Structural Breaks, Incomplete Information, and Stock Prices
By Allan G. Timmermann. 2001
139 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/1269141e026c1298ca2cfc8434855da35e9323cc
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Allan G. Timmermann
- Stijn Van Nieuwerburgh
- Andrew Ang
- Claudio Morana
- Davide Pettenuzzo
- Andrea Beltratti
- Martin Lettau
- Hashem Pesaran
In Finance
- Allan G. Timmermann
- Stijn Van Nieuwerburgh
- Andrew Ang
- Claudio Morana
- Andrea Beltratti
- Davide Pettenuzzo
- Martin Lettau
- Hashem Pesaran
Citations in the corpus
- Parameter Learning in General Equilibrium: The Asset Pricing Implications (2016, unknown): “[44] Timmermann, A.”
- Reconciling the Return Predictability Evidence In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability (2006, background): “Evidence for such breaks in US data is provided in Timmermann (2001).”
- Breaks and persistency: macroeconomic causes of stock market volatility (2006, methodology): “The break process has been estimated by means of a Markov switching model (Hamilton [50]), as suggested by Timmerman [93], Beltratti and Morana [13] and Morana [74].”
- Learning, Structural Instability, and Present Value Calculations (2007, background): “When dividends follow the AR(1) process (30), the value of ∆ ln(xT+h) is given by”
- How Costly is it to Ignore Breaks When Forecasting the Direction of a Time Series? (2004, background): “Many other studies have confirmed the presence of breaks in economic and financial time series; see, inter alia, Alogoskoufis and Smith (1991), Garcia and Perron (1996), Bai and Perron (1998), Clements and Hendry (1998), Pesaran and Timmermann (2002) and Timmermann (2001).”
- Level Shifts and the Illusion of Long Memory in Economic Time Series (2004, background): “Chib (1998) and Timmermann (2001) analyze a hidden Markov process that is”
- Regime Changes and Financial Markets (2012, background): “Timmermann (2001) shows how regime switching in the dividend growth process and agents’ learning about the underlying regime can give rise to volatility clustering in asset returns, volatility being particularly high after a break in the dividend growth process at which point uncertainty about…”