John W. Galbraith

McGill University - Department of Economics

1001 Sherbrooke St. W

Montreal, Quebec H3A 1G5

Canada

Center for Interuniversity Research and Analysis on Organization (CIRANO)

2020 rue University, 25th floor

Montreal H3C 3J7, Quebec

Canada

  • McGill University - Department of Economics

  • Center for Interuniversity Research and Analysis on Organization (CIRANO)

SCHOLARLY PAPERS

15

DOWNLOADS

975

CITATIONS

41

Scholarly Papers (15)

Actions:
Email selected abstracts
1.

Exchange Rates and Commodity Prices: Measuring Causality at Multiple Horizons

CIRANO - Scientific Publications 2013s-39
Number of pages: 36 Posted: 19 Dec 2013 Last Revised: 14 Oct 2015
Hui Jun Zhang, Jean-Marie Dufour and John W. Galbraith
University of Cambridge, McGill University and McGill University - Department of Economics
Downloads 409 (70,030)
Citation 9

Abstract:

Loading...

multi-horizon causality, causality measures, commodity prices, exchange rates, stock prices, high-frequency data, spurious causality, financial markets

2.

A Generalized Asymmetric Student-t Distribution with Application to Financial Econometrics

Number of pages: 39 Posted: 05 Nov 2009
John W. Galbraith and Dongming Zhu
McGill University - Department of Economics and Peking University
Downloads 185 (161,108)
Citation 19

Abstract:

Loading...

asymmetric distribution, expected shortfall, maximum likelihood estimation

3.

Forecasting Expected Shortfall with a Generalized Asymmetric Student-T Distribution

CIRANO - Scientific Publications Paper No. 2009s-24
Number of pages: 19 Posted: 12 Nov 2009
Dongming Zhu and John W. Galbraith
Peking University and McGill University - Department of Economics
Downloads 126 (222,081)
Citation 1

Abstract:

Loading...

asymmetric distribution, expected shortfall, GARCH model

4.

Nowcasting GDP: Electronic Payments, Data Vintages and the Timing of Data Releases

CIRANO - Scientific Publications 2013s-25
Number of pages: 39 Posted: 19 Oct 2013
John W. Galbraith and Greg Tkacz
McGill University - Department of Economics and Saint Francis Xavier University - Economics
Downloads 49 (387,021)
Citation 4

Abstract:

Loading...

GDP, nowcasting, electronic payments

5.

A Note on Monitoring Daily Economic Activity Via Electronic Transaction Data

CIRANO - Scientific Publications Paper No. 2009s-23
Number of pages: 12 Posted: 12 Nov 2009
John W. Galbraith and Greg Tkacz
McGill University - Department of Economics and Bank of Canada
Downloads 28 (471,543)
Citation 1

Abstract:

Loading...

debit cards, electronic transactions, monitoring

6.

Forecasting Financial Volatility with Combined QML and LAD-ARCH Estimators of the GARCH Model

CIRANO - Scientific Publications 2013s-19
Number of pages: 19 Posted: 17 Sep 2013
Liam Cheung and John W. Galbraith
McGill University and McGill University - Department of Economics
Downloads 27 (476,644)

Abstract:

Loading...

QML and LAD-ARCH estimators, GARCH models

7.

A Test of Singularity for Distribution Functions

CIRANO - Scientific Publications 2011s-06
Posted: 01 Feb 2011
Victoria Zinde‐Walsh and John W. Galbraith
McGill University - Department of Economics and McGill University - Department of Economics
Downloads 27 (476,644)
Citation 1

Abstract:

Loading...

generalized function, kernel density estimator, singularity

8.

Dimension Reduction and Model Averaging for Estimation of Artists’ Age-Valuation Profiles

CIRANO - Scientific Publications 209s-41
Number of pages: 18 Posted: 15 Nov 2009
John W. Galbraith and Douglas J. Hodgson
McGill University - Department of Economics and University of Quebec at Montreal (UQAM) - Department of Economics
Downloads 27 (476,644)
Citation 4

Abstract:

Loading...

Dimension reduction, factor-augmented model, model averaging

9.

Analyzing Economic Effects of Extreme Events Using Debit and Payments System Data

CIRANO - Scientific Publications 2011s-70
Number of pages: 17 Posted: 25 Nov 2011
John W. Galbraith and Greg Tkacz
McGill University - Department of Economics and Saint Francis Xavier University - Economics
Downloads 22 (504,032)
Citation 5

Abstract:

Loading...

debit card transactions, macroeconomic monitoring, real-time data

10.

Calibration and Resolution Diagnostics for Bank of England Density Forecasts

CIRANO - Scientific Publications 2009s-36
Number of pages: 27 Posted: 12 Nov 2009
John W. Galbraith and Simon van Norden
McGill University - Department of Economics and HEC Montreal - Department of Finance
Downloads 22 (504,032)

Abstract:

Loading...

calibration, density forecast, probability forecast, resolution

11.

The Robustness of Economic Activity to Destructive Events

CIRANO - Scientific Publications Paper No. 2009s-22
Posted: 12 Nov 2009
John W. Galbraith
McGill University - Department of Economics
Downloads 16 (538,607)

Abstract:

Loading...

Entropy, redundancy, robust design

12.

Forecast Content and Content Horizons for Some Important Macroeconomic Time Series

Canadian Journal of Economics, Vol. 40, No. 3, pp. 935-953, August 2007
Number of pages: 19 Posted: 20 Jul 2007
John W. Galbraith and Greg Tkacz
McGill University - Department of Economics and Bank of Canada
Downloads 13 (556,428)
Citation 12
  • Add to Cart

Abstract:

Loading...

13.

Partially Dimension-Reduced Regressions with Potentially Infinite-Dimensional Processes

CIRANO - Scientific Publication No. 2011s-57
Number of pages: 30 Posted: 24 Oct 2011
John W. Galbraith and Victoria Zinde‐Walsh
McGill University - Department of Economics and McGill University - Department of Economics
Downloads 12 (562,517)

Abstract:

Loading...

Dimension reduction, eigenvector, infinite-dimensional process, orthogonalized regressors

14.

The Calibration of Probabilistic Economic Forecasts

CIRANO - Scientific Publications 2008s-28
Number of pages: 31 Posted: 20 Jan 2009
John W. Galbraith and Simon van Norden
McGill University - Department of Economics and HEC Montreal - Department of Finance
Downloads 12 (562,517)
Citation 1

Abstract:

Loading...

calibration, probability forecast, real-time data, inflation, recession

15.

Circuit Breakers and the Tail Index of Equity Returns

Journal of Financial Econometrics, Vol. 2, pp. 109-129, 2004
Posted: 29 Feb 2008
John W. Galbraith and Serguei Zernov
McGill University - Department of Economics and McGill University

Abstract:

Loading...

circuit breaker, structural change tests, tail index