Pierre Guérin : Citation Profile


Are you Pierre Guérin?

Organisation de Coopération et de Développement Économiques (OCDE)

6

H index

4

i10 index

144

Citations

RESEARCH PRODUCTION:

12

Articles

25

Papers

RESEARCH ACTIVITY:

   8 years (2011 - 2019). See details.
   Cites by year: 18
   Journals where Pierre Guérin has often published
   Relations with other researchers
   Recent citing documents: 70.    Total self citations: 11 (7.1 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgu370
   Updated: 2019-11-16    RAS profile: 2019-11-06    
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Relations with other researchers


Works with:

Marcellino, Massimiliano (12)

Leiva-Leon, Danilo (8)

Foroni, Claudia (5)

Baumeister, Christiane (4)

Kilian, Lutz (4)

Ferrara, Laurent (3)

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

Is cited by:

Marcellino, Massimiliano (9)

Foroni, Claudia (7)

Wang, Yudong (6)

Kilian, Lutz (6)

Baumeister, Christiane (6)

Liu, Xiaochun (5)

Bonham, Carl (4)

Fuleky, Peter (4)

GUPTA, RANGAN (4)

Degiannakis, Stavros (4)

Ravazzolo, Francesco (4)

Cites to:

Marcellino, Massimiliano (26)

Hamilton, James (17)

bloom, nicholas (13)

Watson, Mark (11)

Pesaran, M (10)

Rossi, Barbara (10)

Kilian, Lutz (9)

Foroni, Claudia (8)

Perez Quiros, Gabriel (8)

Diebold, Francis (8)

Benigno, Gianluca (7)

Main data


Where Pierre Guérin has published?


Journals with more than one article published# docs
International Journal of Forecasting3
Economics Letters3

Working Papers Series with more than one paper published# docs
Staff Working Papers / Bank of Canada7
Working Papers / Banco de Espaa3
Working Paper Series / European Central Bank2
OECD Economics Department Working Papers / OECD Publishing2

Recent works citing Pierre Guérin (2019 and 2018)


YearTitle of citing document
2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI. In: CREATES Research Papers. RePEc:aah:create:2017-34.

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2018Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence. (2018). Filis, George ; Degiannakis, Stavros ; Arora, Vipin. In: The Energy Journal. RePEc:aen:journl:ej39-5-filis.

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2018Application of Probabilistic Graphical Models in Forecasting Crude Oil Price. (2018). Alvi, Danish A. In: Papers. RePEc:arx:papers:1804.10869.

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2018Nowcasting Canadian Economic Activity in an Uncertain Environment. (2018). Chernis, Tony ; Sekkel, Rodrigo. In: Discussion Papers. RePEc:bca:bocadp:18-9.

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2018Dismiss the Gap? A Real-Time Assessment of the Usefulness of Canadian Output Gaps in Forecasting Inflation. (2018). St-Amant, Pierre ; Pichette, Lise ; Salameh, Mohanad ; Robitaille, Marie-Noelle. In: Staff Working Papers. RePEc:bca:bocawp:18-10.

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2018Uncovered Return Parity: Equity Returns and Currency Returns. (2018). Dunbar, Geoffrey ; Djeutem, Edouard. In: Staff Working Papers. RePEc:bca:bocawp:18-22.

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2017The evolution of regional economic interlinkages in Europe. (2017). Leiva-Leon, Danilo ; Gómez-Loscos, Ana ; Gadea, María ; Gomez-Loscos, Ana ; Gadea-Rivas, Maria Dolores. In: Working Papers. RePEc:bde:wpaper:1705.

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2018US monetary policy and fluctuations of international bank lending. (2018). Hale, Galina ; Avdjiev, Stefan. In: BIS Working Papers. RePEc:bis:biswps:730.

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2017The Role of U.S. Market on International Risk-Return Tradeoff Relations. (2017). Sun, Licheng ; Najand, Mohammad ; Meng, Liang . In: The Financial Review. RePEc:bla:finrev:v:52:y:2017:i:3:p:499-526.

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2018Nowcasting Japanese GDPs. (2018). Kido, Yosuke ; Hirakata, Naohisa ; Kyosuke, Naohisa Hirakata. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp18e18.

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2018Determinants of Capital Flows in the Korean Bond Market. (2018). Kim, Soohyon. In: Working Papers. RePEc:bok:wpaper:1844.

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2018Macroeconomic Uncertainty and Forecasting Macroeconomic Aggregates. (2018). Reif, Magnus. In: ifo Working Paper Series. RePEc:ces:ifowps:_265.

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2018Forecasting using mixed-frequency VARs with time-varying parameters. (2018). Reif, Magnus ; Heinrich, Markus. In: ifo Working Paper Series. RePEc:ces:ifowps:_273.

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2017Forecasting economic activity in data-rich environment. (2017). Stevanovic, Dalibor ; Kotchoni, Rachidi ; Leroux, Maxime. In: CIRANO Working Papers. RePEc:cir:cirwor:2017s-05.

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2017Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model. (2017). Ravazzolo, Francesco ; Marcellino, Massimiliano ; Foroni, Claudia ; Casarin, Roberto. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12339.

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2019Uncertainty, Financial Markets, and Monetary Policy over the Last Century. (2019). Choi, Sangyup ; Yoon, Chansik. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2019_020.

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2017Forecasting economic activity in data-rich environment. (2017). Stevanovic, Dalibor ; Kotchoni, Rachidi ; Leroux, Maxime. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-5.

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2019Forecasting daily electricity prices with monthly macroeconomic variables. (2019). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Working Paper Series. RePEc:ecb:ecbwps:20192250.

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2019Detecting turning points in global economic activity. (2019). Seitz, Franz ; Salvador, Ramon Gomez ; Baumann, Ursel. In: Working Paper Series. RePEc:ecb:ecbwps:20192310.

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2017Forecasting in a Mixed Up World: Nowcasting Hawaii Tourism. (2017). Fuleky, Peter ; Bonham, Carl ; Jones, James ; Hirashima, Ashley . In: Annals of Tourism Research. RePEc:eee:anture:v:63:y:2017:i:c:p:191-202.

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2018Group penalized unrestricted mixed data sampling model with application to forecasting US GDP growth. (2018). Xu, Qifa ; Liu, Yezheng ; Jiang, Cuixia ; Zhuo, Xingxuan. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:221-236.

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2019Dismiss the output gaps? To use with caution given their limitations. (2019). St-Amant, Pierre ; Salameh, Mohanad ; Robitaille, Marie-Noelle ; Pichette, Lise. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:199-215.

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2019Hedge fund return higher moments over the business cycle. (2019). Racicot, François-Éric ; Theoret, Raymond. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:73-97.

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2019Increasing linkages among European regions. The role of sectoral composition. (2019). Gómez-Loscos, Ana ; Gadea, María ; Leiva-Leon, Danilo ; Gomez-Loscos, Ana ; Gadea-Rivas, Maria Dolores. In: Economic Modelling. RePEc:eee:ecmode:v:80:y:2019:i:c:p:222-243.

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2018Oil price shocks and stock return volatility: New evidence based on volatility impulse response analysis. (2018). Eraslan, Sercan ; Ali, Faek Menla. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:59-62.

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2019Estimating MIDAS regressions via OLS with polynomial parameter profiling. (2019). Ghysels, Eric ; Qian, Hang. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:1-16.

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2017Forecasting the real prices of crude oil using forecast combinations over time-varying parameter models. (2017). Wang, Yudong ; Wu, Chongfeng ; Liu, LI. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:337-348.

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2017How do daily changes in oil prices affect US monthly industrial output?. (2017). Valadkhani, Abbas ; Smyth, Russell. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:83-90.

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2018Asymmetric responses in the timing, and magnitude, of changes in Australian monthly petrol prices to daily oil price changes. (2018). Valadkhani, Abbas ; Smyth, Russell. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:89-100.

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2018Forecasting the prices of crude oil: An iterated combination approach. (2018). Zhang, Yaojie ; Huang, Dengshi ; Shi, Benshan ; Ma, Feng. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:472-483.

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2018Oil returns and volatility: The role of mergers and acquisitions. (2018). Tiwari, Aviral ; GUPTA, RANGAN ; Demirer, Riza ; Bos, Martijn. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:62-69.

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2018Forecasting U.S. real GDP using oil prices: A time-varying parameter MIDAS model. (2018). Pan, Zhiyuan ; Yang, LI ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:177-187.

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2018Predictability of crude oil prices: An investor perspective. (2018). Liu, LI ; Yang, LI ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:193-205.

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2018Forecasting the real price of oil - Time-variation and forecast combination. (2018). Funk, Christoph. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:288-302.

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2018Forecasting oil prices: High-frequency financial data are indeed useful. (2018). Filis, George ; Degiannakis, Stavros. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:388-402.

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2019Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models. (2019). Wang, Jin-Li ; Zhang, Yue-Jun. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:192-201.

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2018A novel decompose-ensemble methodology with AIC-ANN approach for crude oil forecasting. (2018). Ding, Yishan . In: Energy. RePEc:eee:energy:v:154:y:2018:i:c:p:328-336.

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2018Targeted growth rates for long-horizon crude oil price forecasts. (2018). Snudden, Stephen. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:1-16.

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2017Unfolded risk-return trade-offs and links to Macroeconomic Dynamics. (2017). Liu, Xiaochun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:1-19.

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2017Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market?. (2017). Liu, Xiaochun. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:275-293.

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2018Predicting daily oil prices: Linear and non-linear models. (2018). Dbouk, Wassim ; Jamali, Ibrahim. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:149-165.

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2018Detecting and Measuring Nonlinearity. (2018). Kotchoni, Rachidi. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:37-:d:162892.

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2019Can We Forecast Daily Oil Futures Prices? Experimental Evidence from Convolutional Neural Networks. (2019). Hamori, Shigeyuki ; Kinkyo, Takuji ; Takiguchi, Tetsuya ; Tanaka, Katsuyuki ; Cai, Xiaojing ; Luo, Zhaojie. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:9-:d:195801.

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

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2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine . In: Working Papers. RePEc:hae:wpaper:2019-4.

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2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine . In: PSE Working Papers. RePEc:hal:psewpa:halshs-02262202.

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2019Forecasting Public Investment Using Daily Stock Returns. (2019). Morita, Hiroshi. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-88.

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2018“Scaling Down Downside Risk with Inter-Quantile Semivariances”. (2018). Uribe, Jorge. In: IREA Working Papers. RePEc:ira:wpaper:201826.

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2018Is there a trade-off between procyclicality and revisions in EC trend TFP estimations?. (2018). Maidorn, Susanne. In: Empirica. RePEc:kap:empiri:v:45:y:2018:i:1:d:10.1007_s10663-016-9346-2.

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2018Oil prices implied volatility or direction: Which matters more to financial markets?. (2018). Dupoyet, Brice V ; Shank, Corey A. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:32:y:2018:i:3:d:10.1007_s11408-018-0314-7.

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2017Financial investor sentiment and the boom/bust in oil prices during 2003–2008. (2017). Du, Ding ; Zhao, Xiaobing. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:2:d:10.1007_s11156-016-0553-5.

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2017Dynamic Autocorrelation and International Portfolio Allocation. (2017). Martikainen, Minna ; Kinnunen, Jyri . In: Multinational Finance Journal. RePEc:mfj:journl:v:21:y:2017:i:1:p:21-48.

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2017Forecasting oil prices. (2017). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:77531.

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2018Modeling and forecasting commodity market volatility with long-term economic and financial variables. (2018). Walther, Thomas ; Nguyen, Duc Khuong. In: MPRA Paper. RePEc:pra:mprapa:84464.

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2018Granger causality testing in mixed-frequency Vars with possibly (co)integrated processes. (2018). Hecq, Alain ; Götz, Thomas ; Goetz, Thomas. In: MPRA Paper. RePEc:pra:mprapa:87746.

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2018Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence. (2018). Degiannakis, Stavros ; Arora, Vipin ; Filis, George. In: MPRA Paper. RePEc:pra:mprapa:96270.

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2017OPEC News and Predictability of Oil Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach. (2017). Yoon, Seong-Min ; GUPTA, RANGAN. In: Working Papers. RePEc:pre:wpaper:201726.

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2017Oil Returns and Volatility: The Role of Mergers and Acquisitions. (2017). Tiwari, Aviral ; GUPTA, RANGAN ; Demirer, Riza ; Bos, Martijn. In: Working Papers. RePEc:pre:wpaper:201775.

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2018Forecasting Changes of Economic Inequality: A Boosting Approach. (2018). Pierdzioch, Christian ; GUPTA, RANGAN ; Silva, Emmanuel ; Hassani, Hossein. In: Working Papers. RePEc:pre:wpaper:201868.

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2019Monthly Forecasting of GDP with Mixed Frequency Multivariate Singular Spectrum Analysis. (2019). Thomakos, Dimitrios ; Silva, Emmanuel Sirimal ; Hassani, Hossein ; Rua, Antonio. In: Working Papers. RePEc:ptu:wpaper:w201913.

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2018Commodity Currencies And Monetary Policy. (2018). Smith, Gregor ; Devereux, Michael. In: Working Paper. RePEc:qed:wpaper:1408.

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2017Uncertainty and Monetary Policy in Good and Bad Times. (2017). Nodari, Gabriela ; Castelnuovo, Efrem ; Caggiano, Giovanni. In: RBA Research Discussion Papers. RePEc:rba:rbardp:rdp2017-06.

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2017Variance Risk Premia on Stocks and Bonds. (2017). Mueller, Philippe ; Vedolin, Andrea ; Whelan, Paul ; Sabtchevsky, Petar. In: 2017 Meeting Papers. RePEc:red:sed017:1161.

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2018The Effects of Uncertainty Shocks on Daily Prices. (2018). Bonciani, Dario ; Tafuro, Andrea. In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:14:y:2018:i:1:d:10.1007_s41549-018-0024-2.

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2019Financial factors affecting oil price change and oil-stock interactions: a review and future perspectives. (2019). Qiang, Wei ; Wu, Jy S ; Lv, Tao ; Ding, Zhihua ; Liu, Zhenhua. In: Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards. RePEc:spr:nathaz:v:95:y:2019:i:1:d:10.1007_s11069-018-3473-y.

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2018Flight to Safety from European Stock Markets. (2018). Christiansen, Charlotte ; Aslanidis, Nektarios. In: Working Papers. RePEc:urv:wpaper:2072/306547.

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2018Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?. (2018). Walther, Thomas ; Charfeddine, Lanouar ; Klein, Tony. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:16.

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2019Uncertainty, Financial Markets, and Monetary Policy over the Last Century. (2019). Choi, Sangyup ; Yoon, Chansik. In: Working papers. RePEc:yon:wpaper:2019rwp-142.

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2018Oil price shocks and stock return volatility: New evidence based on volatility impulse response analysis. (2018). Ali, Faek Menla ; Eraslan, Sercan. In: Discussion Papers. RePEc:zbw:bubdps:382018.

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2018Large mixed-frequency VARs with a parsimonious time-varying parameter structure. (2018). Götz, Thomas ; Hauzenberger, Klemens ; Gotz, Thomas B. In: Discussion Papers. RePEc:zbw:bubdps:402018.

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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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article1
2013Regime Switches in the Risk-Return Trade-Off In: Staff Working Papers.
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paper17
2013Regime Switches in the Risk-Return Trade-off.(2013) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 17
paper
2014Regime switches in the risk–return trade-off.(2014) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 17
article
2014Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work In: Staff Working Papers.
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paper48
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: 48
paper
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: 48
article
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: 48
paper
2015Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data In: Staff Working Papers.
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paper3
2017Model averaging in markov-switching models: predicting national recessions with regional data.(2017) In: Working Papers.
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paper
2017Model averaging in Markov-switching models: Predicting national recessions with regional data.(2017) In: Economics Letters.
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article
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: Journal of Applied Econometrics.
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article
2016The Dynamics of Capital Flow Episodes In: Staff Working Papers.
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2017Markov-Switching Three-Pass Regression Filter In: Staff Working Papers.
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paper3
2017Markov-switching three-pass regression filter.(2017) In: Working Papers.
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This paper has another version. Agregated cites: 3
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2016Markov-Switching Three-Pass Regression Filter.(2016) In: Working Papers.
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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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This paper has another version. Agregated cites: 0
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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: 7
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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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This paper has another version. Agregated cites: 31
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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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This paper has another version. Agregated cites: 7
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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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This paper has another version. Agregated cites: 4
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2014Characterizing very high uncertainty episodes In: Working Paper Series.
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2013Characterizing very high uncertainty episodes.(2013) In: Economics Letters.
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This paper has another version. Agregated cites: 6
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2017Explaining the time-varying effects of oil market shocks on US stock returns 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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2018Financing innovative business investment in Poland In: OECD Economics Department Working Papers.
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2019Améliorer l’efficience de l’investissement public en France In: OECD Economics Department Working Papers.
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