Allan Timmermann
Allan Timmermann holds a Atkinson/Epstein Chair in Management Leadership at the Rady School of Management and is also a professor in economics at UC San Diego's department of economics since 1994. He obtained his PhD from University of Cambridge after initial economics training at the University of Copenhagen. Timmermann is a very productive scholar in finance and applied econometrics. He serves as an associate editor on leading journals in finance, economics and forecasting including Journal of Business and Economic Statistics, Journal of Economic Dynamics and Control, Journal of Financial Econometrics, and Journal of Forecasting. He has published in journals such as Journal of American Statistical Association, Review of Economic Studies, Journal of Finance, and Journal of Econometrics.
Smith, S. C., Timmermann, A. & Zhu, Y. (2019). Variable selection in panel models with breaks. Journal of Econometrics, 212(1), 323-344. https://doi.org/10.1016/j.jeconom.2019.04.033
Plana-Ripoll, O., Weye, N., Knudsen, A. K., Hakulinen, C., Madsen, K. B., Christensen, M. K., Agerbo, E., Laursen, T. M., Nordentoft, M., Timmermann, A., Whiteford, H., Øverland, S., Iburg, K. M. & McGrath, J. J. (2023). The association between mental disorders and subsequent years of working life: a Danish population-based cohort study. The Lancet Psychiatry, 10(1), 30-39. https://doi.org/10.1016/S2215-0366(22)00376-5
Banegas, A., Gillen, B., Timmermannn, A. & Wermers, R. (2013). The Cross-Section of Conditional Mutual Fund Performance in European Stock Markets. Journal of Financial Economics, 108(3), 699-726. https://doi.org/10.1016/j.jfineco.2013.01.008
Schmidt, L., Timmermann, A. & Wermers, R. (2016). Runs on Money Market Mutual Funds. American Economic Review, 106(9), 2625-2657. https://doi.org/10.1257/aer.20140678
Grønborg, N. S., Lunde, A., Timmermann, A. & Wermers, R. (2017). Picking Funds with Confidence. Institut for Økonomi, Århus Universitet. CREATES Research Paper Nr. 2017-13
Grønborg, N. S., Lunde, A., Timmermann, A. & Wermers, R. (2021). Picking Funds with Confidence. Journal of Financial Economics, 139(1), 1-28. https://doi.org/10.1016/j.jfineco.2020.07.003
Liu, J. & Timmermann, A. (2013). Optimal convergence trade strategies. Review of Financial Studies, 26(4), 1048-1086. https://doi.org/10.1093/rfs/hhs130
Rossi, A. G., Blake, D., Timmermann, A., Tonks, I. & Wermers, R. (2018). Network centrality and delegated investment performance. Journal of Financial Economics, 128(1), 183-206. https://doi.org/10.1016/j.jfineco.2018.02.003
Chan, K. S., Hansen, B. E. & Timmermann, A. (2017). Guest Editors’ Introduction: Regime Switching and Threshold Models. Journal of Business and Economic Statistics, 35(2), 159-161. https://doi.org/10.1080/07350015.2017.1236521
Elliott, G. & Timmermann, A. (2016). Forecasting in economics and finance. Annual Review of Economics, 8, 81-110. https://doi.org/10.1146/annurev-economics-080315-015346
Pettenuzzo, D., Timmermann, A. & Valkanov, R. (2014). Forecasting Stock Returns under Economic Constraints. Journal of Financial Economics, 114(3), 517-553. https://doi.org/10.1016/j.jfineco.2014.07.015
Pettenuzzo, D. & Timmermann, A. (2017). Forecasting Macroeconomic Variables Under Model Instability. Journal of Business and Economic Statistics, 35(2), 183-201. https://doi.org/10.1080/07350015.2015.1051183
Elliott, G. & Timmermann, A. (2016). Economic Forecasting. Princeton University Press.
Elliott, G., Gargano, A. & Timmermann, A. (2013). Complete subset regressions. Journal of Econometrics, 177(2), 357-373. https://doi.org/10.1016/j.jeconom.2013.04.017
Hansen, P. R. & Timmermann, A. (2015). Comment. Journal of Business and Economic Statistics, 33(1), 17-21. https://doi.org/10.1080/07350015.2014.983601
Genre, V., Kenny, G., Meyler, A. & Timmermann, A. (2013). Combining expert forecasts: Can anything beat the simple average? International Journal of Forecasting, 29(1), 108-121. https://doi.org/10.1016/j.ijforecast.2012.06.004
Gargano, A., Pettenuzzo, D. & Timmermann, A. (2019). Bond return predictability: Economic value and links to the Macroeconomy. Management Science, 65(2), v-vi, 459-954. https://doi.org/10.1287/mnsc.2017.2829
Pettenuzzo, D., Timmermann, A. & Valkanov, R. (2016). A MIDAS approach to modeling first and second moment dynamics. Journal of Econometrics, 193(2), 315-334. https://doi.org/10.1016/j.jeconom.2016.04.009
