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Variable selection, estimation and inference for multi-period forecasting problems
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - In: Journal of econometrics 164 (2011) 1, pp. 173-187
Persistent link: https://www.econbiz.de/10009270389
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Selection of estimation window in the presence of breaks
Pesaran, M. Hashem; Timmermann, Allan - In: Journal of econometrics 137 (2007) 1, pp. 134-161
Persistent link: https://www.econbiz.de/10003425523
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Small sample properties of forecasts from autoregressive models under structural breaks
Pesaran, M. Hashem; Timmermann, Allan - In: Journal of econometrics 129 (2005) 1/2, pp. 183-217
Persistent link: https://www.econbiz.de/10003172764
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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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Term structure of risk under alternative econometric specifications
Guidolin, Massimo; Timmermann, Allan - In: Journal of econometrics 131 (2006) 1, pp. 285-308
Persistent link: https://www.econbiz.de/10006747791
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Small sample properties of forecasts from autoregressive models under structural breaks
Pesaran, M.Hashem; Timmermann, Allan - In: Journal of econometrics 129 (2005) 1, pp. 183-218
Persistent link: https://www.econbiz.de/10006750357
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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. 47-80
Persistent link: https://www.econbiz.de/10006756218
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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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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