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Details about Mengheng Li

Homepage:https://menghengli.net/
Workplace:Economics Discipline Group, Business School, University of Technology Sydney, (more information at EDIRC)

Access statistics for papers by Mengheng Li.

Last updated 2025-02-09. Update your information in the RePEc Author Service.

Short-id: pli1187


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Working Papers

2023

  1. Exchange rates, uncovered interest parity, and time-varying Fama regressions
    School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy Downloads

2020

  1. US shocks and the uncovered interest rate parity
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads

2019

  1. Are long-run output growth rates falling?
    Working Papers, International Network for Economic Research - INFER Downloads
    Also in Working Paper Series, Department of Economics, University of Utah, University of Utah, Department of Economics (2018) Downloads View citations (3)

    See also Journal Article Are long‐run output growth rates falling?, Metroeconomica, Wiley Blackwell (2020) Downloads View citations (4) (2020)
  2. The multivariate simultaneous unobserved components model and identification via heteroskedasticity
    Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney Downloads

2018

  1. Forecasting economic time series using score-driven dynamic models with mixed-data sampling
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    See also Journal Article Forecasting economic time series using score-driven dynamic models with mixed-data sampling, International Journal of Forecasting, Elsevier (2019) Downloads View citations (10) (2019)
  2. Leverage, asymmetry and heavy tails in the high-dimensional factor stochastic volatility model
    Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney Downloads
    See also Journal Article Leverage, Asymmetry, and Heavy Tails in the High-Dimensional Factor Stochastic Volatility Model, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) Downloads View citations (1) (2022)
  3. Looking for the stars: Estimating the natural rate of interest
    Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney Downloads
  4. Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)

Journal Articles

2025

  1. Forecasting Half-Hourly Electricity Prices Using a Mixed-Frequency Structural VAR Framework
    Econometrics, 2025, 13, (1), 1-26 Downloads

2024

  1. Dynamic hysteresis effects
    Journal of Economic Dynamics and Control, 2024, 163, (C) Downloads
  2. Impact of CEO’s scientific research background on the enterprise digital level
    Palgrave Communications, 2024, 11, (1), 1-16 Downloads

2022

  1. Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity
    Studies in Nonlinear Dynamics & Econometrics, 2022, 26, (3), 337-359 Downloads
  2. Leverage, Asymmetry, and Heavy Tails in the High-Dimensional Factor Stochastic Volatility Model
    Journal of Business & Economic Statistics, 2022, 40, (1), 285-301 Downloads View citations (1)
    See also Working Paper Leverage, asymmetry and heavy tails in the high-dimensional factor stochastic volatility model, Working Paper Series (2018) Downloads (2018)

2021

  1. Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction
    Journal of Applied Econometrics, 2021, 36, (5), 614-627 Downloads View citations (1)

2020

  1. Are long‐run output growth rates falling?
    Metroeconomica, 2020, 71, (1), 204-234 Downloads View citations (4)
    See also Working Paper Are long-run output growth rates falling?, Working Papers (2019) Downloads (2019)
  2. Long-term forecasting of El Niño events via dynamic factor simulations
    Journal of Econometrics, 2020, 214, (1), 46-66 Downloads

2019

  1. Forecasting economic time series using score-driven dynamic models with mixed-data sampling
    International Journal of Forecasting, 2019, 35, (4), 1735-1747 Downloads View citations (10)
    See also Working Paper Forecasting economic time series using score-driven dynamic models with mixed-data sampling, Tinbergen Institute Discussion Papers (2018) Downloads View citations (1) (2018)
 
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