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Option prices under Bayesian learning: implied volatility dynamics and predictive densities

Guidolin, Massimo; Timmermann, Allan - In: Journal of economic dynamics & control 27 (2003) 5, pp. 717-770

Persistent link: https://www.econbiz.de/10006764585

Dangers of data mining: The case of calendar effects in stock returns

Sullivan, Ryan; Timmermann, Allan; White, Halbert - In: Journal of econometrics 105 (2001) 1, pp. 249-286

Persistent link: https://www.econbiz.de/10006772532

Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities

Perez-Quiros, Gabriel; Timmermann, Allan - In: Journal of econometrics 103 (2001) 1, pp. 259-306

Persistent link: https://www.econbiz.de/10006774208

Asset Allocation Dynamics and Pension Fund Performance

Blake, David; Lehmann, Bruce N.; Timmermann, Allan - In: The journal of business : B 72 (1999) 4, pp. 429-462

Persistent link: https://www.econbiz.de/10006049015

OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING

Elliott, Graham; Timmermann, Allan - In: International economic review 46 (2005) 4, pp. 1081-1102

Persistent link: https://www.econbiz.de/10006013988

International Asset Allocation with Time-Varying Investment Opportunities

Timmermann, Allan; Blake, David - In: The journal of business : B 78 (2005) 1, pp. 71-98

Persistent link: https://www.econbiz.de/10006017062

Search and predictability of prices in the housing market

Møller, Stig Vinther; Pedersen, Thomas Quistgaard; … - In: Management science : journal of the Institute for … 70 (2024) 1, pp. 415-438

Persistent link: https://www.econbiz.de/10014470028

Breaks in the Phillips Curve : Evidence from Panel Data

Smith, Simon; Timmermann, Allan; Wright, Jonathan H. - 2023

We revisit time-variation in the Phillips curve, applying new Bayesian panel methods with breakpoints to US and European Union disaggregate data. Our approach allows us to accurately estimate both the number and timing of breaks in the Phillips curve. It further allows us to determine the...

Persistent link: https://www.econbiz.de/10014358187

Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts

Patton, Andrew J.; Timmermann, Allan - In: Journal of financial economics 98 (2010) 3, pp. 605-626

Persistent link: https://www.econbiz.de/10008706032

Forecasts of US short-term interest rates: A flexible forecast combination approach

Guidolin, Massimo; Timmermann, Allan - In: Journal of econometrics 150 (2009) 2, pp. 297-312

Persistent link: https://www.econbiz.de/10008890751

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