Allan Timmermann
Atkinson/Epstein Endowed Chair
Professor of Finance
Dr. Timmermann has been a member of UC San Diego's department of economics since 1994 and obtained his Ph.D. from University of Cambridge. He now holds a full-time position at the Rady School and has a joint appointment with the economics department. Dr. Timmermann has worked extensively with the Rady School. He served on the faculty recruiting committee and led the visioning, planning and execution of the Rady Economic Forecasting Conference. Prior to this, he was a member of the steering committee and dean search committee for the UCSD Management School.
Dr. Timmermann is a very productive and visible scholar in finance and applied econometrics. He serves as an associate editor on leading journals in finance, economics and forecasting. He uses a mix of theory, data and sophisticated econometric techniques to understand the behavior of financial markets. His objective is to understand what determines the movement of stock prices and to use this in managing risk and forecasting future price movements. He has also studied mutual fund performance and the extent to which mutual fund 'star' managers exist. Allan also is an effective and popular teacher. His students praise the relevance and rigor of his classes, his fairness and his sense of humor. Dr. Timmermann teaches finance courses in the Rady School MBA programs.
Recent Publications
Testing Dependence Among Serially Correlated Multi-category Variables. Supplement. Journal of American Statistical Association, 2009, 325-337 (with Hashem Pesaran).
Disagreement and Biases in Inflation Expectations. Journal of Money, Credit and Banking, 2009, 365-396 (with Carlos Capistran).
Forecasts of US Short-Term Interest Rates: A Flexible Forecast Combination Approach. Journal of Econometrics, 2009, 150, 297-311 (with Massimo Guidolin).
International Asset Allocation under Regime Switching, Skew and Kurtosis Preference. Review of Financial Studies, 2008, 21, 889-935 (with Massimo Guidolin).
Economic Forecasting. Journal of Economic Literature, 2008, 46, 3-56 (with Graham Elliott).
Size and Value Anomalies under Regime Shifts. Journal of Financial Econometrics, 2008, 6, 1-48 (with Massimo Guidolin).
Elusive Return Predictability. Editor's Invited Lecture. International Journal of Forecasting, 2008, 1-18.
Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss. Journal of European Economic Association, 2008, 6(1), 122-157 (with Graham Elliott and Ivana Komunjer).
Performance Measurement and Evaluation. Handbook of Financial Intermediation and Banking, 2008, edited by Arnoud Boot and Anjan Thakor. Elsevier. (with Bruce Lehmann).
Testing Forecast Optimality under Unknown Loss. Journal of American Statistical Association, 2007, 102, 1172-1184 (with Andrew J. Patton).
Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity. Journal of Econometrics, 2007, 140, 884-918 (with Andrew J. Patton)
Selection of Estimation Window in the Presence of Breaks. Journal of Econometrics, 2007, 137, 134-161 (with Hashem Pesaran).
Asset Allocation under Multivariate Regime Switching. Journal of Economic Dynamics and Control 2007, 3503-3544 (with Massimo Guidolin).
Learning, Structural Instability and Present Value Calculations. Econometric Reviews, 2007, 26, 253-288 (with Hashem Pesaran and Davide Pettenuzzo).
Properties of Equilibrium Asset Prices Under Alternative Learning Schemes. Journal of Economic Dynamics and Control, 2007, 31(1), 161-217 (with Massimo Guidolin).
Can Mutual Fund Stars Really Pick Stocks? New Evidence from a Bootstrap Analysis. (with Robert Kosowski, Russ Wermers, and Hal White). Journal of Finance, December 2006.
Forecasting Time Series Subject to Multiple Structural Breaks. Review of Economic Studies 2006, 73, 1057-1084 (with Hashem Pesaran and Davide Pettenuzzo).
An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns. Journal of Applied Econometrics 2006, 21, 1-22 (with Massimo Guidolin).
Forecast Combinations. Handbook of Economic Forecasting 2006.
Instability of Return Prediction Models. Journal of Empirical Finance 2006, 13 (3), 274-315 (with Bradley Paye).
Persistence in Forecasting Performance and Conditional Combination Strategies. Journal of Econometrics 2006, 135, 31-53 (with Marco Aiolfi).
Term Structure of Risk under Alternative Econometric Specifications. Journal of Econometrics 2006, 131, 285-308 (with Massimo Guidolin).
Estimation and Testing of Forecast Rationality under Flexible Loss. Review of Economic Studies 2005, 72, 1107-1125 (with Graham Elliott and Ivana Komunjer).
Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks. Journal of Econometrics, 2005, 183-217 (with M. Hashem Pesaran).
International Asset Allocation with Time-Varying Investment Opportunities. Journal of Business, 2005, 71-98 (with David Blake).
Real Time Econometrics. Econometric Theory, 2005, 212-231 (with Hashem Pesaran).
Optimal Forecast Combination Under Regime Switching. International Economic Review, 2005, 1081-1102 (with Graham Elliott).
Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns. Economic Journal, 2005, 111-143 (with Massimo Guidolin).
Completion Time Structures of Stock Price Movements. Annals of Finance, 2005, 193-226 (with Asger Lunde).
Relative Performance Evaluation Contracts and Asset Market Equilibrium. Economic Journal, 2005, 1077-11202 (with Sandeep Kapur).
Working Papers
Forecast Combination with Entry and Exit of Experts. Forthcoming in Journal of Business and Economic Statistics (with Carlos Capistran).
Monotonicity in Asset Returns: New Tests with Applications to the Term Structure, the CAPM and Portfolio Sorts. (with Andrew J. Patton). (Formerly Portfolio Sorts and Tests of Cross-Sectional Patterns in Expected Returns). Computer Code
What is the Shape of the Risk-Return Relation? (with Alberto Rossi).
Is the Distribution of Stock Returns Predictable? (with Tolga Cenesizoglu).
Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications. (with Jun Liu).
Variable Selection and Inference for Multi-period Forecasting Problems. (with Hashem Pesaran and Andreas Pick)
Why do Forecasters Disagree? Lessons from the Term Structure of Cross-Sectional Dispersion. (with Andrew J. Patton).
The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecasts. (with Andrew J. Patton).
Generalized Forecast Errors, A Change of Measure and Forecast Optimality. Forthcoming in T. Bollerslev, J. Russell, and M. Watson, (eds.), "Volatility and Time Series Econometrics: Essays in Honour of Robert F. Engle" , Oxford University Press (with Andrew J. Patton).
Predictability of Stock Returns and Asset Allocation under Structural Breaks. (with Davide Pettenuzzo).
Common Factors in Latin America's Business Cycles. (with Marco Aiolfi and Luis Catão).
Asymmetric Loss and the Term Structure of Analysts' Earnings Expectations. (with Marco Aiolfi and Marius Rodrigues).
Volatility Regimes and Global Equity Returns. Forthcoming in T. Bollerslev, J. Russell, and M. Watson, (eds.), "Volatility and Time Series Econometrics: Essays in Honour of Robert F. Engle" , Oxford University Press (with Luis Catão).