Pierre Guérin - Latest

• Regime Switches in the Risk-Return Trade-Off

  Staff Working Paper 2013-51 Eric Ghysels, Pierre Guérin, Massimiliano Marcellino

  This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): G, G1, G10, G12
• August 15, 2013

  Monitoring Short-Term Economic Developments in Foreign Economies

  Bank of Canada Review - Summer 2013 Russell Barnett, Pierre Guérin

  The Bank of Canada uses several short-term forecasting models for the monitoring of key foreign economies - the United States, the euro area, Japan and China. The design of the forecasting models used for each region is influenced by the level of detail required, as well as the timeliness and volatility of data. Forecasts from different models are typically combined to mitigate model uncertainty, and judgment is applied to the model forecasts to incorporate information that is not directly reflected in the most recent indicators.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Business fluctuations and cycles JEL Code(s): E, E3, E37