Journal of Econometrics, Elsevier (2000) View citations (164) (2000)

1998

57. Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (10)
    Also in FMG Discussion Papers, Financial Markets Group (1998) View citations (8)
58. Data-Snooping, Technical Trading Rule Performance and the Bootstrap
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (18)
    Also in FMG Discussion Papers, Financial Markets Group (1998) View citations (29)
59. The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis
    FMG Discussion Papers, Financial Markets Group View citations (2)
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1998) View citations (3)
    See also Journal Article The hazards of mutual fund underperformance: A Cox regression analysis, Journal of Empirical Finance, Elsevier (1999) View citations (35) (1999)

1997

60. Performance Measurement using Multiple Asset Class Portfolio Data
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)

1995

61. The Use of Recursive Model Selection Strategies in Forecasting Stock Returns
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge

1992

62. A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
    See also Journal Article A generalization of the non-parametric Henriksson-Merton test of market timing, Economics Letters, Elsevier (1994) View citations (41) (1994)
63. Forecasting Stock Returns
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)

1990

64. A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE
    Working Papers, California Los Angeles - Applied Econometrics View citations (9)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990) View citations (10)
    See also Journal Article A Simple Nonparametric Test of Predictive Performance, Journal of Business & Economic Statistics, American Statistical Association (1992) View citations (455) (1992)
65. THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXCESS RETURNS ON COMMON STOCKS
    Working Papers, California Los Angeles - Applied Econometrics View citations (1)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990) View citations (1)

Journal Articles

2011

1. Annals issue on forecasting--Guest editors' introduction
   Journal of Econometrics, 2011, 164, (1), 1-3 View citations (1)
2. Common factors in Latin America's business cycles
   Journal of Development Economics, 2011, 95, (2), 212-228 View citations (24)
   See also Working Paper Common Factors in Latin America?s Business Cycles, CEPR Discussion Papers (2010) View citations (2) (2010)
3. Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach
   Journal of Business & Economic Statistics, 2011, 29, (3), 397-410 View citations (45)
4. Predictability of stock returns and asset allocation under structural breaks
   Journal of Econometrics, 2011, 164, (1), 60-78 View citations (92)
5. Variable selection, estimation and inference for multi-period forecasting problems
   Journal of Econometrics, 2011, 164, (1), 173-187 View citations (69)

2010

6. Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts
   Journal of Financial Economics, 2010, 98, (3), 605-625 View citations (103)
7. Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability
   Journal of Financial Econometrics, 2010, 8, (3), 305-334 View citations (1)
   See also Working Paper Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability, CEPR Discussion Papers (2010) View citations (1) (2010)
8. Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion
   Journal of Monetary Economics, 2010, 57, (7), 803-820 View citations (213)

2009

9. Disagreement and Biases in Inflation Expectations
   Journal of Money, Credit and Banking, 2009, 41, (2-3), 365-396 View citations (151)
   See also Working Paper Disagreement and Biases in Inflation Expectations, CREATES Research Papers (2008) View citations (24) (2008)
10. Forecast Combination With Entry and Exit of Experts
    Journal of Business & Economic Statistics, 2009, 27, (4), 428-440 View citations (69)
    See also Working Paper Forecast Combination With Entry and Exit of Experts, CREATES Research Papers (2008) (2008)
11. Forecasts of US short-term interest rates: A flexible forecast combination approach
    Journal of Econometrics, 2009, 150, (2), 297-311 View citations (50)
    See also Working Paper Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach, CEPR Discussion Papers (2007) View citations (16) (2007)
12. Testing Dependence Among Serially Correlated Multicategory Variables
    Journal of the American Statistical Association, 2009, 104, (485), 325-337 View citations (181)
    See also Working Paper Testing Dependence Among Serially Correlated Multi-category Variables, Cambridge Working Papers in Economics (2006) View citations (4) (2006)

2008

13. Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?
    Journal of the European Economic Association, 2008, 6, (1), 122-157 View citations (176)
    See also Working Paper Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?, Econometric Society 2004 North American Summer Meetings (2004) View citations (17) (2004)
14. Economic Forecasting
    Journal of Economic Literature, 2008, 46, (1), 3-56 View citations (191)
    See also Working Paper Economic Forecasting, CEPR Discussion Papers (2007) View citations (7) (2007)
15. Elusive return predictability
    International Journal of Forecasting, 2008, 24, (1), 1-18 View citations (114)
16. International asset allocation under regime switching, skew, and kurtosis preferences
    The Review of Financial Studies, 2008, 21, (2), 889-935 View citations (188)
17. Reply to the discussion of Elusive Return Predictability
    International Journal of Forecasting, 2008, 24, (1), 29-30 View citations (76)
18. Size and Value Anomalies under Regime Shifts
    Journal of Financial Econometrics, 2008, 6, (1), 1-48 View citations (42)

2007

19. An Evaluation of the World Economic Outlook Forecasts
    IMF Staff Papers, 2007, 54, (1), 1-33 View citations (77)
20. Asset allocation under multivariate regime switching
    Journal of Economic Dynamics and Control, 2007, 31, (11), 3503-3544 View citations (207)
21. Learning, Structural Instability, and Present Value Calculations
    Econometric Reviews, 2007, 26, (2-4), 253-288 View citations (14)
    See also Working Paper Learning, Structural Instability and Present Value Calculations, IEPR Working Papers (2006) View citations (36) (2006)
22. Properties of equilibrium asset prices under alternative learning schemes
    Journal of Economic Dynamics and Control, 2007, 31, (1), 161-217 View citations (29)
23. Properties of optimal forecasts under asymmetric loss and nonlinearity
    Journal of Econometrics, 2007, 140, (2), 884-918 View citations (90)
24. Selection of estimation window in the presence of breaks
    Journal of Econometrics, 2007, 137, (1), 134-161 View citations (302)
25. Testing Forecast Optimality Under Unknown Loss
    Journal of the American Statistical Association, 2007, 102, 1172-1184 View citations (111)

2006

26. An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns
    Journal of Applied Econometrics, 2006, 21, (1), 1-22 View citations (157)
27. Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis
    Journal of Finance, 2006, 61, (6), 2551-2595 View citations (317)
    See also Working Paper Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis, CFR Working Papers (2005) View citations (12) (2005)
28. Instability of return prediction models
    Journal of Empirical Finance, 2006, 13, (3), 274-315 View citations (218)
29. Persistence in forecasting performance and conditional combination strategies
    Journal of Econometrics, 2006, 135, (1-2), 31-53 View citations (175)
30. Term structure of risk under alternative econometric specifications
    Journal of Econometrics, 2006, 131, (1-2), 285-308 View citations (66)
    See also Working Paper Term Structure of Risk Under Alternative Econometric Specifications, CEPR Discussion Papers (2004) View citations (4) (2004)

2005

31. Completion time structures of stock price movements
    Annals of Finance, 2005, 1, (3), 293-326 View citations (9)
32. Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns
    Economic Journal, 2005, 115, (500), 111-143 View citations (131)
33. International Asset Allocation with Time-Varying Investment Opportunities
    The Journal of Business, 2005, 78, (1), 71-98 View citations (18)
    See also Working Paper International Asset Allocation with Time-Varying Investment Opportunities, CEPR Discussion Papers (2002) View citations (3) (2002)
34. OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING *
    International Economic Review, 2005, 46, (4), 1081-1102 View citations (59)
    See also Working Paper Optimal Forecast Combination Under Regime Switching, CEPR Discussion Papers (2004) View citations (9) (2004)
35. REAL-TIME ECONOMETRICS
    Econometric Theory, 2005, 21, (1), 212-231 View citations (22)
    See also Working Paper Real Time Econometrics, CEPR Discussion Papers (2004) View citations (6) (2004)
36. Relative Performance Evaluation Contracts and Asset Market Equilibrium
    Economic Journal, 2005, 115, (506), 1077-1102 View citations (24)
    See also Working Paper Relative Performance Evaluation Contracts and Asset Market Equilibrium, Birkbeck Working Papers in Economics and Finance (2005) View citations (27) (2005)
37. Small sample properties of forecasts from autoregressive models under structural breaks
    Journal of Econometrics, 2005, 129, (1-2), 183-217 View citations (215)
    See also Working Paper Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks, CEPR Discussion Papers (2004) View citations (11) (2004)

2004

38. Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets
    Journal of Business & Economic Statistics, 2004, 22, 253-273 View citations (129)
    See also Working Paper Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets, CEPR Discussion Papers (2003) View citations (5) (2003)
39. Efficient market hypothesis and forecasting
    International Journal of Forecasting, 2004, 20, (1), 15-27 View citations (148)
    See also Working Paper Efficient Market Hypothesis and Forecasting, CEPR Discussion Papers (2002) View citations (1) (2002)
40. How costly is it to ignore breaks when forecasting the direction of a time series?
    International Journal of Forecasting, 2004, 20, (3), 411-425 View citations (96)
    See also Working Paper How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?, Cambridge Working Papers in Economics (2003) View citations (2) (2003)
41. Optimal forecast combinations under general loss functions and forecast error distributions
    Journal of Econometrics, 2004, 122, (1), 47-79 View citations (99)
    See also Working Paper Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions, University of California at San Diego, Economics Working Paper Series (2002) View citations (10) (2002)

2003

42. Forecast evaluation with shared data sets
    International Journal of Forecasting, 2003, 19, (2), 217-227 View citations (22)
    See also Working Paper Forecast Evaluation with Shared Data Sets, CEPR Discussion Papers (2001) (2001)
43. Option prices under Bayesian learning: implied volatility dynamics and predictive densities
    Journal of Economic Dynamics and Control, 2003, 27, (5), 717-769 View citations (54)
    See also Working Paper Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities, CEPR Discussion Papers (2001) View citations (2) (2001)
44. Recursive Modeling of Nonlinear Dynamics in UK Stock Returns
    Manchester School, 2003, 71, (4), 381-395 View citations (12)

2002

45. Market timing and return prediction under model instability
    Journal of Empirical Finance, 2002, 9, (5), 495-510 View citations (173)
    See also Working Paper Market Timing and Return Prediction under Model Instability, FMG Discussion Papers (2002) View citations (138) (2002)

2001

46. Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities
    Journal of Econometrics, 2001, 103, (1-2), 259-306 View citations (100)
    See also Working Paper Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities, Working Papers (2001) View citations (94) (2001)
47. Dangers of data mining: The case of calendar effects in stock returns
    Journal of Econometrics, 2001, 105, (1), 249-286 View citations (98)
48. Structural Breaks, Incomplete Information, and Stock Prices
    Journal of Business & Economic Statistics, 2001, 19, (3), 299-314 View citations (59)
    See also Working Paper Structural Breaks, Incomplete Information and Stock Prices, University of California at San Diego, Economics Working Paper Series (2001) View citations (56) (2001)

2000

49. A Recursive Modelling Approach to Predicting UK Stock Returns
    Economic Journal, 2000, 110, (460), 159-91 View citations (126)
    See also Working Paper A Recursive Modelling Approach to Predicting UK Stock Returns, FMG Discussion Papers (1999) (1999)
50. Moments of Markov switching models
    Journal of Econometrics, 2000, 96, (1), 75-111 View citations (164)
    See also Working Paper Moments of Markov Switching Models, FMG Discussion Papers (1999) View citations (2) (1999)

1999

51. Asset Allocation Dynamics and Pension Fund Performance
    The Journal of Business, 1999, 72, (4), 429-61 View citations (100)
52. Data mining with local model specification uncertainty: a discussion of Hoover and Perez
    Econometrics Journal, 1999, 2, (2), 220-225 View citations (11)
53. The hazards of mutual fund underperformance: A Cox regression analysis
    Journal of Empirical Finance, 1999, 6, (2), 121-152 View citations (35)
    See also Working Paper The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis, FMG Discussion Papers (1998) View citations (2) (1998)

1995

54. Cointegration Tests of Present Value Models with a Time-Varying Discount Factor
    Journal of Applied Econometrics, 1995, 10, (1), 17-31 View citations (34)
55. On the optimality of adaptive expectations: Muth revisited
    International Journal of Forecasting, 1995, 11, (3), 407-416 View citations (10)
56. Predictability of Stock Returns: Robustness and Economic Significance
    Journal of Finance, 1995, 50, (4), 1201-28 View citations (485)

1994

57. A generalization of the non-parametric Henriksson-Merton test of market timing
    Economics Letters, 1994, 44, (1-2), 1-7 View citations (41)
    See also Working Paper A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing, Cambridge Working Papers in Economics (1992) (1992)
58. Can Agents Learn to Form Rational Expectations? Some Results on Convergence and Stability of Learning in the UK Stock Market
    Economic Journal, 1994, 104, (425), 777-97 View citations (14)
59. Optimal properties of exponentially weighted forecasts in the presence of different information sources
    Economics Letters, 1994, 45, (2), 169-174
60. Present value models with feedback: Solutions, stability, bubbles, and some empirical evidence
    Journal of Economic Dynamics and Control, 1994, 18, (6), 1093-1119 View citations (16)
61. Why do dividend yields forecast stock returns?
    Economics Letters, 1994, 46, (2), 149-158 View citations (1)

1992

62. A Simple Nonparametric Test of Predictive Performance
    Journal of Business & Economic Statistics, 1992, 10, (4), 561-65 View citations (455)
    See also Working Paper A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE, Working Papers (1990) View citations (9) (1990)

Edited books

2006

1. Handbook of Economic Forecasting, vol 1
   Handbook of Economic Forecasting, Elsevier View citations (887)

Chapters

2006

1. Forecast Combinations
   Elsevier View citations (403)
   See also Working Paper Forecast Combinations, Banco de México (2010) View citations (21) (2010)

Editor

1. Handbook of Economic Forecasting
   Elsevier
2. Handbook of Economic Forecasting
   Elsevier