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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 2014-05-07. Update your information in the RePEc Author Service.

Short-id: pga235


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Working Papers

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)
  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 (3)

2011

  1. A test of singularity for distribution functions
    CIRANO Working Papers, CIRANO Downloads
  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 (1)

2009

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

    See also Journal Article in Journal of Econometrics (2010)
  2. A Note on Monitoring Daily Economic Activity Via Electronic Transaction Data
    CIRANO Working Papers, CIRANO Downloads View citations (1)
  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 in European Economic Review (2012)
  5. FORECASTING EXPECTED SHORTFALL WITH A GENERALIZED ASYMMETRIC STUDENT-T DISTRIBUTION
    Departmental Working Papers, McGill University, Department of Economics Downloads View citations (6)
    Also in CIRANO Working Papers, CIRANO (2009) Downloads View citations (5)
  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 (5)
  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 (7)
    See also Journal Article in Canadian Journal of Economics (2007)
  2. How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables
    Staff Working Papers, Bank of Canada Downloads

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 (3)

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 in Journal of Financial Econometrics (2004)
  2. Information Content of Volatility Forecasts at Medium-term Horizons
    CIRANO Working Papers, CIRANO Downloads View citations (2)

2001

  1. Autoregression-Based Estimators for ARFIMA Models
    CIRANO Working Papers, CIRANO Downloads
  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 (17)
  4. Properties of Estimates of Daily GARCH Parameters Basaed on Intra-Day Observations
    CIRANO Working Papers, CIRANO Downloads
    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 in Journal of International Money and Finance (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 (18)
    See also Journal Article in International Economic Review (1991)

1989

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

Journal Articles

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 (5)

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 (10)
  2. Dimension reduction and model averaging for estimation of artists' age-valuation profiles
    European Economic Review, 2012, 56, (3), 422-435 Downloads View citations (5)
    See also Working Paper (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 (17)

2010

  1. A generalized asymmetric Student-t distribution with application to financial econometrics
    Journal of Econometrics, 2010, 157, (2), 297-305 Downloads View citations (22)
    See also Working Paper (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

2007

  1. Forecast content and content horizons for some important macroeconomic time series
    Canadian Journal of Economics, 2007, 40, (3), 935-953 Downloads View citations (4)
    See also Working Paper (2007)

2005

  1. Content horizons for conditional variance forecasts
    International Journal of Forecasting, 2005, 21, (2), 249-260 Downloads View citations (10)
  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 (8)
    See also Working Paper (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 (8)

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 (48)
    See also Working Paper (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 (8)

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 (12)

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 (18)

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 (5)

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, (01), 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 (19)
    See also Working Paper (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 (5)

1990

  1. Artificial Compatibility, Barriers to Entry, and Frequent-Flyer Programs
    Canadian Journal of Economics, 1990, 23, (4), 807-16 Downloads View citations (13)
  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 (8)
  3. Orthogonality tests with de-trended data: Interpreting Monte-Carlo results using Nagar expansions
    Economics Letters, 1990, 32, (1), 19-24 Downloads

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 View citations (1)

Books

1993

  1. Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
    OUP Catalogue, Oxford University Press View citations (422)
 
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