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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
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Re-examination of international bond market dependence : evidence from a pair copula approach
Abakah, Emmanuel Joel Aikins; Addo, Emmanuel; … - In: International review of financial analysis 74 (2021), pp. 1-35
Persistent link: https://www.econbiz.de/10012803932
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Time-varying dependence between stock and government bond returns : international evidence with dynamic copulas
Jammazi, Rania; Tiwari, Aviral Kumar; Ferrer, Román; … - In: The North American journal of economics and finance : a … 33 (2015), pp. 74-93
Persistent link: https://www.econbiz.de/10011534370
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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
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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
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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
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A frequency based causality approach for the yield spread as a leading indicator of economic activity : evidence from India
Bhanja, Niyati; Dar, Arif Billah; Tiwari, Aviral Kumar - In: Indian journal of economics & business : IJEB 15 (2016) 2, pp. 243-255
Persistent link: https://www.econbiz.de/10011645838
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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
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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
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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