Department of Economics and Business Economics

Allan Timmermann

  1. 2020
  2. Accepted/In press

    Cash Flow News and Stock Price Dynamics. / Pettenuzzo, Davide; Sabbatucci, Riccardo; Timmermann, Allan.

    In: Journal of Finance, 2020.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  3. Accepted/In press

    Investor Information Acquisition and Money Market Fund Risk Rebalancing During the 2011-12 Eurozone Crisis. / Gallagher, Emily; Smith, Lawrence; Timmermann, Allan; Wermers, Russell R.

    In: Review of Financial Studies, 2020.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  4. E-pub ahead of print

    Picking Funds with Confidence. / Grønborg, Niels Strange; Lunde, Asger; Timmermann, Allan; Wermers, Russ.

    In: Journal of Financial Economics, 2020.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  5. 2019
  6. Published

    Variable selection in panel models with breaks. / Smith, Simon C.; Timmermann, A.; Zhu, Yinchu.

    In: Journal of Econometrics, Vol. 212, No. 1, 09.2019, p. 323-344.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  7. Published

    Bond return predictability: Economic value and links to the Macroeconomy. / Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan.

    In: Management Science, Vol. 65, No. 2, 2019, p. v-vi, 459-954.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  8. 2018
  9. Published

    Network centrality and delegated investment performance. / Rossi, A.G.; Blake, D.; Timmermann, Allan; Tonks, I.; Wermers, R.

    In: Journal of Financial Economics, Vol. 128, No. 1, 2018, p. 183-206.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  10. 2017
  11. Published

    Forecasting Macroeconomic Variables Under Model Instability. / Pettenuzzo, Davide; Timmermann, Allan.

    In: Journal of Business and Economic Statistics, Vol. 35, No. 2, 03.04.2017, p. 183-201.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  12. Published

    Guest Editors’ Introduction : Regime Switching and Threshold Models. / Chan, Kung Sik; Hansen, Bruce E.; Timmermann, Allan.

    In: Journal of Business and Economic Statistics, Vol. 35, No. 2, 03.04.2017, p. 159-161.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperEditorialResearchpeer-review

  13. Published

    Picking Funds with Confidence. / Grønborg, Niels Strange; Lunde, Asger; Timmermann, Allan; Wermers, Russ.

    Aarhus : Institut for Økonomi, Århus Universitet, 2017.

    Research output: Working paperResearch

  14. 2016
  15. Published

    Runs on Money Market Mutual Funds. / Schmidt, Lawrence; Timmermann, Allan; Wermers, Russ.

    In: American Economic Review, Vol. 106, No. 9, 01.09.2016, p. 2625-2657.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  16. Published

    A MIDAS approach to modeling first and second moment dynamics. / Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen.

    In: Journal of Econometrics, Vol. 193, No. 2, 01.08.2016, p. 315-334.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  17. Published

    Economic Forecasting. / Elliott, Graham; Timmermann, Allan.

    Princeton, NJ : Princeton University Press, 2016. 568 p.

    Research output: Book/anthology/dissertation/reportBookResearchpeer-review

  18. Published

    Forecasting in economics and finance. / Elliott, Graham; Timmermann, Allan.

    In: Annual Review of Economics, Vol. 8, 2016, p. 81-110.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  19. 2015
  20. Published

    Comment. / Hansen, Peter Reinhard; Timmermann, Allan.

    In: Journal of Business and Economic Statistics, Vol. 33, No. 1, 2015, p. 17-21.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperComment/debateResearchpeer-review

  21. 2014
  22. Published

    Forecasting Stock Returns under Economic Constraints. / Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen.

    In: Journal of Financial Economics, Vol. 114, No. 3, 2014, p. 517-553.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  23. 2013
  24. Published

    Complete subset regressions. / Elliott, G.; Gargano, A.; Timmermann, A.

    In: Journal of Econometrics, Vol. 177, No. 2, 01.12.2013, p. 357-373.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  25. Published

    Decentralized Investment Management : Evidence from the Pension Fund Industry. / Blake, D.; Rossi, A.G.; Timmermannn, Allan; Tonks, I.; Wermers, R.

    In: Journal of Finance, Vol. 68, No. 3, 01.06.2013, p. 1133-1178.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  26. Published

    Optimal convergence trade strategies. / Liu, J.; Timmermann, A.

    In: Review of Financial Studies, Vol. 26, No. 4, 01.04.2013, p. 1048-1086.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  27. Published

    Combining expert forecasts : Can anything beat the simple average? / Genre, V.; Kenny, G.; Meyler, A.; Timmermann, A.

    In: International Journal of Forecasting, Vol. 29, No. 1, 01.01.2013, p. 108-121.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  28. Published

    The Cross-Section of Conditional Mutual Fund Performance in European Stock Markets. / Banegas, Ayelen; Gillen, Ben; Timmermannn, Allan; Wermers, Russ.

    In: Journal of Financial Economics, Vol. 108, No. 3, 2013, p. 699-726.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review