Mengheng Li
Mengheng Li
University of Technology Sydney Business School Economics Discipline Group
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Forecasting economic time series using score-driven dynamic models with mixed-data sampling
P Gorgi, SJ Koopman, M Li
International Journal of Forecasting 35 (4), 1735-1747, 2019
Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction
M Li, SJ Koopman
Journal of Applied Econometrics 36 (5), 614-627, 2021
Are long‐run output growth rates falling?
M Li, I Mendieta‐Muņoz
Metroeconomica 71 (1), 204-234, 2020
Long-term forecasting of El Niņo events via dynamic factor simulations
M Li, SJ Koopman, R Lit, D Petrova
Journal of Econometrics 214 (1), 46-66, 2020
Leverage, asymmetry, and heavy tails in the high-dimensional factor stochastic volatility model
M Li, M Scharth
Journal of Business & Economic Statistics 40 (1), 285-301, 2022
Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity
M Li, I Mendieta-Muņoz
Studies in Nonlinear Dynamics & Econometrics, 2021
US shocks and the uncovered interest rate parity
B Fu, M Li
CAMA Working Paper, 2020
Looking for the stars: Estimating the natural rate of interest
M Li, I Hindrayanto
Economics Discipline Group, UTS Business School, University of Technology …, 2018
Leverage, asymmetry and heavy tails in the high-dimensional factor stochastic volatility model–Supplementary appendix
M Li, M Scharth
Dynamic and stochastic volatility structures in US inflation: Estimation and signal extraction Supplementary Appendix
M Li, SJ Koopman
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