Details about John W. Galbraith

Access statistics for papers by John W. Galbraith.

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Short-id: pga235

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

2020

2. Consumers' Mobility, Expenditure and Online- Offline Substitution Response to COVID-19: Evidence from French Transaction Data
   Working Papers, HAL View citations (39)
   Also in CIRANO Working Papers, CIRANO (2020) View citations (62)
   Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2020) View citations (58)
3. Consumption Dynamics in the COVID Crisis: Real Time Insights from French Transaction & Bank Data
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (40)
4. Dynamiques de consommation dans la crise: les enseignements en temps réel des données bancaires
   Working Papers, HAL View citations (4)
5. Online Commerce, Inter-Regional Retail Trade, and the Evolution of Gravity Effects: Evidence from 20 Billion Transactions
   Working Papers, HAL
6. The COVID-19 containment seen through French consumer transaction data: Expenditures, mobility and online substitution
   Post-Print, HAL View citations (1)

2015

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

2013

8. Exchange Rates and Commodity Prices: Measuring Causality at Multiple Horizons
   Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (2)
   Also in CIRANO Working Papers, CIRANO (2013) View citations (2)
   See also Journal Article Exchange rates and commodity prices: Measuring causality at multiple horizons, Journal of Empirical Finance, Elsevier (2016) View citations (75) (2016)
9. Forecasting financial volatility with combined QML and LAD-ARCH estimators of the GARCH model
   CIRANO Working Papers, CIRANO
10. Nowcasting GDP: Electronic Payments, Data Vintages and the Timing of Data Releases
    CIRANO Working Papers, CIRANO View citations (5)

2011

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

2009

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

2008

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

2007

22. FORECAST CONTENT AND CONTENT HORIZONS FOR SOME IMPORTANT MACROECONOMIC TIME SERIES
    Departmental Working Papers, McGill University, Department of Economics 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)
23. How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables
    Staff Working Papers, Bank of Canada View citations (2)

2006

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

2004

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

2002

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

2001

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

1999

35. CONTENT HORIZONS FOR FORECASTS OF ECONOMIC TIME SERIES
    Departmental Working Papers, McGill University, Department of Economics
    Also in CIRANO Working Papers, CIRANO (1999)
36. Les modèles de prévisions économiques
    CIRANO Project Reports, CIRANO
37. 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) View citations (64) (2000)
38. 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

39. 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) View citations (24) (1991)

1989

40. 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 View citations (3)

2019

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

2018

3. Econometric Fine Art Valuation by Combining Hedonic and Repeat-Sales Information
   Econometrics, 2018, 6, (3), 1-15 View citations (5)
4. Nowcasting with payments system data
   International Journal of Forecasting, 2018, 34, (2), 366-376 View citations (35)

2016

5. Exchange rates and commodity prices: Measuring causality at multiple horizons
   Journal of Empirical Finance, 2016, 36, (C), 100-120 View citations (75)
   See also Working Paper Exchange Rates and Commodity Prices: Measuring Causality at Multiple Horizons, Cahiers de recherche (2013) View citations (2) (2013)

2015

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

2013

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

2012

9. 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 View citations (25)
10. Dimension reduction and model averaging for estimation of artists' age-valuation profiles
    European Economic Review, 2012, 56, (3), 422-435 View citations (8)
    See also Working Paper Dimension Reduction and Model Averaging for Estimation of Artists' Age-Valuation Profiles, CIRANO Working Papers (2009) View citations (5) (2009)

2011

11. Kernel-based calibration diagnostics for recession and inflation probability forecasts
    International Journal of Forecasting, 2011, 27, (4), 1041-1057 View citations (11)
12. 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 View citations (46)

2010

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

2009

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

2007

16. 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) View citations (15)
    See also Working Paper FORECAST CONTENT AND CONTENT HORIZONS FOR SOME IMPORTANT MACROECONOMIC TIME SERIES, Departmental Working Papers (2007) View citations (18) (2007)

2005

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

2004

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

2002

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

2000

22. 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 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

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

1997

24. 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)
25. Taxation, smuggling and demand for cigarettes in Canada: Evidence from time-series data
    Journal of Health Economics, 1997, 16, (3), 287-301 View citations (21)

1996

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

1995

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

1993

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

1992

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

1991

30. Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series
    International Economic Review, 1991, 32, (4), 919-36 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)
31. Estimation of a linear regression model with stationary ARMA(p, q) errors
    Journal of Econometrics, 1991, 47, (2-3), 333-357 View citations (9)

1990

32. Artificial Compatibility, Barriers to Entry, and Frequent-Flyer Programs
    Canadian Journal of Economics, 1990, 23, (4), 807-16 View citations (20)
33. 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)
34. Orthogonality tests with de-trended data: Interpreting Monte-Carlo results using Nagar expansions
    Economics Letters, 1990, 32, (1), 19-24

1989

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

1988

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

1987

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

Books

1993

1. Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
   OUP Catalogue, Oxford University Press View citations (697)