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Bond return predictability : economic value and links to the macroeconomy

Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540

Persistent link: https://www.econbiz.de/10012000665

Modeling covariance risk in Merton's ICAPM

Rossi, Alberto; Timmermann, Allan - In: The review of financial studies 28 (2015) 5, pp. 1428-1461

Persistent link: https://www.econbiz.de/10011338198

Forecasting stock returns under economic constraints

Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - In: Journal of financial economics 114 (2014) 3, pp. 517-553

Persistent link: https://www.econbiz.de/10010532691

Have risk premia vanished?

Smith, Simon C.; Timmermann, Allan - In: Journal of financial economics 145 (2022) 2,2, pp. 553-576

Persistent link: https://www.econbiz.de/10013474424

Term structure of sentiment effect on investor trading behavior

Kim, Karam; Ryu, Doojin - In: Finance research letters 43 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10014633474

The impacts of overseas market shocks on the CDS-option basis

Park, Yuen Jung; Kutan, Ali Mustafa; Ryu, Doojin - In: The North American journal of economics and finance : a … 47 (2019), pp. 622-636

Persistent link: https://www.econbiz.de/10012120141

The difference in the intraday return-volume relationships of spot and futures : a quantile regression approach

Lee, Jaeram; Lee, Geul; Ryu, Doojin - 2019

This study illuminates the difference in the intraday return-volume relationships of spot and index futures. The quantile regression analyses show that the widening effect of the spot trading volume on the distribution of spot returns disappears within a short period of time, whereas that of the...

Persistent link: https://www.econbiz.de/10011986884

Mutual fund performance : evidence from the UK

Blake, David; Timmermann, Allan - In: European finance review : the official journal of the … 2 (1998) 1, pp. 57-77

Persistent link: https://www.econbiz.de/10001400427

How learning in financial markets generates excess volatility and predictability in stock prices

Timmermann, Allan - In: The quarterly journal of economics 108 (1993) 4, pp. 1135-1145

Persistent link: https://www.econbiz.de/10001151027

Predictability of stock returns : robustness and economic significance

Pesaran, M. Hashem - In: The journal of finance : the journal of the American … 50 (1995) 4, pp. 1201-1228

Persistent link: https://www.econbiz.de/10001191734