Details about John W. Galbraith
Access statistics for papers by John W. Galbraith.
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Short-id: pga235
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Working Papers
2021
- Consumer Mobility, Online and On-site Commerce and the Geographic Concentration of Economic Activity: Evidence from 20 Billion Transactions
CIRANO Working Papers, CIRANO
2020
- 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)
- 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 (38)
- Dynamiques de consommation dans la crise: les enseignements en temps réel des données bancaires
Working Papers, HAL View citations (4)
- Online Commerce, Inter-Regional Retail Trade, and the Evolution of Gravity Effects: Evidence from 20 Billion Transactions
Working Papers, HAL
- The COVID-19 containment seen through French consumer transaction data: Expenditures, mobility and online substitution
Post-Print, HAL View citations (1)
2015
- Nowcasting GDP with electronic payments data
Statistics Paper Series, European Central Bank View citations (11)
2013
- 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 (72) (2016)
- Forecasting financial volatility with combined QML and LAD-ARCH estimators of the GARCH model
CIRANO Working Papers, CIRANO
- Nowcasting GDP: Electronic Payments, Data Vintages and the Timing of Data Releases
CIRANO Working Papers, CIRANO View citations (5)
2011
- A test of singularity for distribution functions
CIRANO Working Papers, CIRANO View citations (1)
- Analyzing Economic Effects of Extreme Events using Debit and Payments System Data
CIRANO Working Papers, CIRANO
- Partially Dimension-Reduced Regressions with Potentially Infinite-Dimensional Processes
CIRANO Working Papers, CIRANO View citations (2)
2009
- 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)
- A Note on Monitoring Daily Economic Activity Via Electronic Transaction Data
CIRANO Working Papers, CIRANO View citations (4)
- Calibration and Resolution Diagnostics for Bank of England Density Forecasts
CIRANO Working Papers, CIRANO View citations (1)
- 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)
- 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)
- The Robustness of Economic Activity to Destructive Events
CIRANO Working Papers, CIRANO
2008
- 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)
- 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
- 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)
- How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables
Staff Working Papers, Bank of Canada View citations (2)
2006
- ASYMPTOTICS FOR ESTIMATION OF TRUNCATED INFINITE-DIMENSIONAL QUANTILE REGRESSIONS
Departmental Working Papers, McGill University, Department of Economics
- EXTREME DEPENDENCE IN THE NASDAQ AND S&P COMPOSITE INDEXES
Departmental Working Papers, McGill University, Department of Economics
- 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)
- REDUCED-DIMENSION CONTROL REGRESSION
Departmental Working Papers, McGill University, Department of Economics View citations (5)
2004
- Indicators of wireline/wireless competition in the market for telecommunication services
CIRANO Project Reports, CIRANO
2002
- 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)
- Information Content of Volatility Forecasts at Medium-term Horizons
CIRANO Working Papers, CIRANO View citations (4)
2001
- Autoregression-Based Estimators for ARFIMA Models
CIRANO Working Papers, CIRANO View citations (2)
- Conditional Quantiles of Volatility in Equity Index and Foreign Exchange Data
CIRANO Working Papers, CIRANO
- Forecasting Some Low-Predictability Time Series Using Diffusion Indices
CIRANO Working Papers, CIRANO View citations (18)
- 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
- CONTENT HORIZONS FOR FORECASTS OF ECONOMIC TIME SERIES
Departmental Working Papers, McGill University, Department of Economics
Also in CIRANO Working Papers, CIRANO (1999)
- Les modèles de prévisions économiques
CIRANO Project Reports, CIRANO
- 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)
- 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
- 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
- ESTIMATING EULER EQUATIONS WITH INTEGRATED SERIES
Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
Journal Articles
2020
- 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
- Asymmetry in unemployment rate forecast errors
International Journal of Forecasting, 2019, 35, (4), 1613-1626 View citations (16)
2018
- Econometric Fine Art Valuation by Combining Hedonic and Repeat-Sales Information
Econometrics, 2018, 6, (3), 1-15 View citations (4)
- Nowcasting with payments system data
International Journal of Forecasting, 2018, 34, (2), 366-376 View citations (35)
2016
- Exchange rates and commodity prices: Measuring causality at multiple horizons
Journal of Empirical Finance, 2016, 36, (C), 100-120 View citations (72)
See also Working Paper Exchange Rates and Commodity Prices: Measuring Causality at Multiple Horizons, Cahiers de recherche (2013) View citations (2) (2013)
2015
- GARCH Model Estimation Using Estimated Quadratic Variation
Econometric Reviews, 2015, 34, (6-10), 1172-1192 View citations (1)
- 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
- 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
- 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)
- 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
- Kernel-based calibration diagnostics for recession and inflation probability forecasts
International Journal of Forecasting, 2011, 27, (4), 1041-1057 View citations (11)
- 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
- 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
- Asymptotics for estimation of quantile regressions with truncated infinite-dimensional processes
Journal of Multivariate Analysis, 2009, 100, (3), 497-508 View citations (3)
- Extreme dependence in the NASDAQ and S&P 500 composite indexes
Applied Financial Economics, 2009, 19, (13), 1019-1028 View citations (3)
2007
- 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
- Content horizons for conditional variance forecasts
International Journal of Forecasting, 2005, 21, (2), 249-260 View citations (15)
- Les progrès dans les prévisions: météorologie et économique*
L'Actualité Economique, 2005, 81, (4), 559-593
2004
- 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)
- Évaluation de critères d’information pour les modèles de séries chronologiques
L'Actualité Economique, 2004, 80, (2), 207-227
2002
- ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION
Econometric Reviews, 2002, 21, (2), 205-219 View citations (14)
2000
- 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
- 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
- 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)
- 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
- 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
- Transforming the error-components model for estimation with general ARMA disturbances
Journal of Econometrics, 1995, 66, (1-2), 349-355 View citations (9)
1993
- Inference in Expectations Models of the Term Structure: A Non-parametric Approach
Empirical Economics, 1993, 18, (4), 623-38 View citations (4)
1992
- 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
- 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)
- Estimation of a linear regression model with stationary ARMA(p, q) errors
Journal of Econometrics, 1991, 47, (2-3), 333-357 View citations (8)
1990
- Artificial Compatibility, Barriers to Entry, and Frequent-Flyer Programs
Canadian Journal of Economics, 1990, 23, (4), 807-16 View citations (20)
- 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)
- Orthogonality tests with de-trended data: Interpreting Monte-Carlo results using Nagar expansions
Economics Letters, 1990, 32, (1), 19-24
1989
- 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
- Modelling Expectations Formation with Measurement Errors
Economic Journal, 1988, 98, (391), 412-28 View citations (4)
1987
- 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
- Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
OUP Catalogue, Oxford University Press View citations (696)
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