Allan Timmermann gave the Tinbergen Institute Econometrics lectures 2016.
Topic of lecture
Recent years have seen extensive developments in the way information (sometimes from large data sets) is being used to generate economic forecasts and how such forecasts are evaluated. The lectures will provide a survey of recent methods for forecasting financial and economic time series, covering topics such as model selection, forecast combination, forecasting under model instability, forecasting and data mining, forecast evaluation techniques and methods for comparing forecasting performance across different models. Throughout the lectures, the techniques will be illustrated through applications to forecasting stock market returns and other economic variables and to evaluating fund manager performance.
Background of lecturer
Allan Timmermann is a professor of finance at the University of California San Diego. Since 2007 professor Timmermann holds the Atkinson/Epstein Endowed Chair at the UCSD’s Rady School of Management.
Timmermann is an associate editor of several leading journals in financial economics and econometrics including the Journal of Business and Economic Statistics, Journal of Financial Econometrics, Journal of Applied Econometrics and the Econometrics Journal. He is a fellow of the Journal of Econometrics, of the Society of Financial Econometrics, and a research fellow of the CEPR and CREATES. He has been a consultant for a variety of international banks and investment institutions, including the European Central Bank (ECB), Board of the Federal Reserve, and the International Monetary Fund (IMF). He has been a consultant for a variety of international banks and investment institutions, including the European Central Bank (ECB), Board of the Federal Reserve, and the International Monetary Fund (IMF). Timmermann holds a PhD in economics (1992) from the University of Cambridge, United Kingdom.
Professor Timmermann published in the top economics and finance journals Review of Economic Studies, Journal of Finance, Journal of Financial Economics, Review of Financial Studies and Journal of Econometrics. His most recent paper (with Reinhard Hansen) is forthcoming in Econometrica. Timmermann emphasizes a combination of theory, data and econometric techniques to understand the behavior of prices and expectations in financial markets. His research aims at comprehending what determines the movement of security prices and to use this knowledge in managing risk, forming portfolios and forecasting future price movements. Timmermann has developed new methods in areas such as forecasting under structural breaks, forecast combinations and evaluation of predictive skills. His research include asset pricing, portfolio management and evaluation, time-series econometrics and forecasting.
Tinbergen Institute Rotterdam, Burg. Oudlaan 50, 3062 PA Rotterdam
Bayle Building room JB-41