Pierre Guérin

Government of Canada - Bank of Canada

234 Wellington Street

Ontario, Ottawa K1A 0G9

Canada

SCHOLARLY PAPERS

6

DOWNLOADS

93

SSRN CITATIONS
Rank 7,119

SSRN RANKINGS

Top 7,119

in Total Papers Citations

29

CROSSREF CITATIONS

136

Scholarly Papers (6)

1.

Monetary Policy, Stock Market and Sectoral Comovement

Banco de Espana Working Paper No. 1731
Number of pages: 41 Posted: 25 Aug 2017
Pierre Guérin and Danilo Leiva‐Leon
Government of Canada - Bank of Canada and Banco de España
Downloads 59 (391,426)
Citation 1

Abstract:

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stock market, monetary policy, markov-switching, factor model, network analysis

2.

Characterizing Very High Uncertainty Episodes

ECB Working Paper No. 1637
Number of pages: 22 Posted: 13 Mar 2014
Martin Bijsterbosch and Pierre Guérin
European Central Bank (ECB) and Government of Canada - Bank of Canada
Downloads 28 (519,213)

Abstract:

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uncertainty, Markov-switching, survey data

3.

Markov-Switching Midas Models

CEPR Discussion Paper No. DP8234
Number of pages: 47 Posted: 09 Feb 2011
Government of Canada - Bank of Canada and European University Institute
Downloads 5 (670,713)
Citation 1
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business cycle, forecasting, mixed-frequency data, non-linear models, nowcasting

4.

Regime Switches in the Risk-Return Trade-Off

CEPR Discussion Paper No. DP9698
Number of pages: 45 Posted: 28 Oct 2013
University of North Carolina Kenan-Flagler Business School, Government of Canada - Bank of Canada and European University Institute
Downloads 1 (708,849)
Citation 26
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conditional variance, Markov-switching, MIDAS, Risk-return trade-off

5.

Markov-Switching Mixed-Frequency VAR Models

CEPR Discussion Paper No. DP9815
Number of pages: 44 Posted: 02 Jun 2014
Independent, Government of Canada - Bank of Canada and European University Institute
Downloads 0 (726,980)
Citation 1
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Fore-, Markov-switching, MIDAS, Mixed-frequency VAR, Nowcasting

6.

Do High-Frequency Financial Data Help Forecast Oil Prices? The Midas Touch at Work

CEPR Discussion Paper No. DP9768
Number of pages: 38 Posted: 02 Dec 2013
Christiane Baumeister, Pierre Guérin and Lutz Kilian
University of Notre Dame, Government of Canada - Bank of Canada and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0 (726,980)
Citation 1
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Forecasts, Mixed frequency, Oil price, Real-time data