Allan Timmermann's Books

Economic Forecasting

By: Graham Elliott,Allan Timmermann

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A comprehensive and integrated approach to economic forecasting problems Economic forecasting involves choosing simple yet robust models to best approximate highly complex and evolving data-generating processes. This poses unique challenges for researchers in a host of practical forecasting situations, from forecasting budget deficits and assessing financial risk to predicting inflation and stock market returns. Economic Forecasting presents a comprehensive, unified approach to assessing the costs and benefits of different methods currently available to forecasters. This text approaches forecasting problems from the perspective of decision theory and estimation, and demonstrates the profound implications of this approach for how we understand variable selection, estimation, and combination methods for forecasting models, and how we evaluate the resulting forecasts. Both Bayesian and non-Bayesian methods are covered in depth, as are a range of cutting-edge techniques for producing point, interval, and density forecasts. The book features detailed presentations and empirical examples of a range of forecasting methods and shows how to generate forecasts in the presence of large-dimensional sets of predictor variables. The authors pay special attention to how estimation error, model uncertainty, and model instability affect forecasting performance. Presents a comprehensive and integrated approach to assessing the strengths and weaknesses of different forecasting methods Approaches forecasting from a decision theoretic and estimation perspective Covers Bayesian modeling, including methods for generating density forecasts Discusses model selection methods as well as forecast combinations Covers a large range of nonlinear prediction models, including regime switching models, threshold autoregressions, and models with time-varying volatility Features numerous empirical examples Examines the latest advances in forecast evaluation Essential for practitioners and students alike

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567

Publisher

Princeton University Press

Published Date

ISBN 10

1400880890

ISBN 13

9781400880898

Economic Forecasting

By: Graham Elliott,Allan Timmermann

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Economic Forecasting

By: Graham Elliott,Allan Timmermann

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566

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Princeton University Press

Published Date

ISBN 10

0691140138

ISBN 13

9780691140131

An Evaluation of World Economic Outlook Growth Forecasts, 2004–17

By: Oya Celasun,Jungjin Lee,Mr. Mico Mrkaic,Mr. Allan Timmermann

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An Evaluation of World Economic Outlook Growth Forecasts, 2004–17

By: Oya Celasun,Jungjin Lee,Mr. Mico Mrkaic,Mr. Allan Timmermann

This paper examines the performance of World Economic Outlook (WEO) growth forecasts for 2004-17. Short-term real GDP growth forecasts over that period exhibit little bias, and their accuracy is broadly similar to those of Consensus Economics forecasts. By contrast, two- to five-year ahead WEO growth forecasts in 2004-17 tend to be upward biased, and in up to half of countries less accurate than a naïve forecast given by the average growth rate in the recent past. The analysis suggests that a more efficient use of available information on internal and external factors—such as the estimated output gap, projected terms of trade, and the growth forecasts of major trading partners—can improve the accuracy of some economies’ growth forecasts.

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International Monetary Fund

Published Date

ISBN 10

151358717X

ISBN 13

9781513587172

Country and Industry Dynamics in Stock Returns

By: Mr.Allan Timmermann,Mr.Luis Catão

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Country and Industry Dynamics in Stock Returns

By: Mr.Allan Timmermann,Mr.Luis Catão

A perennial question in international finance is to what extent stock returns are influenced by country-location, as opposed to industry-affiliation, factors. This paper develops a novel methodology to measure these effects, in which portfolios mimicking "pure" country and industry factors are first constructed and their joint dynamics then modeled as regime-switching processes. Estimation using global firm-level data allows us to identify well-defined volatility states over the past thirty years and shows that the contribution of the industry factor becomes systematically more prominent during high global volatility states, while the country factor contribution declines. Using the model's estimates, we find that portfolio diversification possibilities vary considerably across economic states.

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International Monetary Fund

Published Date

ISBN 10

1451847270

ISBN 13

9781451847277

Civil Procedure

Constitution, Statutes, Rules, and Supplemental Materials, 2021

By: Allan Ides,Christopher N. May,Simona Grossi

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Civil Procedure

Constitution, Statutes, Rules, and Supplemental Materials, 2021

By: Allan Ides,Christopher N. May,Simona Grossi

New to the 2021 Edition: Supreme Court cases updated through the close of the Supreme Court’s October 2020 Term Federal Rules and Statutes current up through the latest revisions Substantially updated materials in key chapters, including new cases and problems

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Page Count

320

Publisher

Aspen Publishing

Published Date

ISBN 10

154384474X

ISBN 13

9781543844740

Contemporary Finance

Money, Risk, and Public Policy

By: Allan M. Malz

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Contemporary Finance

Money, Risk, and Public Policy

By: Allan M. Malz

A clear new finance textbook that explains essential models and practices, and how the financial world works now Contemporary Financial Markets and Institutions: Tools and Techniques to Manage Risk and Uncertainty is an ideal introduction to finance for professionals and students. It covers the basic finance theory required to understand the contemporary financial world and builds on it to present finance in a detailed yet comprehensible way. It explains markets and institutions, and the central bank and government policies that influence how they operate. The book begins with an overview of basic finance theory, including investments, asset return behavior, derivatives pricing, and credit risk. It discusses topics that have dominated markets in recent decades, such as extreme events, liquidity, currency and debt crises, and radical changes in monetary policy and regulation. The concepts are presented alongside examples, strange market episodes, and data from recent experience. Contemporary Financial Markets and Institutions covers advanced credit topics like securitization in a straightforward, succinct way, without advanced mathematics, but with detailed examples using real market data. It integrates financial and macroeconomic content seamlessly. The book is suitable for use by undergraduate and graduate students, and by practitioners of all backgrounds. Abundant pedagogical resources in the book and online facilitate teaching. This book will help students and practioners: Learn the basic concepts and models in finance, including investment, asset pricing, uncertainty and risk, monetary policy and the regulatory system Explore recent developments, from the expansion of central banks to the chaos in commercial banking to changes in financial technology, that are dominating markets worldwide Gain knowledge of risk types, models, and measurement methods, and the impact of regulation Prepare yourself for a successful career in finance, or update your existing knowledge base with this comprehensive reference guide Ideal as a sole or supplementary textbook for beginning and advanced finance courses, as well as for practitioners in finance-related fields, this book takes a unique, market-focused approach that will serve readers well in our turbulent and puzzling times.

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Page Count

439

Publisher

John Wiley & Sons

Published Date

ISBN 10

1394179626

ISBN 13

9781394179626

The Science of the Art of Psychotherapy

The Latest Work From A Pioneer In The Study Of The Development

By: Allan N. Schore

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The Science of the Art of Psychotherapy

The Latest Work From A Pioneer In The Study Of The Development

By: Allan N. Schore

The chapters in the second part of the book on Developmental Affective Neuroscience and Developmental Neuropsychiatry address the science that underlies regulation theory’s clinical models of development and psychopathogenesis. Although most mental health practitioners are actively involved in child, adolescent, and adult psychotherapeutic treatment, a major theme of the latter chapters is that the field now needs to more seriously attend to the problem of early intervention and prevention.

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Page Count

473

Publisher

W. W. Norton & Company

Published Date

ISBN 10

0393706648

ISBN 13

9780393706642

Financial Risk Management

Models, History, and Institutions

By: Allan M. Malz

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Financial Risk Management

Models, History, and Institutions

By: Allan M. Malz

Financial risk has become a focus of financial and nonfinancial firms, individuals, and policy makers. But the study of risk remains a relatively new discipline in finance and continues to be refined. The financial market crisis that began in 2007 has highlighted the challenges of managing financial risk. Now, in Financial Risk Management, author Allan Malz addresses the essential issues surrounding this discipline, sharing his extensive career experiences as a risk researcher, risk manager, and central banker. The book includes standard risk measurement models as well as alternative models that address options, structured credit risks, and the real-world complexities or risk modeling, and provides the institutional and historical background on financial innovation, liquidity, leverage, and financial crises that is crucial to practitioners and students of finance for understanding the world today. Financial Risk Management is equally suitable for firm risk managers, economists, and policy makers seeking grounding in the subject. This timely guide skillfully surveys the landscape of financial risk and the financial developments of recent decades that culminated in the crisis. The book provides a comprehensive overview of the different types of financial risk we face, as well as the techniques used to measure and manage them. Topics covered include: Market risk, from Value-at-Risk (VaR) to risk models for options Credit risk, from portfolio credit risk to structured credit products Model risk and validation Risk capital and stress testing Liquidity risk, leverage, systemic risk, and the forms they take Financial crises, historical and current, their causes and characteristics Financial regulation and its evolution in the wake of the global crisis And much more Combining the more model-oriented approach of risk management-as it has evolved over the past two decades-with an economist's approach to the same issues, Financial Risk Management is the essential guide to the subject for today's complex world.

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752

Publisher

John Wiley & Sons

Published Date

ISBN 10

1118022912

ISBN 13

9781118022917

Country and Industry Dynamics in Stock Returns

By: Mr.Allan Timmermann,Mr.Luis Catão

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Country and Industry Dynamics in Stock Returns

By: Mr.Allan Timmermann,Mr.Luis Catão

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International Monetary Fund

Published Date

ISBN 10

1451847270

ISBN 13

9781451847277

An Evaluation of World Economic Outlook Growth Forecasts, 2004–17

By: Oya Celasun,Jungjin Lee,Mr. Mico Mrkaic,Mr. Allan Timmermann

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An Evaluation of World Economic Outlook Growth Forecasts, 2004–17

By: Oya Celasun,Jungjin Lee,Mr. Mico Mrkaic,Mr. Allan Timmermann

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Publisher

International Monetary Fund

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ISBN 10

151358717X

ISBN 13

9781513587172

Book's by Allan Timmermann

Economic Forecasting

Economic Forecasting

Economic Forecasting

Economic Forecasting

An Evaluation of World Economic Outlook Growth Forecasts, 2004–17

An Evaluation of World Economic Outlook Growth Forecasts, 2004–17

Country and Industry Dynamics in Stock Returns

Country and Industry Dynamics in Stock Returns

Civil Procedure

Civil Procedure

Contemporary Finance

Contemporary Finance

The Science of the Art of Psychotherapy

The Science of the Art of Psychotherapy

Financial Risk Management

Financial Risk Management

Country and Industry Dynamics in Stock Returns

Country and Industry Dynamics in Stock Returns

An Evaluation of World Economic Outlook Growth Forecasts, 2004–17

An Evaluation of World Economic Outlook Growth Forecasts, 2004–17

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