Pierre Guérin : Citation Profile


Are you Pierre Guérin?

International Monetary Fund (IMF)

8

H index

8

i10 index

232

Citations

RESEARCH PRODUCTION:

16

Articles

34

Papers

RESEARCH ACTIVITY:

   10 years (2011 - 2021). See details.
   Cites by year: 23
   Journals where Pierre Guérin has often published
   Relations with other researchers
   Recent citing documents: 66.    Total self citations: 11 (4.53 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgu370
   Updated: 2021-09-18    RAS profile: 2021-09-07    
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Relations with other researchers


Works with:

Leiva-Leon, Danilo (8)

Marcellino, Massimiliano (7)

Baumeister, Christiane (5)

Foroni, Claudia (3)

Friedrich, Christian (3)

Ferrara, Laurent (3)

Bulusu, Narayan (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Pierre Guérin.

Is cited by:

Foroni, Claudia (11)

Marcellino, Massimiliano (10)

Wang, Yudong (9)

Ravazzolo, Francesco (8)

Liu, Xiaochun (7)

GUPTA, RANGAN (6)

Baumeister, Christiane (6)

Kilian, Lutz (6)

Christiansen, Charlotte (5)

Filis, George (5)

Degiannakis, Stavros (5)

Cites to:

Marcellino, Massimiliano (32)

Hamilton, James (18)

Kilian, Lutz (14)

bloom, nicholas (13)

Schumacher, Christian (11)

Diebold, Francis (11)

Watson, Mark (11)

Baumeister, Christiane (11)

Foroni, Claudia (11)

Pesaran, M (10)

Rossi, Barbara (10)

Main data


Where Pierre Guérin has published?


Journals with more than one article published# docs
Economics Letters4
International Journal of Forecasting4
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Staff Working Papers / Bank of Canada8
OECD Economics Department Working Papers / OECD Publishing3
Working Papers / Banco de Espaa3
Working Paper Series / European Central Bank2
IMF Working Papers / International Monetary Fund2

Recent works citing Pierre Guérin (2021 and 2020)


YearTitle of citing document
2020Are low frequency macroeconomic variables important for high frequency electricity prices?. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Papers. RePEc:arx:papers:2007.13566.

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2020Why Do Central Banks Make Public Announcements of Open Market Operations?. (2020). Bulusu, Narayan. In: Staff Working Papers. RePEc:bca:bocawp:20-35.

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2021Estimating Policy Functions in Payments Systems Using Reinforcement Learning. (2021). Rivadeneyra, Francisco ; Garratt, Rodney ; Du, Han ; Desai, Ajit ; Castro, Pablo S. In: Staff Working Papers. RePEc:bca:bocawp:21-7.

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2020Estimación de la variación del precio de los alimentos con modelos de frecuencias mixtas. (2020). Cardenas-Cardenas, Julian Alonso ; Gonzalez, Eliana R ; Caicedo-Garcia, Edgar. In: Borradores de Economia. RePEc:bdr:borrec:1109.

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2020Moving markets? Government bond investors and microeconomic policy changes. (2020). Wibbels, Erik ; Paniagua, Victoria ; Mosley, Layna. In: Economics and Politics. RePEc:bla:ecopol:v:32:y:2020:i:2:p:197-249.

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2020Real-Time Forecasting Using Mixed-Frequency VARS with Time-Varying Parameters. (2020). Reif, Magnus ; Heinrich, Markus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8054.

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2020Increasing Business Uncertainty and Credit Conditions in Times of Low and High Uncertainty: Evidence from Firm-Level Survey Data. (2020). Henzel, Steffen ; Grimme, Christian. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8791.

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2020Macroeconomics, Nonlinearities, and the Business Cycle. (2020). Reif, Magnus. In: ifo Beiträge zur Wirtschaftsforschung. RePEc:ces:ifobei:87.

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2020Nowcasting with large Bayesian vector autoregressions. (2020). Sokol, Andrej ; Giannone, Domenico ; Cimadomo, Jacopo ; Monti, Francesca ; Lenza, Michele. In: Working Paper Series. RePEc:ecb:ecbwps:20202453.

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2020Structural analysis with mixed-frequency data: A model of US capital flows. (2020). Rossi, Eduardo ; Missale, Alessandro ; Bastianin, Andrea ; Bacchiocchi, Emanuele. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:427-443.

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2020Forecasting the Consumer Confidence Index with tree-based MIDAS regressions. (2020). Qiu, Yue. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:247-256.

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2020Mixed data sampling expectile regression with applications to measuring financial risk. (2020). Yu, Keming ; Jiang, Cuixia ; Chen, LU ; Xu, Qifa. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:469-486.

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2021The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach. (2021). Racicot, François-Éric ; Theoret, Raymond ; Gregoriou, Greg N. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:843-872.

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2021Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism. (2021). Zhang, Yaojie ; Wang, Yudong ; Wen, Danyan. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:209-219.

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2020Bank fee-based shocks and the U.S. business cycle. (2020). Theoret, Raymond ; Calmes, Christian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940817303595.

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2020Does bank capitalization matter for bank stock returns?. (2020). Scholtens, Bert ; Huang, Qiubin ; de Haan, Jakob. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300681.

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2020Incorporating overnight and intraday returns into multivariate GARCH volatility models. (2020). Wu, Jianbin ; Dhaene, Geert. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:471-495.

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2021Dynamic panels with MIDAS covariates: Nonlinearity, estimation and fit. (2021). Voia, Marcel ; Saunders, Charles J ; Kichian, Maral ; Khalaf, Lynda. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:589-605.

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2021A general property for time aggregation. (2021). Rauch, Johannes ; Alexander, Carol. In: European Journal of Operational Research. RePEc:eee:ejores:v:291:y:2021:i:2:p:536-548.

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2020Tight oil, real WTI prices and U.S. stock returns. (2020). Mollick, Andre Varella ; Huang, Wanling. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s014098831930369x.

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2020Forecasting the real prices of crude oil using robust regression models with regularization constraints. (2020). Wang, Yudong ; Hao, Xianfeng ; Zhao, Yuyang. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988320300220.

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2020The relationship between oil prices and exchange rates: Revisiting theory and evidence. (2020). Czudaj, Robert ; Beckmann, Joscha ; Arora, Vipin. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320301122.

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2020A multi-granularity heterogeneous combination approach to crude oil price forecasting. (2020). Zhou, Hao ; Wang, Jue ; Li, Xiang ; Hong, Tao. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320301304.

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2021Probability density forecasts for steam coal prices in China: The role of high-frequency factors. (2021). Han, Meng ; Zhao, Zhongchao ; Ding, Lili. In: Energy. RePEc:eee:energy:v:220:y:2021:i:c:s0360544221000074.

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2020Flight-to-safety and the risk-return trade-off: European evidence. (2020). Savva, Christos ; Christiansen, Charlotte ; Aslanidis, Nektarios. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319305276.

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2021Predicting default of listed companies in mainland China via U-MIDAS Logit model with group lasso penalty. (2021). Xiong, Wei ; Jiang, Cuixia ; Liu, Yezheng ; Xu, Qifa. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319309183.

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2020A three-frequency dynamic factor model for nowcasting Canadian provincial GDP growth. (2020). Cheung, Calista ; Chernis, Tony ; Velasco, Gabriella. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:851-872.

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2020Forecasting value at risk and expected shortfall with mixed data sampling. (2020). Le, Trung H. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1362-1379.

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2021Mixed-frequency approaches to nowcasting GDP: An application to Japan. (2021). Kido, Yosuke ; Hirakata, Naohisa ; Otaka, Kazuki ; Chikamatsu, Kyosuke. In: Japan and the World Economy. RePEc:eee:japwor:v:57:y:2021:i:c:s0922142521000049.

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2020Forecasting short-run exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach. (2020). Liu, Xiaochun ; You, YU. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620301151.

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2020Can policy and financial risk predict stock markets?. (2020). Molnár, Peter ; Norlin, Karl-Martin ; Molnar, Peter ; Krakstad, Svein Olav ; Emblem, Marius Aleksander. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:176:y:2020:i:c:p:701-719.

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2020Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin. (2020). , Walid. In: Journal of Economics and Business. RePEc:eee:jebusi:v:108:y:2020:i:c:s0148619519302206.

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2021Stock market volatility and jumps in times of uncertainty. (2021). Triantafyllou, Athanasios ; Vlastakis, Nikolaos ; Megaritis, Anastasios. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:113:y:2021:i:c:s0261560621000048.

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2021Portfolio rebalancing in times of stress. (2021). Kaufmann, Sylvia ; Grisse, Christian ; Fischer, Andreas ; Greminger, Rafael P. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:113:y:2021:i:c:s0261560621000097.

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2020Implied volatility relationships between crude oil and the U.S. stock markets: Dynamic correlation and spillover effects. (2020). Ding, Zhihua ; Wu, Jy S ; Tseng, Hui-Kuan ; Liu, Zhenhua. In: Resources Policy. RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719308153.

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2020Forecasting crude oil price with multilingual search engine data. (2020). Wang, Shouyang ; Tang, Ling ; Li, Jingjing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:551:y:2020:i:c:s037843712030025x.

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2021Identification of Extreme Capital Flows in Emerging Markets. (2021). Dhar, Amrita. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:359-384.

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2021The effects of investor attention and policy uncertainties on cross-border country exchange-traded fund returns. (2021). Lee, Chien-Chiang ; Chen, Mei-Ping. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:830-852.

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2021Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model. (2021). Wang, Gang-Jin ; Yang, Xiaoguang ; Ma, Chaoqun ; Jiang, Yong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:1-15.

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2021Harnessing the decomposed realized measures for volatility forecasting: Evidence from the US stock market. (2021). Wahab, M. I. M., ; Ding, Hui ; Wang, Jiqian ; Ma, Feng ; Lu, Botao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:672-689.

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2020Nowcasting Tail Risks to Economic Activity with Many Indicators. (2020). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: Working Papers. RePEc:fip:fedcwq:87955.

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2020Real-Time Forecasting with a Large, Mixed Frequency, Bayesian VAR. (2015). Sekhposyan, Tatevik ; Owyang, Michael ; McCracken, Michael. In: Working Papers. RePEc:fip:fedlwp:2015-030.

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2020Simultaneous Indirect Inference, Impulse Responses and ARMA Models. (2020). Lopez, Beatriz Peraza ; Khalaf, Lynda. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:12-:d:340306.

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2020Can Crude Oil Serve as a Hedging Asset for Underlying Securities?—Research on the Heterogenous Correlation between Crude Oil and Stock Index. (2020). Zhang, Hai ; Du, Ziqing ; Xu, SA. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:12:p:3139-:d:372639.

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2020Energy Prices and COVID-Immunity: The Case of Crude Oil and Natural Gas Prices in the US and Japan. (2020). Aruga, Kentaka ; Nyga-Ukaszewska, Honorata. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:23:p:6300-:d:453267.

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2020Oil Price, Oil Price Implied Volatility (OVX) and Illiquidity Premiums in the US: (A)symmetry and the Impact of Macroeconomic Factors. (2020). Giouvris, Evangelos ; Essa, Mohammad Sharik. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:4:p:70-:d:344446.

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2020Yield Spread and Economic Policy Uncertainty: Evidence from Japan. (2020). Chang, Tsangyao ; Chiu, Chien-Liang ; Chen, Chan-Sheng ; Kuo, Pao-Lan ; Wang, Mei-Chih. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:10:p:4302-:d:362496.

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2020Sources and Types of Big Data for Macroeconomic Forecasting. (2019). Me, Philip. In: Working Papers. RePEc:hae:wpaper:2019-3.

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2020Dynamic Factor Trees and Forests – A Theory-led Machine Learning Framework for Non-Linear and State-Dependent Short-Term U.S. GDP Growth Predictions. (2020). Wochner, Daniel. In: KOF Working papers. RePEc:kof:wpskof:20-472.

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2021Gauging the Effect of Influential Observations on Measures of Relative Forecast Accuracy in a Post-COVID-19 Era: Application to Nowcasting Euro Area GDP Growth. (2021). Siliverstovs, Boriss. In: Working Papers. RePEc:ltv:wpaper:202101.

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2020Asymmetric Responses of Economic Growth to Daily Oil Price Changes: New Global Evidence from Mixed-data Sampling Approach. (2020). Basel, Awartani ; Osama, Sweidan ; Aktham, Maghyereh . In: Review of Economics. RePEc:lus:reveco:v:71:y:2020:i:2:p:81-99:n:1.

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2020The International Aspects of Macroprudential Policy. (2020). Forbes, Kristin. In: NBER Working Papers. RePEc:nbr:nberwo:27698.

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2020Oil Price Volatility and Stock Returns: Evidence from Three Oil-price Wars. (2020). Mughal, Mazhar ; Ahmed, Junaid ; Khan, Mushtaq Hussain. In: PIDE-Working Papers. RePEc:pid:wpaper:2020:22.

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2020Oil price assumptions for macroeconomic policy. (2020). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:100705.

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2020The Conditional Risk and Return Trade-Off on Currency Portfolios. (2020). Sakemoto, Ryuta ; Byrne, Joseph ; Joseph, Byrne. In: MPRA Paper. RePEc:pra:mprapa:99497.

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2021Global Financial Cycle and the Predictability of Oil Market Volatility: Evidence from a GARCH-MIDAS Model. (2021). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Working Papers. RePEc:pre:wpaper:202121.

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2021The Impact of Global Uncertainties on Economic Growth: Evidence from the US Economy (1996: Q1-2018: Q4). (2021). Elk, Ali Kemal ; Yalinkaya, Omer. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2021:i:2:p:35-54.

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2020Assessing nowcast accuracy of US GDP growth in real time: the role of booms and busts. (2020). Siliverstovs, Boriss. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:1:d:10.1007_s00181-019-01704-6.

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2020Economic policy uncertainty spillover effects on sectoral equity returns of New Zealand. (2020). Balli, Faruk ; Gregory-Allen, Russell ; Hasan, Mudassar. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:44:y:2020:i:4:d:10.1007_s12197-020-09508-6.

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2020Is there a risk and return relation?. (2020). , Suzanne ; McMillan, Fiona J. In: The European Journal of Finance. RePEc:taf:eurjfi:v:26:y:2020:i:11:p:1075-1101.

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2020Nowcasting Turkish GDP with MIDAS: Role of Functional Form of the Lag Polynomial. (2020). Gunay, Mahmut. In: Working Papers. RePEc:tcb:wpaper:2002.

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2021Predictability of Aggregated Time Series. (2021). Reinhard, Stephen Snudden. In: LCERPA Working Papers. RePEc:wlu:lcerpa:bm0127.

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2020Leave it in the ground? Oil sands development under carbon pricing. (2020). Bokovi, Branko ; Leach, Andrew. In: Canadian Journal of Economics/Revue canadienne d'économique. RePEc:wly:canjec:v:53:y:2020:i:2:p:526-562.

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2020Cryptocurrency volatility forecasting: A Markov regime?switching MIDAS approach. (2020). M. I. M. Wahab, ; Ma, Yuanhui ; Liang, Chao. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:8:p:1277-1290.

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2020Does the Current State of the Business Cycle matter for Real-Time Forecasting? A Mixed-Frequency Threshold VAR approach.. (2020). Heinrich, Markus. In: EconStor Preprints. RePEc:zbw:esprep:219312.

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2020Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing. (2020). Wang, Weining ; Hou, Ai Jun ; Christiansen, Charlotte ; Asgharian, Hossein. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2020020.

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Works by Pierre Guérin:


YearTitleTypeCited
2013Monitoring Short-Term Economic Developments in Foreign Economies In: Bank of Canada Review.
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article2
2013Regime Switches in the Risk-Return Trade-Off In: Staff Working Papers.
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paper25
2013Regime Switches in the Risk-Return Trade-off.(2013) In: CEPR Discussion Papers.
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2014Regime switches in the risk–return trade-off.(2014) In: Journal of Empirical Finance.
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article
2014Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work In: Staff Working Papers.
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paper67
2013Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work.(2013) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 67
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2015Do high-frequency financial data help forecast oil prices? The MIDAS touch at work.(2015) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 67
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2013Do high-frequency financial data help forecast oil prices? The MIDAS touch at work.(2013) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 67
paper
2015Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data In: Staff Working Papers.
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paper4
2017Model averaging in markov-switching models: predicting national recessions with regional data.(2017) In: Working Papers.
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2017Model averaging in Markov-switching models: Predicting national recessions with regional data.(2017) In: Economics Letters.
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2014Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data.(2014) In: MPRA Paper.
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2016What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks In: Staff Working Papers.
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2015What Are The Macroeconomic Effects of High-Frequency Uncertainty Shocks?.(2015) In: EconomiX Working Papers.
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2018What are the macroeconomic effects of high-frequency uncertainty shocks?.(2018) In: Post-Print.
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2018What are the macroeconomic effects of high‐frequency uncertainty shocks?.(2018) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 16
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2016The Dynamics of Capital Flow Episodes In: Staff Working Papers.
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2020The Dynamics of Capital Flow Episodes.(2020) In: Journal of Money, Credit and Banking.
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This paper has another version. Agregated cites: 4
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2017Markov-Switching Three-Pass Regression Filter In: Staff Working Papers.
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2017Markov-switching three-pass regression filter.(2017) In: Working Papers.
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2016Markov-Switching Three-Pass Regression Filter.(2016) In: Working Papers.
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2020Markov-Switching Three-Pass Regression Filter.(2020) In: Journal of Business & Economic Statistics.
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2018What Drives Interbank Loans? Evidence from Canada In: Staff Working Papers.
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2019What drives interbank loans? Evidence from Canada.(2019) In: Journal of Banking & Finance.
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2020Monetary Policy Independence and the Strength of the Global Financial Cycle In: Staff Working Papers.
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2016Predictive Ability of Commodity Prices for the Canadian Dollar In: Staff Analytical Notes.
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2017Monetary policy, stock market and sectoral comovement In: Working Papers.
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2015Using low frequency information for predicting high frequency variables In: Working Paper.
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2018Using low frequency information for predicting high frequency variables.(2018) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 19
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2020A Comparison of Monthly Global Indicators for Forecasting Growth In: CESifo Working Paper Series.
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2020A Comparison of Monthly Global Indicators for Forecasting Growth.(2020) In: CEPR Discussion Papers.
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2021A comparison of monthly global indicators for forecasting growth.(2021) In: International Journal of Forecasting.
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2020A comparison of monthly global indicators for forecasting growth.(2020) In: CAMA Working Papers.
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2020A Comparison of Monthly Global Indicators for Forecasting Growth.(2020) In: NBER Working Papers.
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2011Markov-switching MIDAS models In: CEPR Discussion Papers.
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2013Markov-Switching MIDAS Models.(2013) In: Journal of Business & Economic Statistics.
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2014Markov-Switching Mixed-Frequency VAR Models In: CEPR Discussion Papers.
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2015Markov-switching mixed-frequency VAR models.(2015) In: International Journal of Forecasting.
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2015TREND-CYCLE DECOMPOSITION OF OUTPUT AND EURO AREA INFLATION FORECASTS: A REAL-TIME APPROACH BASED ON MODEL COMBINATION In: Macroeconomic Dynamics.
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2011Trend-cycle decomposition of output and euro area inflation forecasts: a real-time approach based on model combination.(2011) In: Working Paper Series.
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2013Characterizing very high uncertainty episodes.(2013) In: Economics Letters.
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2017Explaining the Time-varying Effects Of Oil Market Shocks On U.S. Stock Returns.(2017) In: Working Papers.
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2021Firms’ Environmental Performance and the COVID-19 Crisis.(2021) In: IMF Working Papers.
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