Allan Timmermann

Atkinson/Epstein Chair and Professor of Finance and Economics, Rady School of Management, University of California, San Diego

Allan Timmermann holds the Atkinson/Epstein Chair at the Rady School of Management at University of California, San Diego where he is a Professor of Finance and Economics. Dr. Timmermann has also taught at the London School of Economics and at Stanford University where he held the position of Kaiser Visiting Professor of Risk and Insurance. Timmermann was a founding member of the Model Validation Council, established in 2012 by the Board of Governors to provide independent expert advice on the procedures used by the Federal Reserve to rigorously assess its models for stress testing banks.

He chaired the Model Validation Council from 2014 to 2015. He has consulted for the International Monetary Fund (IMF) for which he conducted an evaluation of the World Economic Outlook forecasts. Timmermann has also consulted for the New York Federal Reserve, the European Central Bank (ECB) and a variety of private firms. In 2015 he held a fellowship at the Bank for International Settlements (BIS).Dr. Timmermann received his PhD in Economics from University of Cambridge.

In his research, Timmermann uses a mix of theory, data and econometric techniques to understand the behavior of prices and expectations in financial markets. His objective is to understand what determines the movement of security prices and to use this in managing risk, forming portfolios and forecasting future price movements. He has also studied mutual fund and pension fund performance. Timmermann has developed new methods in areas such as forecasting under structural breaks, forecast combinations and evaluation of predictive skills.

Timmermann’s research has been published in top journals in finance, economics and statistics, including Econometrica, American Economic Review (forthcoming), Quarterly Journal of Economics, Review of Economic Studies, Journal of American Statistical Association, Journal of Finance, Review of Financial Studies, Journal of Financial Economics, and Nature. His research received a ‘Best Paper Award’ for a paper published in the International Journal of Forecasting over the two-year periods 2004-2005 and 2008-2009. His book Economic Forecasting, co-authored with Graham Elliott, was published by Princeton University Press in April 2016.

Professor Timmermann is a Co-editor of Journal of Financial Econometrics and an Associate Editor of Journal of Business and Economic Statistics, Econometrics Journal and Journal of Applied Econometrics. He is a fellow of the Journal of Econometrics and the Society of Financial Econometrics. Dr. Timmermann’s research has been covered in the Wall Street Journal, Financial Times and The Economist.

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