George Monokroussos

Joint Research Centre, Italy

Via E. Fermi 1

I-21020 Ispra (VA)

Italy

  • Joint Research Centre, Italy

SCHOLARLY PAPERS

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564

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8

Scholarly Papers (7)

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1.

Growth Forecasts Using Time Series and Growth Models

World Bank Policy Research Working Paper No. 2224
Number of pages: 33 Posted: 20 Apr 2016
Aart Kraay and George Monokroussos
World Bank - Development Research Group (DECRG) and Joint Research Centre, Italy
Downloads 211 (141,191)
Citation 3

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2.

Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues

Number of pages: 46 Posted: 06 Feb 2015
Sven Langedijk, George Monokroussos and Evangelia Papanagiotou
European Union - European Commission, Joint Research Centre, Italy and European Commission - Joint Research Centre
Downloads 113 (238,339)

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Liquidity, Market Microstructure, High-Frequency Data, Sovereign Bonds, MIDAS, Coherence.

3.

Nowcasting US GDP: The Role of ISM Business Surveys

International Journal of Forecasting, Forthcoming
Number of pages: 33 Posted: 30 May 2012
Kajal Lahiri and George Monokroussos
State University of New York (SUNY) at Albany, College of Arts and Sciences, Economics and Joint Research Centre, Italy
Downloads 109 (244,500)
Citation 2

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Forecasting, ISM, PMI, NMI, factor models, Kalman filter, Real time data

4.

The Yield Spread Puzzle and the Information Content of SPF Forecasts

Downloads 46 (393,144)

The Yield Spread Puzzle and the Information Content of SPF Forecasts

Economics Letters, Forthcoming
Number of pages: 6 Posted: 05 Nov 2012
Kajal Lahiri, George Monokroussos and Yongchen Zhao
State University of New York (SUNY) at Albany, College of Arts and Sciences, Economics, Joint Research Centre, Italy and Towson University - Department of Economics
Downloads 25 (496,324)

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Probability forecasts, Yield spread, Real-time data

The Yield Spread Puzzle and the Information Content of SPF Forecasts

CESifo Working Paper Series No. 3949
Number of pages: 8 Posted: 04 Oct 2012
Kajal Lahiri, George Monokroussos and Yongchen Zhao
State University of New York (SUNY) at Albany, College of Arts and Sciences, Economics, Joint Research Centre, Italy and Towson University - Department of Economics
Downloads 21 (520,819)

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probability forecasts, yield spread, real-time data

5.

Forecasting Consumption: The Role of Consumer Confidence in Real Time with Many Predictors

Journal of Applied Econometrics, 2015
Number of pages: 32 Posted: 17 Jul 2015
Kajal Lahiri, George Monokroussos and Yongchen Zhao
State University of New York (SUNY) at Albany, College of Arts and Sciences, Economics, Joint Research Centre, Italy and Towson University - Department of Economics
Downloads 39 (418,731)

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Forecasting, Consumption, Consumer Sentiment, Factor Models, Kalman Filter, Real-Time Data, Fluctuation test

6.

A Classical MCMC Approach to the Estimation of Limited Dependent Variable Models of Time Series

Computational Economics, Forthcoming
Number of pages: 40 Posted: 14 Jul 2012 Last Revised: 06 Aug 2012
George Monokroussos
Joint Research Centre, Italy
Downloads 23 (492,820)

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Discrete Choice models, Censored models, Data Augmentation, Markov Chain Monte Carlo, Gibbs Sampling, Taylor rules, Alan Greenspan

7.

Dynamic Limited Dependent Variable Modeling and US Monetary Policy

Journal of Money, Credit, and Banking, Vol. 43, Nos. 2-3, 2011
Number of pages: 29 Posted: 30 May 2012 Last Revised: 14 Jul 2012
George Monokroussos
Joint Research Centre, Italy
Downloads 23 (492,820)
Citation 3

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Monetary policy rules, Taylor rule, Real-time data, Greenbook forecasts, Federal funds rate, Discrete choice models, Data augmentation, Markov Chain Monte Carlo, Gibbs sampling, Time-varying parameter models, Regime-switching models