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

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

2020

2. 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

3. Are long-run output growth rates falling?
   Working Papers, International Network for Economic Research - INFER
   See also Journal Article Are long‐run output growth rates falling?, Metroeconomica, Wiley Blackwell (2020) View citations (6) (2020)
4. The multivariate simultaneous unobserved components model and identification via heteroskedasticity
   Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney

2018

5. 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 (11) (2019)
6. 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)
7. Looking for the stars: Estimating the natural rate of interest
   Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney
8. 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

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

2024

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

2022

4. Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity
   Studies in Nonlinear Dynamics & Econometrics, 2022, 26, (3), 337-359
5. 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

6. Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction
   Journal of Applied Econometrics, 2021, 36, (5), 614-627 View citations (2)

2020

7. Are long‐run output growth rates falling?
   Metroeconomica, 2020, 71, (1), 204-234 View citations (6)
   See also Working Paper Are long-run output growth rates falling?, Working Papers (2019) (2019)
8. Long-term forecasting of El Niño events via dynamic factor simulations
   Journal of Econometrics, 2020, 214, (1), 46-66

2019

9. Forecasting economic time series using score-driven dynamic models with mixed-data sampling
   International Journal of Forecasting, 2019, 35, (4), 1735-1747 View citations (11)
   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)