CQER Working Papers feature the research of visiting scholars and distinguished economists. The papers are intended to stimulate professional discussion and exploration of quantitative economic research. Online only.
2009
Optimal Prediction Pools
John Geweke and Gianni Amisano
CQER Working Paper 09-05 (October)
This study finds that linear pools of prediction models generally yield predictions superior to those of any single model as assessed by a conventional log score function.
Comparing and Evaluating Bayesian Predictive Distributions of Asset Returns
John Geweke and Gianni Amisano
CQER Working Paper 09-04 (October)
Using five different models, the authors compare and evaluate the quality of predictive distributions over multiple horizons for asset returns of the S&P 500 index from 1972 through 2005.
Sources of Variation in Holding Returns for Fed Funds Futures Contracts
James D. Hamilton and Tatsuyoshi Okimoto
CQER Working Paper 09-03 (October)
This paper investigates the extent to which changes in regime can account for predictable gains from positions in fed funds futures contracts.
Causes and Consequences of the Oil Shock of 2007–08
James D. Hamilton
CQER Working Paper 09-02 (October)
Exploring similarities and differences between the oil price run-up in 2007–08 and earlier oil price shocks, the author examines what caused the price increase and what effects it had on the economy.
Liquidity Needs in Economies with Interconnected Financial Obligations
Julio J. Rotemberg
CQER Working Paper 09-01 (July)
In this financial system model where firms must settle their debts using liquid assets, limits on the amount of liquid assets can lead to more defaults when financial firms are more interconnected.
