Skip to main content

Allan Timmermann

Dr. Harry M. Markowitz Endowed Chair in Finance and Investing, Distinguished Professor of Finance

Allan Timmermann is a Distinguished Professor at UCSD and holds the Dr. Harry M. Markowitz Endowed Chair in Finance and Investing. His research uses a mix of economic theory, data analytics, and econometric techniques to understand and predict the behavior of investors and prices in financial markets. His publications address topics such as whether financial returns are predictable and its implications for investors’ portfolio strategies, whether risk premia have vanished, whether mutual funds and pension funds add value through their investment decisions, and whether “star” fund managers exist.

Timmermann has developed new statistical methods in areas such as forecasting under structural breaks, forecast combinations, Bayesian forecasting methods, and identification of luck versus skill in economic forecasting.

He serves as the managing Co-editor of Journal of Financial Econometrics and as an Associate Editor of leading journals in finance and econometrics. Timmermann earned his Ph.D. from the University of Cambridge, a masters degree from London School of Economics and a Cand. Polit degree from University of Copenhagen.

Recent/Forthcoming Publications

Economic Forecasting (with Graham Elliott). Princeton University Press.

Search and Predictability of Prices in the Housing Market (with Moller, S.V., T. Pedersen, E.C. Montes Schutte ). Forthcoming in Management Science

Dividend Suspensions and Cash Flows During the Covid-19 Pandemic: A Dynamic Econometric Model (with Pettenuzzo, D., Sabbatucci, R.). Forthcoming in Journal of Econometrics

Comparing Forecasting Performance with Panel Data (with Qu, R., and Y. Zhu ). Forthcoming in International Journal of Forecasting.

Comparing Forecasting Performance in Cross Sections (with Ritong Qu and Yinchu Zhu). Forthcoming in Journal of Econometrics.

Pockets of Predictability (with Leland Farmer and Larry Schmidt). Journal of Finance 2023, 78, 1279-1341.  
Note, a minor coding error impacted some of the results using the original method in the paper. In this note, we describe a simple adjustment to the estimation procedure which restores the key results of the published paper.

Have Risk Premia Vanished? (with Simon Smith) Journal of Financial Economics, 2022, 145, 553-576.

Conditional Rotation Between Forecasting Models (with Yinchu Zhu). Journal of Econometrics 2022, 231, 329-347.

Break Risk (with Simon Smith). Forthcoming in Review of Financial Studies 2021, 34(4), 2045-2100).

Cash Flow News and Stock Price Dynamics (with Davide Pettenuzzo and Riccardo Sabbatucci). Journal of Finance, 2020, 75, 2221-2270.

Picking Funds with Confidence (with Niels Groenborg, Asger Lunde, and Russ Wermers). Journal of Financial Economics, 2020, 139, 1-28.

Investor Information Acquisition and money market fund risk rebalancing during the 2011-12 Eurozone crisis (with Emily Gallagher, Lawrence Schmidt, and Russ Wermers). Review of Financial Studies, 2020, 33, 1445-1483.

Variable selection in panel models with breaks. with Simon Smith and Yinchu Zhu. Journal of Econometrics, 2019, 212(1), 323-344.

Bond return predictability: Economic value and links to the Macroeconomy (with A. Gargano and D. Pettenuzzo), 2019, Management Science 65, 2, 508-540.

Network centrality and delegated investment performance (with A. Rossi, D. Blake, I. Tonks and R. Wermers), 2018, Journal of Financial Economics 128, 1, 183-206.

Forecasting Methods in Finance. Annual Review of Financial Economics 2018, 10, 449-479.

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

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

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

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

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

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

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

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

Decentralized Investment Management: Evidence from the Pension Fund Industry (with David B., A. Rossi, I. Tonks, and R. Wermers), Journal of Finance 2013, 68, 1133-1178.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Disagreement and Biases in Inflation Expectations (with C. Capistran), Journal of Money, Credit and Banking, 2009, 365-396.

Forecasts of US Short-Term Interest Rates: A Flexible Forecast Combination Approach (with M. Guidolin), Journal of Econometrics, 2009, 150, 297-311.

International Asset Allocation under Regime Switching, Skew and Kurtosis Preference (with M. Guidolin), Review of Financial Studies, 2008, 21, 889-935.

Economic Forecasting (with G. Elliott), Journal of Economic Literature, 2008, 46, 3-56.

Size and Value Anomalies under Regime Shifts (with M. Guidolin), Journal of Financial Econometrics, 2008, 6, 1-48.

Elusive Return Predictability. Editor's Invited Lecture. International Journal of Forecasting, 2008, 1-18.

Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss (with G. Elliott and I. Komunjer), Journal of European Economic Association, 2008, 6(1), 122-157.

Testing Forecast Optimality under Unknown Loss (with A. J. Patton), Journal of American Statistical Association, 2007, 102, 1172-1184.

Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity (with A. J. Patton), Journal of Econometrics, 2007, 140, 884-918.

Selection of Estimation Window in the Presence of Breaks (with H. Pesaran), Journal of Econometrics, 2007, 137, 134-161.

Asset Allocation under Multivariate Regime Switching (with M. Guidolin), Journal of Economic Dynamics and Control 2007, 3503-3544.

Learning, Structural Instability and Present Value Calculations (with H. Pesaran and D. Pettenuzzo), Econometric Reviews, 2007, 26, 253-288.

Properties of Equilibrium Asset Prices Under Alternative Learning Schemes (with M. Guidolin), Journal of Economic Dynamics and Control, 2007, 31(1), 161-217.

Can Mutual Fund Stars Really Pick Stocks? New Evidence from a Bootstrap Analysis (with R. Kosowski, R. Wermers, and H. White), Journal of Finance, December 2006

Forecasting Time Series Subject to Multiple Structural Breaks (with H. Pesaran and D. Pettenuzzo), Review of Economic Studies 2006, 73, 1057-1084.

An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns (with M. Guidolin), Journal of Applied Econometrics 2006, 21, 1-22.

Instability of Return Prediction Models (with B. Paye), Journal of Empirical Finance 2006, 13 (3), 274-315.

Persistence in Forecasting Performance and Conditional Combination Strategies (with M. Aiolfi), Journal of Econometrics 2006, 135, 31-53.

Term Structure of Risk under Alternative Econometric Specifications (with M. Guidolin), Journal of Econometrics 2006, 131, 285-308.

Estimation and Testing of Forecast Rationality under Flexible Loss (with G. Elliott and I. Komunjer), Review of Economic Studies 2005, 72, 1107-1125.

Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks (with M. H. Pesaran), Journal of Econometrics, 2005, 183-217.

International Asset Allocation with Time-Varying Investment Opportunities (with D. Blake), Journal of Business, 2005, 71-98.

Real Time Econometrics (with H. Pesaran), Econometric Theory, 2005, 212-231.

Optimal Forecast Combination Under Regime Switching (with G. Elliott), International Economic Review, 2005, 1081-1102.

Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns (with M. Guidolin), Economic Journal, 2005, 111-143.

Completion Time Structures of Stock Price Movements (with A. Lunde), Annals of Finance, 2005, 193-226.

Relative Performance Evaluation Contracts and Asset Market Equilibrium (with S. Kapur), Economic Journal, 2005, 1077-11202.

Working Papers

Do Any Economists Have Superior Forecasting Skills? (with Ritong Qu and Yinchu Zhu)

Fluctuations in Economic Uncertainty and Transmission of Monetary Policy Shocks (with Rafael Burjack and Ritong Qu)

Comparing Forecasting Performance with Panel Data (with Y. Zhu)

Forecasting Methods in Finance

Monitoring forecasting performance (with Y. Zhu)

Predictive Dynamics in Commodity Prices (with A. Gargano)

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

Book Chapters

Forecast Combinations (with M. Aiolfi and C. 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).

Research Areas

  • Asset Pricing
  • Portfolio Management and Evaluation
  • Time-series and Panel Econometrics
  • Economic Forecasting

Industry Areas

  • Financial Markets
  • Economic Forecasting
  • Portfolio Management