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

19

DOWNLOADS

3,759

SSRN CITATIONS

71

CROSSREF CITATIONS

18

Scholarly Papers (19)

1.

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

Number of pages: 44 Posted: 29 Apr 2020 Last Revised: 18 Oct 2022
David Bounie, David Bounie, Youssouf Camara and John W. Galbraith
Telecom ParisTechTélécom Paris, Télécom Paris and McGill University - Department of Economics
Downloads 2,082 (13,236)
Citation 51

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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 474 (104,944)
Citation 7

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 336 (155,076)
Citation 9

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 178 (288,083)
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 107 (430,016)
Citation 13

Abstract:

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GDP, nowcasting, electronic payments

6.

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

Number of pages: 46 Posted: 20 Aug 2020
David Bounie, David Bounie, Youssouf Camara and John W. Galbraith
Telecom ParisTechTélécom Paris, Télécom Paris and McGill University - Department of Economics
Downloads 83 (507,313)
Citation 1

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

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 59 (610,348)
Citation 1

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generalized function, kernel density estimator, singularity

8.

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 55 (631,084)

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

9.

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 55 (631,084)
Citation 5

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Dimension reduction, factor-augmented model, model averaging

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 52 (647,536)

Abstract:

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QML and LAD-ARCH estimators, GARCH models

11.

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 52 (647,536)
Citation 20

Abstract:

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debit card transactions, macroeconomic monitoring, real-time data

12.

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 52 (647,536)
Citation 2

Abstract:

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debit cards, electronic transactions, monitoring

13.

Consumer Mobility, Online and On-site Commerce and the Geographic Concentration of Economic Activity: Evidence from 20 Billion Transactions

CIRANO Working Paper 2021S-17
Number of pages: 49 Posted: 22 Apr 2021
David Bounie, David Bounie, Youssouf Camara and John W. Galbraith
Telecom ParisTechTélécom Paris, Télécom Paris and McGill University - Department of Economics
Downloads 49 (664,336)

Abstract:

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Consumption Expenditure, Consumer Mobility, Inter-Regional Trade, Ecommerce

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 39 (728,068)
Citation 1

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

15.

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 37 (742,226)

Abstract:

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calibration, density forecast, probability forecast, resolution

16.

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 27 (819,534)

Abstract:

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Entropy, redundancy, robust design

17.

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 22 (863,352)
Citation 1

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

18.

Consumption Dynamics in the COVID Crisis: Real Time Insights from French Transaction & Bank Data

CEPR Discussion Paper No. DP15474
Number of pages: 43 Posted: 02 Dec 2020
London School of Economics & Political Science (LSE) - London School of Economics, Telecom ParisTechTélécom Paris, Télécom Paris, Sciences Po Department of Economics, McGill University - Department of Economics, National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE), London School of Economics & Political Science (LSE) - London School of Economics and Conseil Analyse Economique
Downloads 0 (1,058,168)
Citation 8
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19.

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