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Details about John W. Galbraith

Workplace:Department of Economics, McGill University, (more information at EDIRC)
Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) (Center for Interuniversity Research in Quantitative Economics), (more information at EDIRC)
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) (Center for Interuniversity Research and Analysis on Organizations), (more information at EDIRC)

Access statistics for papers by John W. Galbraith.

Last updated 2021-06-01. Update your information in the RePEc Author Service.

Short-id: pga235


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Working Papers

2021

  1. Consumer Mobility, Online and On-site Commerce and the Geographic Concentration of Economic Activity: Evidence from 20 Billion Transactions
    CIRANO Working Papers, CIRANO Downloads

2020

  1. Consumers' Mobility, Expenditure and Online- Offline Substitution Response to COVID-19: Evidence from French Transaction Data
    Working Papers, HAL Downloads View citations (39)
    Also in CIRANO Working Papers, CIRANO (2020) Downloads View citations (62)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2020) Downloads View citations (58)
  2. Consumption Dynamics in the COVID Crisis: Real Time Insights from French Transaction & Bank Data
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (38)
  3. Dynamiques de consommation dans la crise: les enseignements en temps réel des données bancaires
    Working Papers, HAL Downloads View citations (4)
  4. Online Commerce, Inter-Regional Retail Trade, and the Evolution of Gravity Effects: Evidence from 20 Billion Transactions
    Working Papers, HAL Downloads
  5. The COVID-19 containment seen through French consumer transaction data: Expenditures, mobility and online substitution
    Post-Print, HAL View citations (1)

2015

  1. Nowcasting GDP with electronic payments data
    Statistics Paper Series, European Central Bank Downloads View citations (11)

2013

  1. Exchange Rates and Commodity Prices: Measuring Causality at Multiple Horizons
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ Downloads View citations (2)
    Also in CIRANO Working Papers, CIRANO (2013) Downloads View citations (2)

    See also Journal Article Exchange rates and commodity prices: Measuring causality at multiple horizons, Journal of Empirical Finance, Elsevier (2016) Downloads View citations (72) (2016)
  2. Forecasting financial volatility with combined QML and LAD-ARCH estimators of the GARCH model
    CIRANO Working Papers, CIRANO Downloads
  3. Nowcasting GDP: Electronic Payments, Data Vintages and the Timing of Data Releases
    CIRANO Working Papers, CIRANO Downloads View citations (5)

2011

  1. A test of singularity for distribution functions
    CIRANO Working Papers, CIRANO Downloads View citations (1)
  2. Analyzing Economic Effects of Extreme Events using Debit and Payments System Data
    CIRANO Working Papers, CIRANO Downloads
  3. Partially Dimension-Reduced Regressions with Potentially Infinite-Dimensional Processes
    CIRANO Working Papers, CIRANO Downloads View citations (2)

2009

  1. A GENERALIZED ASYMMETRIC STUDENT-T DISTRIBUTION WITH APPLICATION TO FINANCIAL ECONOMETRICS
    Departmental Working Papers, McGill University, Department of Economics Downloads View citations (3)
    Also in CIRANO Working Papers, CIRANO (2009) Downloads View citations (4)

    See also Journal Article A generalized asymmetric Student-t distribution with application to financial econometrics, Journal of Econometrics, Elsevier (2010) Downloads View citations (81) (2010)
  2. A Note on Monitoring Daily Economic Activity Via Electronic Transaction Data
    CIRANO Working Papers, CIRANO Downloads View citations (4)
  3. Calibration and Resolution Diagnostics for Bank of England Density Forecasts
    CIRANO Working Papers, CIRANO Downloads View citations (1)
  4. Dimension Reduction and Model Averaging for Estimation of Artists' Age-Valuation Profiles
    CIRANO Working Papers, CIRANO Downloads View citations (5)
    See also Journal Article Dimension reduction and model averaging for estimation of artists' age-valuation profiles, European Economic Review, Elsevier (2012) Downloads View citations (8) (2012)
  5. FORECASTING EXPECTED SHORTFALL WITH A GENERALIZED ASYMMETRIC STUDENT-T DISTRIBUTION
    Departmental Working Papers, McGill University, Department of Economics Downloads View citations (7)
    Also in CIRANO Working Papers, CIRANO (2009) Downloads View citations (7)
  6. The Robustness of Economic Activity to Destructive Events
    CIRANO Working Papers, CIRANO Downloads

2008

  1. ELECTRONIC TRANSACTIONS AS HIGH-FREQUENCY INDICATORS OF ECONOMICS ACTIVITY
    Departmental Working Papers, McGill University, Department of Economics Downloads
    Also in Staff Working Papers, Bank of Canada (2007) Downloads View citations (11)
  2. THE CALIBRATION OF PROBABILISTIC ECONOMIC FORECASTS
    Departmental Working Papers, McGill University, Department of Economics Downloads View citations (1)
    Also in CIRANO Working Papers, CIRANO (2008) Downloads View citations (1)

2007

  1. FORECAST CONTENT AND CONTENT HORIZONS FOR SOME IMPORTANT MACROECONOMIC TIME SERIES
    Departmental Working Papers, McGill University, Department of Economics Downloads View citations (18)
    See also Journal Article Forecast content and content horizons for some important macroeconomic time series, Canadian Journal of Economics, Canadian Economics Association (2007) View citations (15) (2007)
  2. How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables
    Staff Working Papers, Bank of Canada Downloads View citations (2)

2006

  1. ASYMPTOTICS FOR ESTIMATION OF TRUNCATED INFINITE-DIMENSIONAL QUANTILE REGRESSIONS
    Departmental Working Papers, McGill University, Department of Economics Downloads
  2. EXTREME DEPENDENCE IN THE NASDAQ AND S&P COMPOSITE INDEXES
    Departmental Working Papers, McGill University, Department of Economics Downloads
  3. HOW FAR CAN WE FORECAST? FORECAST CONTENT HORIZONS FOR SOME IMPORTANT MACROECONOMIC TIME SERIES
    Departmental Working Papers, McGill University, Department of Economics Downloads View citations (3)
  4. REDUCED-DIMENSION CONTROL REGRESSION
    Departmental Working Papers, McGill University, Department of Economics Downloads View citations (5)

2004

  1. Indicators of wireline/wireless competition in the market for telecommunication services
    CIRANO Project Reports, CIRANO Downloads

2002

  1. Circuit Breakers and the Tail Index of Equity Returns
    CIRANO Working Papers, CIRANO Downloads
    See also Journal Article Circuit Breakers and the Tail Index of Equity Returns, Journal of Financial Econometrics, Oxford University Press (2004) Downloads View citations (17) (2004)
  2. Information Content of Volatility Forecasts at Medium-term Horizons
    CIRANO Working Papers, CIRANO Downloads View citations (4)

2001

  1. Autoregression-Based Estimators for ARFIMA Models
    CIRANO Working Papers, CIRANO Downloads View citations (2)
  2. Conditional Quantiles of Volatility in Equity Index and Foreign Exchange Data
    CIRANO Working Papers, CIRANO Downloads
  3. Forecasting Some Low-Predictability Time Series Using Diffusion Indices
    CIRANO Working Papers, CIRANO Downloads View citations (18)
  4. Properties of Estimates of Daily GARCH Parameters Basaed on Intra-Day Observations
    CIRANO Working Papers, CIRANO Downloads View citations (5)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (8)

1999

  1. CONTENT HORIZONS FOR FORECASTS OF ECONOMIC TIME SERIES
    Departmental Working Papers, McGill University, Department of Economics
    Also in CIRANO Working Papers, CIRANO (1999) Downloads
  2. Les modèles de prévisions économiques
    CIRANO Project Reports, CIRANO Downloads
  3. TESTING FOR ASYMMETRY IN THE LINK BETWEEN THE YIELD SPREAD AND OUTPUT IN THE G-7 COUNTRIES
    Departmental Working Papers, McGill University, Department of Economics
    See also Journal Article Testing for asymmetry in the link between the yield spread and output in the G-7 countries, Journal of International Money and Finance, Elsevier (2000) Downloads View citations (64) (2000)
  4. VAR_BASED ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL AND LINKS BETWEEN WHOLESALE AND RETAIL INVENTORIES
    Departmental Working Papers, McGill University, Department of Economics

1991

  1. Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (23)
    See also Journal Article Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1991) Downloads View citations (24) (1991)

1989

  1. ESTIMATING EULER EQUATIONS WITH INTEGRATED SERIES
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)

Journal Articles

2020

  1. Simple and reliable estimators of coefficients of interest in a model with high-dimensional confounding effects
    Journal of Econometrics, 2020, 218, (2), 609-632 Downloads View citations (3)

2019

  1. Asymmetry in unemployment rate forecast errors
    International Journal of Forecasting, 2019, 35, (4), 1613-1626 Downloads View citations (16)

2018

  1. Econometric Fine Art Valuation by Combining Hedonic and Repeat-Sales Information
    Econometrics, 2018, 6, (3), 1-15 Downloads View citations (4)
  2. Nowcasting with payments system data
    International Journal of Forecasting, 2018, 34, (2), 366-376 Downloads View citations (35)

2016

  1. Exchange rates and commodity prices: Measuring causality at multiple horizons
    Journal of Empirical Finance, 2016, 36, (C), 100-120 Downloads View citations (72)
    See also Working Paper Exchange Rates and Commodity Prices: Measuring Causality at Multiple Horizons, Cahiers de recherche (2013) Downloads View citations (2) (2013)

2015

  1. GARCH Model Estimation Using Estimated Quadratic Variation
    Econometric Reviews, 2015, 34, (6-10), 1172-1192 Downloads View citations (1)
  2. Innovation, experience and artists’ age-valuation profiles: evidence from eighteenth-century rococo and neoclassical painters
    Journal of Cultural Economics, 2015, 39, (3), 259-275 Downloads View citations (3)

2013

  1. Analyzing Economic Effects of September 11 and Other Extreme Events Using Debit and Payments System Data
    Canadian Public Policy, 2013, 39, (1), 119-134 Downloads View citations (19)

2012

  1. Assessing gross domestic product and inflation probability forecasts derived from Bank of England fan charts
    Journal of the Royal Statistical Society Series A, 2012, 175, (3), 713-727 Downloads View citations (25)
  2. Dimension reduction and model averaging for estimation of artists' age-valuation profiles
    European Economic Review, 2012, 56, (3), 422-435 Downloads View citations (8)
    See also Working Paper Dimension Reduction and Model Averaging for Estimation of Artists' Age-Valuation Profiles, CIRANO Working Papers (2009) Downloads View citations (5) (2009)

2011

  1. Kernel-based calibration diagnostics for recession and inflation probability forecasts
    International Journal of Forecasting, 2011, 27, (4), 1041-1057 Downloads View citations (11)
  2. Modeling and forecasting expected shortfall with the generalized asymmetric Student-t and asymmetric exponential power distributions
    Journal of Empirical Finance, 2011, 18, (4), 765-778 Downloads View citations (46)

2010

  1. A generalized asymmetric Student-t distribution with application to financial econometrics
    Journal of Econometrics, 2010, 157, (2), 297-305 Downloads View citations (81)
    See also Working Paper A GENERALIZED ASYMMETRIC STUDENT-T DISTRIBUTION WITH APPLICATION TO FINANCIAL ECONOMETRICS, Departmental Working Papers (2009) Downloads View citations (3) (2009)

2009

  1. Asymptotics for estimation of quantile regressions with truncated infinite-dimensional processes
    Journal of Multivariate Analysis, 2009, 100, (3), 497-508 Downloads View citations (3)
  2. Extreme dependence in the NASDAQ and S&P 500 composite indexes
    Applied Financial Economics, 2009, 19, (13), 1019-1028 Downloads View citations (3)

2007

  1. Forecast content and content horizons for some important macroeconomic time series
    Canadian Journal of Economics, 2007, 40, (3), 935-953 View citations (15)
    Also in Canadian Journal of Economics/Revue canadienne d'économique, 2007, 40, (3), 935-953 (2007) Downloads View citations (15)

    See also Working Paper FORECAST CONTENT AND CONTENT HORIZONS FOR SOME IMPORTANT MACROECONOMIC TIME SERIES, Departmental Working Papers (2007) Downloads View citations (18) (2007)

2005

  1. Content horizons for conditional variance forecasts
    International Journal of Forecasting, 2005, 21, (2), 249-260 Downloads View citations (15)
  2. Les progrès dans les prévisions: météorologie et économique*
    L'Actualité Economique, 2005, 81, (4), 559-593 Downloads

2004

  1. Circuit Breakers and the Tail Index of Equity Returns
    Journal of Financial Econometrics, 2004, 2, (1), 109-129 Downloads View citations (17)
    See also Working Paper Circuit Breakers and the Tail Index of Equity Returns, CIRANO Working Papers (2002) Downloads (2002)
  2. Évaluation de critères d’information pour les modèles de séries chronologiques
    L'Actualité Economique, 2004, 80, (2), 207-227 Downloads

2002

  1. ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION
    Econometric Reviews, 2002, 21, (2), 205-219 Downloads View citations (14)

2000

  1. Testing for asymmetry in the link between the yield spread and output in the G-7 countries
    Journal of International Money and Finance, 2000, 19, (5), 657-672 Downloads View citations (64)
    See also Working Paper TESTING FOR ASYMMETRY IN THE LINK BETWEEN THE YIELD SPREAD AND OUTPUT IN THE G-7 COUNTRIES, Departmental Working Papers (1999) (1999)

1999

  1. On the distributions of Augmented Dickey-Fuller statistics in processes with moving average components
    Journal of Econometrics, 1999, 93, (1), 25-47 Downloads View citations (12)

1997

  1. Non-parametric Regression Models of Deviations from Orthogonality in the Expectations Theory of the Term Structure
    Oxford Bulletin of Economics and Statistics, 1997, 59, (2), 265-84 View citations (2)
  2. Taxation, smuggling and demand for cigarettes in Canada: Evidence from time-series data
    Journal of Health Economics, 1997, 16, (3), 287-301 Downloads View citations (21)

1996

  1. Credit Rationing and Threshold Effects in the Relation between Money and Output
    Journal of Applied Econometrics, 1996, 11, (4), 419-29 Downloads View citations (22)

1995

  1. Transforming the error-components model for estimation with general ARMA disturbances
    Journal of Econometrics, 1995, 66, (1-2), 349-355 Downloads View citations (9)

1993

  1. Inference in Expectations Models of the Term Structure: A Non-parametric Approach
    Empirical Economics, 1993, 18, (4), 623-38 View citations (4)

1992

  1. The GLS Transformation Matrix and a Semi-recursive Estimator for the Linear Regression Model with ARMA Errors
    Econometric Theory, 1992, 8, (1), 95-111 Downloads View citations (4)

1991

  1. Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series
    International Economic Review, 1991, 32, (4), 919-36 Downloads View citations (24)
    See also Working Paper Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series, Economics Series Working Papers (1991) View citations (23) (1991)
  2. Estimation of a linear regression model with stationary ARMA(p, q) errors
    Journal of Econometrics, 1991, 47, (2-3), 333-357 Downloads View citations (8)

1990

  1. Artificial Compatibility, Barriers to Entry, and Frequent-Flyer Programs
    Canadian Journal of Economics, 1990, 23, (4), 807-16 Downloads View citations (20)
  2. Dynamic Specification and Linear Transformations of the Autoregressive-Distributed Lag Model
    Oxford Bulletin of Economics and Statistics, 1990, 52, (1), 95-104 View citations (20)
  3. Orthogonality tests with de-trended data: Interpreting Monte-Carlo results using Nagar expansions
    Economics Letters, 1990, 32, (1), 19-24 Downloads

1989

  1. A Test of the Importance of Tactical Voting: Great Britain, 1987
    British Journal of Political Science, 1989, 19, (1), 126-136 Downloads View citations (5)

1988

  1. Modelling Expectations Formation with Measurement Errors
    Economic Journal, 1988, 98, (391), 412-28 Downloads View citations (4)

1987

  1. Rejections of orthogonality in rational expectations models: Further Monte Carlo results for an extended set of regressors
    Economics Letters, 1987, 25, (3), 243-247 Downloads

Books

1993

  1. Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
    OUP Catalogue, Oxford University Press View citations (696)
 
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