Items where Author is "Timmermann, Allan"

Issler, João Victor, Linton, Oliver and Timmermann, Allan (2011) Annals issue on forecasting — guest editors’ introduction. Journal of Econometrics, 164 (1). pp. 1-3. ISSN 0304-4076

Lehmann, Bruce and Timmermann, Allan (2007) Performance measurement and evaluation. Financial Markets Group Discussion Papers (604). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Patton, Andrew J. and Timmermann, Allan (2005) Testable implications of forecast optimality. EM (485). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Blake, David and Timmermann, Allan (2002) Returns from active management in international equity markets: evidence from a panel of UK pension funds. Financial Markets Group Discussion Papers (426). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Blake, David, Lehmann, Bruce N. and Timmermann, Allan (2002) Performance clustering and incentives in the UK pension fund industry. UBS Pensions Series (003). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Blake, David and Timmermann, Allan (2002) International asset allocation with time-varying investment opportunities. Financial Markets Group Discussion Papers (424). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Pesaran, M. Hashem and Timmermann, Allan (2002) Market timing and return prediction under model instability. Financial Markets Group Discussion Papers (412). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Guidolin, Massimo and Timmermann, Allan (2001) Option prices under Bayesian learning: implied volatility dynamics and predictive densities. Financial Markets Group Discussion Papers (397). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Sullivan, Ryan, Timmermann, Allan and White, Halbert (2001) Dangers of data mining: the case of calendar effects in stock returns. Journal of Econometrics, 105 (1). pp. 249-286. ISSN 0304-4076

Perez-Quiros, Gabriel and Timmermann, Allan (2001) Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities. Journal of Econometrics, 103 (1-2). 259 - 306. ISSN 0304-4076

Timmermann, Allan (2001) Structural breaks, incomplete information, and stock prices. Journal of Business and Economic Statistics, 19 (3). pp. 299-314. ISSN 0735-0015

Perez-Quiros, Gabriel and Timmermann, Allan (2000) Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities. Financial Markets Group Discussion Papers (360). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Perez-Quiros, Gabriel and Timmermann, Allan (1999) Firm size and cyclical variations in stock returns. Financial Markets Group Discussion Papers (335). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Timmermann, Allan (1999) Moments of Markov switching models. Financial Markets Group Discussion Papers (323). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Pesaran, M. and Timmermann, Allan (1999) A recursive modelling approach to predicting UK stock returns. Financial Markets Group Discussion Papers (322). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Timmermann, Allan (1998) Structural breaks, incomplete information and stock prices. Financial Markets Group Discussion Papers (311). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Sullivan, Ryan, Timmermann, Allan and White, Halbert (1998) Data snooping, technical trading, rule performance, and the bootstrap. Financial Markets Group Discussion Papers (303). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Sullivan, Ryan, Timmermann, Allan and White, Halbert (1998) The dangers of data-driven inference: the case of calender effects in stock returns. Financial Markets Group Discussion Papers (304). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Lunde, Asger, Timmermann, Allan and Blake, David (1998) The hazards of mutual fund performance: a Cox regression analysis. Financial Markets Group Discussion Papers (302). Financial Markets Group, The London School of Economics and Political Science, London, UK.