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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

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

Forecasting stock returns : an examination of stock market trading in the presence of transaction costs

Pesaran, M. Hashem - In: Journal of forecasting 13 (1994) 4, pp. 335-367

Persistent link: https://www.econbiz.de/10001166232

Why do dividend yields forecast stock returns?

Timmermann, Allan - In: Economics letters 46 (1994) 2, pp. 149-158

Persistent link: https://www.econbiz.de/10001171356

Effects of the US stock market return and volatility on the VKOSPI

Han, Heejoon; Kutan, Ali Mustafa; Ryu, Doojin - 2015

The KOSPI (Korea Composite Stock Price Index) 200 options are one of the most actively traded derivatives in the world. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 options and (b) the...

Persistent link: https://www.econbiz.de/10011376746