Pierre Guérin

Government of Canada - Bank of Canada

234 Wellington Street

Ontario, Ottawa K1A 0G9

Canada

SCHOLARLY PAPERS

6

DOWNLOADS

83

CITATIONS
Rank 37,778

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Top 37,778

in Total Papers Citations

9

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 50 (383,263)
Citation 1

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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 27 (476,022)
Citation 2

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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 (605,734)
Citation 9
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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 (643,078)
Citation 132
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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
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Citation 3
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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 University of Michigan at Ann Arbor - Department of Economics
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Citation 9
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Forecasts, Mixed frequency, Oil price, Real-time data