John W. Galbraith

McGill University - Department of Economics

855 Sherbrooke St. W

Montreal, Quebec H3A 2T7

Canada

Center for Interuniversity Research and Analysis on Organization (CIRANO)

2020 rue University, 25th floor

Montreal H3C 3J7, Quebec

Canada

SCHOLARLY PAPERS

18

DOWNLOADS

1,576

SSRN CITATIONS

24

CROSSREF CITATIONS

20

Scholarly Papers (18)

1.

Consumers' Mobility, Expenditure and Online-Offline Substitution Response to COVID-19: Evidence from French Transaction Data

Number of pages: 54 Posted: 29 Apr 2020 Last Revised: 11 May 2020
David Bounie, Youssouf Camara and John W. Galbraith
Télécom Paris, Télécom Paris and McGill University - Department of Economics
Downloads 535 (56,487)
Citation 3

Abstract:

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COVID-19, consumption expenditure, consumer mobility, online commerce, resiliency, transaction data

2.

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 418 (76,146)
Citation 6

Abstract:

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

3.

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 202 (164,560)
Citation 6

Abstract:

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asymmetric distribution, expected shortfall, maximum likelihood estimation

4.

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 131 (237,971)
Citation 5

Abstract:

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asymmetric distribution, expected shortfall, GARCH model

5.

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 60 (388,024)
Citation 11

Abstract:

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GDP, nowcasting, electronic payments

6.

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 30 (508,227)
Citation 1

Abstract:

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debit cards, electronic transactions, monitoring

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 29 (513,486)
Citation 1

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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 29 (513,486)
Citation 4

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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 28 (518,944)
Citation 1

Abstract:

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debit card transactions, macroeconomic monitoring, real-time data

10.

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 (524,453)

Abstract:

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QML and LAD-ARCH estimators, GARCH models

11.

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 23 (548,402)

Abstract:

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calibration, density forecast, probability forecast, resolution

12.

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 (593,121)

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Entropy, redundancy, robust design

13.

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 15 (599,804)
Citation 1

Abstract:

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

14.

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 (613,419)
Citation 2
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15.

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 (620,487)
Citation 1

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

16.

Online Commerce, Inter-Regional Retail Trade, and the Evolution of Gravity Effects: Evidence from 20 Billion Transactions

Number of pages: 46
David Bounie, Youssouf Camara and John W. Galbraith
Télécom Paris, Télécom Paris and McGill University - Department of Economics
Downloads 5

Abstract:

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Consumption expenditure, consumer mobility, gravity model, inter-regional trade, e-commerce

17.

Simple and Reliable Estimators of Coefficients of Interest in a Model With High-Dimensional Confounding Effects

Journal of Econometrics, Forthcoming
Number of pages: 40 Posted: 09 Jul 2020
John W. Galbraith and Victoria Zinde‐Walsh
McGill University - Department of Economics and McGill University - Department of Economics
Downloads 3 (686,093)

Abstract:

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confounding, high-dimensional data, principal components, subspace consistency, treatment effect, wide data

18.

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

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circuit breaker, structural change tests, tail index