Details about Mengheng Li
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
- 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
2020
- 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
2019
- Are long-run output growth rates falling?
Working Papers, International Network for Economic Research - INFER 
Also in Working Paper Series, Department of Economics, University of Utah, University of Utah, Department of Economics (2018) View citations (3)
See also Journal Article Are long‐run output growth rates falling?, Metroeconomica, Wiley Blackwell (2020) View citations (4) (2020)
- The multivariate simultaneous unobserved components model and identification via heteroskedasticity
Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney
2018
- Forecasting economic time series using score-driven dynamic models with mixed-data sampling
Tinbergen Institute Discussion Papers, Tinbergen Institute 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) View citations (10) (2019)
- 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 
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) View citations (1) (2022)
- Looking for the stars: Estimating the natural rate of interest
Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney
- Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
Journal Articles
2025
- Forecasting Half-Hourly Electricity Prices Using a Mixed-Frequency Structural VAR Framework
Econometrics, 2025, 13, (1), 1-26
2024
- Dynamic hysteresis effects
Journal of Economic Dynamics and Control, 2024, 163, (C)
- Impact of CEO’s scientific research background on the enterprise digital level
Palgrave Communications, 2024, 11, (1), 1-16
2022
- Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity
Studies in Nonlinear Dynamics & Econometrics, 2022, 26, (3), 337-359
- Leverage, Asymmetry, and Heavy Tails in the High-Dimensional Factor Stochastic Volatility Model
Journal of Business & Economic Statistics, 2022, 40, (1), 285-301 View citations (1)
See also Working Paper Leverage, asymmetry and heavy tails in the high-dimensional factor stochastic volatility model, Working Paper Series (2018) (2018)
2021
- Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction
Journal of Applied Econometrics, 2021, 36, (5), 614-627 View citations (1)
2020
- Are long‐run output growth rates falling?
Metroeconomica, 2020, 71, (1), 204-234 View citations (4)
See also Working Paper Are long-run output growth rates falling?, Working Papers (2019) (2019)
- Long-term forecasting of El Niño events via dynamic factor simulations
Journal of Econometrics, 2020, 214, (1), 46-66
2019
- Forecasting economic time series using score-driven dynamic models with mixed-data sampling
International Journal of Forecasting, 2019, 35, (4), 1735-1747 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) View citations (1) (2018)
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