Allan Gilling Timmermann
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Allan Gilling Timmermannbiology Degrees
Biology
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Ecology
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Biology
Allan Gilling Timmermann's Degrees
- PhD Ecology University of California, San Diego
- Masters Biology University of California, San Diego
- Bachelors Biology University of California, San Diego
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(Suggest an Edit or Addition)Allan Gilling Timmermann's Published Works
Number of citations in a given year to any of this author's works
Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author
Published Works
- The role of biotic interactions in shaping distributions and realised assemblages of species: implications for species distribution modelling (2012) (1200)
- Handbook of Economic Forecasting (2006) (1074)
- Predictability of Stock Returns: Robustness and Economic Significance (1995) (1073)
- Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999) (1041)
- Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis (2005) (995)
- Forecast Combinations (2005) (897)
- A Simple Nonparametric Test of Predictive Performance (1992) (838)
- Chapter 4 Forecast Combinations (2006) (671)
- Firm Size and Cyclical Variations in Stock Returns (2000) (650)
- Efficient Market Hypothesis and Forecasting (2002) (494)
- International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences (2007) (427)
- Forecasting Time Series Subject to Multiple Structural Breaks (2004) (413)
- Asset Allocation Under Multivariate Regime Switching (2006) (403)
- Selection of estimation window in the presence of breaks (2007) (402)
- Instability of Return Prediction Models (2005) (394)
- Small Sample Properties of Forecasts from Autoregressive Models Under Structural Breaks (2003) (376)
- How Learning in Financial Markets Generates Excess Volatility and Predictability in Stock Prices (1993) (374)
- Regime Changes and Financial Markets (2011) (365)
- Persistence in forecasting performance and conditional combination strategies (2006) (323)
- Economic Forecasting (2007) (323)
- Estimation and Testing of Forecast Rationality under Flexible Loss (2005) (318)
- Disagreement and Biases in Inflation Expectations (2006) (303)
- Dangers of data mining: the case of calendar effects in stock returns (2001) (284)
- Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion (2010) (283)
- Asset Allocation Dynamics and Pension Fund Performance (1999) (281)
- Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? (2008) (274)
- Market timing and return prediction under model instability (2002) (273)
- Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts (2010) (271)
- Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities (2001) (271)
- Mutual Fund Performance: Evidence from the UK (1998) (266)
- A Recursive Modelling Approach to Predicting UK Stock Returns (2000) (260)
- An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns (2004) (252)
- Testing Dependence Among Serially Correlated Multicategory Variables (2006) (251)
- Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning (1996) (237)
- Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns (2005) (226)
- Forecasting Stock Returns Under Economic Constraints (2012) (222)
- How Costly is it to Ignore Breaks When Forecasting the Direction of a Time Series? (2003) (220)
- Elusive Return Predictability (2008) (208)
- Duration Dependence in Stock Prices (2003) (190)
- Optimal Forecast Combinations Under General Loss Functions and Forecast Error Distributions (2002) (186)
- Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity (2007) (179)
- Moments of Markov switching models (2000) (178)
- Complete subset regressions (2013) (175)
- Testing Forecast Optimality Under Unknown Loss (2007) (175)
- Choice of Sample Split in Out-of-Sample Forecast Evaluation (2012) (169)
- Do Return Prediction Models Add Economic Value (2012) (164)
- Predictability of Stock Returns and Asset Allocation Under Structural Breaks (2010) (162)
- Combining expert forecasts: Can anything beat the simple average? (2013) (160)
- An Evaluation of the World Economic Outlook Forecasts (2006) (152)
- Specialization in Plant-Hummingbird Networks Is Associated with Species Richness, Contemporary Precipitation and Quaternary Climate-Change Velocity (2011) (145)
- Structural Breaks, Incomplete Information, and Stock Prices (2001) (142)
- Forecast Combination With Entry and Exit of Experts (2006) (137)
- The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis (1998) (133)
- Forecasting stock returns an examination of stock market trading in the presence of transaction costs (1994) (133)
- Learning, Structural Instability and Present Value Calculations (2006) (127)
- Forecast Rationality Tests Based on Multi-Horizon Bounds (2011) (125)
- Forecasting commodity price indexes using macroeconomic and financial predictors (2014) (119)
- Decentralized Investment Management: Evidence from the Pension Fund Industry (2010) (117)
- A generalization of the non-parametric Henriksson-Merton test of market timing (1994) (109)
- Plant–hummingbird interactions in the West Indies: floral specialisation gradients associated with environment and hummingbird size (2009) (108)
- Size and Value Anomalies under Regime Shifts (2007) (107)
- Term Structure of Risk Under Alternative Econometric Specifications (2004) (106)
- Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets (2000) (105)
- The macroecology of phylogenetically structured hummingbird–plant networks (2015) (95)
- Cointegration tests of present value models with a time‐varying discount factor (1995) (95)
- An assessment of the economic value of non‐linear foreign exchange rate forecasts (1995) (94)
- Optimal Forecast Combination Under Regime Switching (2004) (89)
- Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns (1998) (89)
- Bond Return Predictability: Economic Value and Links to the Macroeconomy (2014) (88)
- Option Prices Under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities (2001) (87)
- The cross section of conditional mutual fund performance in European stock markets (2013) (84)
- Variable Selection, Estimation and Inference for Multi-Period Forecasting Problems (2010) (82)
- Is the Distribution of Stock Returns Predictable? (2008) (78)
- Risk sharing and transition costs in the reform of pension systems in Europe (1999) (78)
- Network Centrality and Delegated Investment Performance (2015) (75)
- Performance clustering and incentives in the UK pension fund industry (2002) (74)
- Optimal Convergence Trade Strategies (2013) (71)
- What is the Shape of the Risk-Return Relation? (2010) (71)
- REAL-TIME ECONOMETRICS (2004) (69)
- Density forecasting in economics and finance (2000) (66)
- Forecasts of U.S. Short-Term Interest Rates: A Flexible Forecast Combination Approach (2007) (63)
- Modeling covariance risk in Merton's ICAPM (2015) (62)
- Global patterns of interaction specialization in bird–flower networks (2017) (62)
- The Determinants of Cross-Border Equity Transaction Flows (2002) (59)
- Pollination networks and functional specialization: a test using Lesser Antillean plant–hummingbird assemblages (2008) (56)
- Relative Performance Evaluation Contracts and Asset Market Equilibrium (2003) (56)
- Variation in Expected Stock Returns: Evidence on the Pricing of Equities from a Cross-Section of UK Companies (1996) (55)
- Forecasting in Economics and Finance (2016) (55)
- Forecast Evaluation with Shared Data Sets (2001) (55)
- Can Agents Learn to Form Rational Expectations? Some Results on Convergence and Stability of Learning in the UK Stock Market (1994) (54)
- Model Instability and Choice of Observation Window (1999) (53)
- Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach (2011) (52)
- Effects of climate on pollination networks in the West Indies (2009) (50)
- Variable Selection and Inference for Multi-Period Forecasting Problems (2009) (49)
- Forecasts of Us Short-Term Interest Rates: A Flexible Forecast Combination Approach (2006) (47)
- International Asset Allocation with Time-Varying Investment Opportunities (2002) (46)
- Performance benchmarks for institutional investors: Measuring, monitoring and modifying investment behaviour (2002) (46)
- Properties of Equilibrium Asset Prices Under Alternative Learning Schemes (2005) (45)
- The integration of alien plants in mutualistic plant–hummingbird networks across the Americas: the importance of species traits and insularity (2016) (45)
- Optimal Portfolio Choice Under Regime Switching, Skew and Kurtosis Preferences (2003) (45)
- Pervasive early 21st‐century vegetation changes across Danish semi‐natural ecosystems: more losers than winners and a shift towards competitive, tall‐growing species (2015) (43)
- Complete subset regressions with large-dimensional sets of predictors (2015) (42)
- Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics ∗ (2012) (40)
- Pockets of Predictability (2018) (39)
- A MIDAS Approach to Modeling First and Second Moment Dynamics (2015) (38)
- Structural and functional responses of floodplain vegetation to stream ecosystem restoration (2016) (37)
- High proportion of smaller ranged hummingbird species coincides with ecological specialization across the Americas (2016) (35)
- Forecasting Macroeconomic Variables Under Model Instability (2015) (35)
- Phylogeny, classification, and fruit evolution of the species-rich Neotropical bellflowers (Campanulaceae: Lobelioideae). (2014) (34)
- Strategic Asset Allocation and Consumption Decisions Under Multivariate Regime Switching (2004) (34)
- Trait evolution, resource specialization and vulnerability to plant extinctions among Antillean hummingbirds (2018) (31)
- Properties of Optimal Forecasts (2003) (30)
- Investor Information Acquisition and Money Market Fund Risk Rebalancing during the 2011–2012 Eurozone Crisis* (2020) (30)
- Estimating Loss Function Parameters (2003) (28)
- Forecasting Methods in Finance (2018) (26)
- Commodity market interest and asset return predictability (2010) (26)
- UBS Pensions Series 3) Performance Clustering and Incentives in the UK Pension Fund Industry (2002) (24)
- Present value models with feedback: Solutions, stability, bubbles, and some empirical evidence☆ (1994) (24)
- Economic Implications of Bull and Bear Regimes in UK Stock Returns (2003) (24)
- Developments in forecast combination and portfolio choice (2001) (23)
- Performance Persistence in Mutual Funds : An Independent Assessment of the Studies Prepared by Charles River Associates for the Investment Management Association Professor (2003) (21)
- A RECURSIVE MODELING APPROACH TO PREDICTING STOCK RETURNS (2000) (20)
- Data mining with local model specification uncertainty: a (1999) (20)
- Performance Persistence in Mutual Funds: (2003) (20)
- Combining the Forecasts in the ECB Survey of Professional Forecasters: Can Anything Beat the Simple Average? (2010) (19)
- Country and Industry Dynamics in Stock Returns (2003) (19)
- On the optimality of adaptive expectations: Muth revisited (1995) (19)
- Performance Measurement and Evaluation (2007) (19)
- THE DETERMINANTS OF STOCK AND BOND RETURN COMOVEMENTS Lieven Baele (2009) (19)
- Recursive Modeling of Nonlinear Dynamics in UK Stock Returns (2003) (18)
- Value at Risk and Expected Shortfall Under Regime Switching (2004) (17)
- Generalized Forecast Errors, A Change of Measure, and Forecast Optimality (2008) (17)
- Handbook of Economic Forecasting, Vol 2A (2013) (17)
- Break Risk (2018) (16)
- The birth and death processes of mutual funds (1997) (15)
- Cash Flow News and Stock Price Dynamics (2019) (14)
- Guest Editors’ Introduction: Regime Switching and Threshold Models (2017) (14)
- Predictive dynamics in commodity prices (2012) (14)
- Investor Information Acquisition and Money Market Fund Risk Rebalancing During the 2011-12 Eurozone Crisis (2017) (14)
- Variable Selection in Panel Models with Breaks (2018) (14)
- The Determinants of Cross-Border Equity Flows Richard Portes London Business School , DELTA , CEPR and NBER (2005) (14)
- Variations in the mean and volatility of stock returns around turning points of the business cycle (2007) (13)
- Returns from active management in international equity markets: Evidence from a panel of UK pension funds (2002) (13)
- Comparing Forecasting Performance with Panel Data (2019) (13)
- Performance Measurement using Multiple Asset Class Portfolio Data (1997) (12)
- The performance of European equity mutual funds (2009) (12)
- Moments of Markov switching models q (2000) (11)
- Sea surface and subsurface temperature changes in the Okhotsk Sea and adjacent North Pacific during the Last Glacial Maximum and deglaciation (2010) (11)
- The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast (2008) (11)
- A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics (2014) (11)
- Runs on Money Market Funds (2014) (11)
- Completion time structures of stock price movements (2005) (10)
- How Stable are Financial Prediction Models? Evidence from Us and International Stock Market Data (2002) (10)
- Testable Implications of Forecast Optimality (2004) (10)
- Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability (2010) (8)
- Portfolio Sorts and Tests of Cross-Sectional Patterns in Expected Returns (2007) (8)
- Picking Funds with Confidence (2017) (8)
- Volatility Regimes and Global Equity Returns (2010) (8)
- By Force of Flow: Investor Behavior and Money Market Fund Risk Allocations During the Eurozone Crisis∗ (2015) (8)
- Detecting Breaks in Real Time: A Panel Forecasting Approach (2018) (7)
- International Investment Performance: Evidence from Institutional Investors’ Foreign Equity Holdings (2000) (7)
- Dividend Suspensions and Cash Flow Risk During the Covid-19 Pandemic (2020) (7)
- Forecasting Stock Returns (1992) (7)
- Why do dividend yields forecast stock returns (1994) (7)
- Scales and stock markets (1995) (7)
- The Use of Recursive Model Selection Strategies in Forecasting Stock Returns (1995) (7)
- Properties of Asset Prices Under Alternative Learning Schemes (2003) (6)
- Can Two Forecasts Have the Same Conditional Expected Accuracy (2020) (6)
- The Statistical And Economic Significance Of The Predictability Of Excess Returns On Common Stocks (1990) (6)
- Dynamic econometric modeling and forecasting in the presence of instability (2013) (6)
- An Evaluation of World Economic Outlook Growth Forecasts, 2004–17 (2021) (6)
- Outlasting the Pandemic: Corporate Payout and Financing Decisions During COVID-19 (2021) (6)
- Have Risk Premia Vanished? (2020) (5)
- Conditional rotation between forecasting models (2021) (5)
- Return Predictability under Equilibrium Constraints on the Equity Premium (2008) (5)
- Learning, Specification Search and Market Efficiency. With an Application to the Danish Stock Market (1993) (5)
- Network centrality and pension fund performance (2015) (5)
- Heliconia-hummingbird interactions in the Lesser Antilles: A geographic mosaic? (2010) (4)
- Search and Predictability of Prices in the Housing Market (2021) (4)
- Scientic Progress with Data Sharing (1999) (4)
- Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts (2008) (4)
- Pension Fund Performance and Risk-Taking under Decentralized Investment Management (2009) (4)
- Do Any Economists Have Superior Forecasting Skills? (2019) (4)
- Comment (2015) (3)
- Reply to the discussion of Elusive Return Predictability (2008) (3)
- New Tests of Forecast Optimality Across Multiple Horizons (2010) (3)
- How to Outlast a Pandemic: Corporate Payout Policy and Capital Structure Decisions During COVID-19 (2021) (3)
- Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model (2020) (3)
- FLORAL TRAITS OF PLANTS VISITED BY THE BEE HUMMINGBIRD (MELLISUGA HELENAE) (2012) (2)
- Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications (2009) (2)
- Has the frequency of invasive higher plants stabilized? Results from a long‐term monitoring program of Danish habitats (2019) (2)
- Markov Switching Models in Finance (2015) (2)
- Learning, Structural Instability, and Present Value Calculations (2007) (2)
- Comparing forecasting performance in cross-sections (2021) (2)
- Selection of Estimation Window With Strictly Exogenous Regressors ∗ (2004) (2)
- How Quickly is Macroeconomic Uncertainty Resolved? Theory and Empirical Evidence from the Term Structure of Forecast Errors (2007) (2)
- Mechanisms for deglacial temperature rise in the tropical Pacific (2008) (2)
- Modes of variability as simulated by a global climate model (1999) (2)
- Mutual Fund Return Predictability in Partially Segmented Markets (2011) (2)
- Optimal Asset Allocation under Structural Breaks Job Market Paper (2004) (1)
- Which Parts of the Distribution of Stock Returns Are Predictable (2007) (1)
- Effects of large- and small-scale river restoration on hydromorphology and ecology: Deliverable 4.3 Results of the hydromorphological and ecological survey (2015) (1)
- Direction-of-Change Forecasting, and Volatility Dynamics (2003) (1)
- Optimal properties of exponentially weighted forecasts in the presence of different information sources (1994) (1)
- Forecast Combinations ∗ Marco Aiol fi Goldman Sachs Asset Management (2010) (1)
- Forecasting with Panel Data: Estimation Uncertainty Versus Parameter Heterogeneity (2022) (1)
- University of California San Diego Ben Gillen University of California San Diego (2009) (0)
- Model Instability and Choice of Observation Window in Autoregressive Models (2003) (0)
- Research Paper 2010-21 Forecast Combinations (2010) (0)
- Implied Learning Paths from Option Prices (2000) (0)
- Scottish Institute for Research in Investment and Finance (SIRIF) CONFERENCE ON PERFORMANCE OF MANAGED FUNDS (2001) (0)
- The integration of alien plants in plant-hummingbird pollination networks across 8 the Americas : the importance of species traits and insularity (2016) (0)
- Do Return Prediction Models Add Economic Value? (2012) (0)
- Model Instability and Choice of Observation Window - eScholarship (1999) (0)
- Internet Appendix for “ Model Instability and Forecasting Performance ” (2015) (0)
- Breaks in the Phillips Curve: Evidence from Panel Data (2023) (0)
- Correction to ‘Trait evolution, resource specialization and vulnerability to plant extinctions among Antillean hummingbirds’ (2019) (0)
- Rejoinder (2012) (0)
- Structural and functional responses of floodplain vegetation to stream ecosystem restoration (2015) (0)
- Annals issue on forecasting--Guest editors' introduction (2011) (0)
- Payout suspensions during the Covid-19 pandemic (2023) (0)
- Introduction to the 2017 Hal White Memorial Lecture (2020) (0)
- Instability in Risk Premia (2020) (0)
- LONDON SCHOOL OF ECONOMICS (2002) (0)
- Corrigendum to “Predictability of stock returns and asset allocation under structural breaks” [J. Econometrics 164 (2011) 60–78] (2021) (0)
- JBES HIGHLIGHTS | Editor’s Introduction: Regime Switching and Threshold Models (2017) (0)
- The Forecasing time series subject to multiple structure breaks (2005) (0)
- Replication data for: Runs on Money Market Mutual Funds (2019) (0)
- Low frequency climate variability in the Caribbean: what proxy reconstructions tell us (2007) (0)
- Mutual Fund Return Predictability in Segmented Markets (2010) (0)
- Forecasting Time Series Subject to Structural Breaks : A Bayesian Regime Averaging Approach (2004) (0)
- Warp Speed Price Moves: Jumps after Earnings Announcements (2023) (0)
- Supplement to Testing Dependence among Serially Correlated Multi-category Variables 2 Relationship to Pearson' S Chi-squared Test (2008) (0)
- THE ET INTERVIEW: PROFESSOR HASHEM PESARAN (2018) (0)
- Fluctuations in Economic Uncertainty and Transmission of Monetary Policy Shocks: Evidence Using Daily Surveys from Brazil (2019) (0)
- PI-9903 Mutual Fund Performance : Evidence From the UK (1998) (0)
- Breaks in Return Predictability (2017) (0)
- Online Appendix to “Runs on Money Market Mutual Funds” (2016) (0)
- Introduction to Special Issue of Journal of Financial Econometrics in Honor of Hal White (2014) (0)
- Orbitally Modulated Changes in the African Monsoon System during the last 5 Million Years (2009) (0)
- CREATES Research Paper 2008-56 Disagreement and Biases in Inflation Expectations (2008) (0)
- Bias and Uncertainty in Analyst Earnings Expectations at Different Forecast Horizons (2014) (0)
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