Allan Timmermann

Atkinson/Epstein Endowed Chair

Professor of Finance

Co-Director, Master of Finance Program

Curriculum Vitae

Contact Info

Rady School of Management
Otterson Hall Hall, Room 4S146
9500 Gilman Drive #0553
La Jolla, CA 92093-0553
Phone: (858) 5340894­
Fax: (858) 5340745­


Econ 270

Research Areas

Asset pricing
Portfolio management and evaluation
Time-series and panel econometrics
Economic forecasting

Industry Areas

Financial markets
Economic forecasting
Portfolio management
Allan Timmermann

Timmermann uses a mix of theory, data and econometric techniques to understand the behavior of prices and expectations in financial markets. His objective is to understand what determines the movement of security prices and to use this in managing risk, forming portfolios and forecasting future price movements. He has also studied mutual fund and pension fund performance. Timmermann has developed new methods in areas such as forecasting under structural breaks, forecast combinations and evaluation of predictive skills.

He serves as an associate editor on leading journals in financial economics and econometrics. Timmermann earned his Ph.D. from the University of Cambridge.

Recent/Forthcoming Publications

economic forecasting  Economic Forecasting (with Graham Elliott) 

Network centrality and delegated investment performance. Forthcoming in Journal of Financial Economics (with Alberto Rossi, David Blake, Ian Tonks and Russ Wermers)

Bond return predictability: Economic value and links to the Macroeconomy. Forthcoming in Management Science (with Antonio Gargano and Davide Pettenuzzo)

Runs on Money Market Mutual Funds. American Economic Review 2016, 106(9) 2625-2657. (with Lawrence Schmidt and Russ Wermers)

A MIDAS Approach to modeling first and second moment dynamics. Journal of Econometrics 2016, 193(2), 315-334. (with Davide Pettenuzzo and Rossen Valkanov)

Forecasting in Economics and Finance. Annual Review of Economics 2016, 8, 81-110. (with Graham Elliott)

Forecasting Macroeconomic Variables under model instability. Journal of Business and Economic Statistics 2017, 35, 183-201. (with Davide Pettenuzzo)

Equivalence between out-of-sample forecast comparisons and Wald Statistics. Econometrica 2015, 83(6) 2485-2505. (with Peter Reinhard Hansen)

Modeling Covariance Risk in Merton’s ICAPM. Review of Financial Studies 2015, vol. 28, 1428-1461. (with Alberto Rossi)

Forecasting Stock Returns under Economic Constraints, 2014, Journal of Financial Economics 114, 517-553. (with Davide Pettenuzzo and Rossen Valkanov)

Optimal Convergence Trade Strategies. Review of Financial Studies 2013, 26(4), 1048-1086. (with Jun Liu)

Decentralized Investment Management: Evidence from the Pension Fund Industry. Journal of Finance 2013, 68, 1133-1178. (with David Blake, Alberto Rossi, Ian Tonks, and Russ Wermers)

The Cross-section of Conditional Mutual Fund Performance in European Stock Markets. Journal of Financial Economics 2013, 108, 699-726. (with Ayelen Banegas, Ben Gillen, and Russ Wermers)

Complete Subset Regressions. Journal of Econometrics, 2013, vol. 177, 357-373. (with Graham Elliott and Antonio Gargano)

Combining Expert Forecasts: Can Anything Beat the Simple Average?. International Journal of Forecasting 2013, 29, 108-121. (with V. Genre, G. Kenny and A. Meyler)

Regime Changes and Financial Markets. Annual Review of Financial Economics 2012, 4:313-337. (with Andrew Ang)

Do Return Prediction Models Add Economic Value?. Journal of Banking and Finance 2012, 36 (11), 2974-2987. (with Tolga Cenesizoglu)

Forecast Rationality Tests Based on Multi-Horizon Bounds. Journal of Business and Economic Statistics 2012, 30 (1), 1-17 (with Andrew J. Patton)

Common Factors in Latin America's Business Cycles. Journal of Development Economics 2011, 95, 212-228 (with Marco Aiolfi and Luis Catão) Excel Data file Data Appendix

Predictability of Output Growth and Inflation: A Multi-horizon Survey Approach. Journal of Business and Economic Statistics 2011, 29, 397-410. (with Andrew J. Patton)

Variable Selection, Estimation and Inference for Multi-period Forecasting Problems. Jourrnal of Econometrics 2011, 164, 173-187. (with Hashem Pesaran and Andreas Pick)

Predictability of Stock Returns and Asset Allocation under Structural Breaks. Journal of Econometrics 2011, 164, 60-78. (with Davide Pettenuzzo)

Why do Forecasters Disagree? Lessons from the Term Structure of Cross-Sectional Dispersion. Journal of Monetary Economics, 2010, 57, 803-820. (with Andrew J. Patton)

Monotonicity in Asset Returns: New Tests with Applications to the Term Structure, the CAPM and Portfolio Sorts. Journal of Financial Economics 2010, 98, 605-625. (with Andrew J. Patton). (Formerly Portfolio Sorts and Tests of Cross-Sectional Patterns in Expected Returns).  Computer Code

Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability. Journal of Financial Econometrics 2010, 8(3), 305-334. (with Marco Aiolfi and Marius Rodrigues)

Testing Dependence Among Serially Correlated Multi-category Variables. Supplement. Journal of American Statistical Association, 2009, 325-337. (with Hashem Pesaran)

Forecast Combination with Entry and Exit of Experts. Journal of Business and Economic Statistics, 2009, 27, 429-440. (with Carlos Capistran)

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)

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. Journal of Finance, December 2006 (with Robert Kosowski, Russ Wermers, and Hal White)

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)

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

A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics (with Davide Pettenuzzo and Rossen Valkanov)

Bond Return Predictability: Economic Value and Links to the Macroeconomy (with Antonio Garganoy and Davide Pettenuzzoz)

Runs on Money Market Mutual Funds (with Lawrence Schmidt and Russ Wermers)

Predictive Dynamics in Commodity Prices (with Antonio Gargano)

Choice of Sample Split in Out-of-Sample Forecast Evaluation (with Peter Reinhard Hansen)

Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics (with Peter Reinhard Hansen)

Book Chapters

Forecast Combinations (with Marco Aiolfi and Carlos Capistran). Forthcoming in Forecast Handbook (Oxford), Edited by Michael Clements and David Hendry.

Generalized Forecast Errors, A Change of Measure and Forecast Optimality.  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).

Volatility Regimes and Global Equity Returns. 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).