Allan Gilling Timmermann

Allan Gilling Timmermann's AcademicInfluence.com Rankings

Biology

#7074

World Rank

#9929

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Ecology

#346

World Rank

#386

Historical Rank

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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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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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