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A MIDAS approach to modeling first and second moment dynamics
Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - In: Journal of econometrics 193 (2016) 2, pp. 315-334
Persistent link: https://www.econbiz.de/10011704952
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Predictability of stock returns and asset allocation under structural breaks
Pettenuzzo, Davide; Timmermann, Allan - In: Journal of econometrics 164 (2011) 1, pp. 60-78
Persistent link: https://www.econbiz.de/10009270410
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Dividend suspensions and cash flows during the Covid-19 pandemic : a dynamic econometric model
Pettenuzzo, Davide; Sabbatucci, Riccardo; Timmermann, Allan - In: Journal of econometrics 235 (2023) 2, pp. 1522-1541
Persistent link: https://www.econbiz.de/10014471409
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Moments of Markov switching models
Timmermann, Allan - In: Journal of econometrics 96 (2000) 1, pp. 75-111
Persistent link: https://www.econbiz.de/10001466745
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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/10001617167
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Business cycle asymmetries in stock returns : evidence from higher order moments and conditional densities
Pérez-Quirós, Gabriel; Timmermann, Allan - In: Journal of econometrics 103 (2001) 1/2, pp. 259-306
Persistent link: https://www.econbiz.de/10001585367
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Optimal forecast combinations under general loss functions and forecast error distributions
Elliott, Graham; Timmermann, Allan - In: Journal of econometrics 122 (2004) 1, pp. 47-79
Persistent link: https://www.econbiz.de/10002136491
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Dynamic econometric modeling and forecasting in the presence of instability
Timmermann, Allan; Dijk, Herman K. van - In: Journal of econometrics 177 (2013) 2, pp. 131-133
Persistent link: https://www.econbiz.de/10010254883
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Complete subset regressions
Elliott, Graham; Gargano, Antonio; Timmermann, Allan - In: Journal of econometrics 177 (2013) 2, pp. 357-373
Persistent link: https://www.econbiz.de/10010255136
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Dynamic econometric modeling and forecasting
Timmermann, Allan (contributor);  … - 2013
Persistent link: https://www.econbiz.de/10010255249