Details about Linlin Niu

Access statistics for papers by Linlin Niu.

Last updated 2025-01-07. Update your information in the RePEc Author Service.

Short-id: pni306

Working Papers

2022

1. Changing anchor of the renminbi: A Bayesian learning approach to the decade-long transition
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
   See also Journal Article Changing anchor of the renminbi: A Bayesian learning approach to the decade-long transition, Economic Modelling, Elsevier (2022) (2022)
2. Forecasting Interest Rates with Shifting Endpoints: The Role of the Demographic Age Structure
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University

2021

3. A Semiparametric Model for Bond Pricing with Life Cycle Fundamental
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University View citations (1)
4. Affine arbitrage-free yield net models with application to the euro debt crisis
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
   See also Journal Article Affine arbitrage-free yield net models with application to the euro debt crisis, Journal of Econometrics, Elsevier (2022) View citations (2) (2022)
5. Faster fiscal stimulus and a higher government spending multiplier in China: Mixed-frequency identification with SVAR
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
   See also Journal Article Faster fiscal stimulus and a higher government spending multiplier in China: Mixed-frequency identification with SVAR, Economics Letters, Elsevier (2021) (2021)

2020

6. Echo over the Great Wall: Spillover Effects of QE Announcements on Chinese Yield Curve
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
   See also Journal Article Echo over the great wall: Spillover effects of QE announcements on Chinese yield curve, Journal of International Money and Finance, Elsevier (2021) View citations (2) (2021)
7. Market Pricing of Fundamentals at the Shanghai Stock Exchange: Evidence from a Dividend Discount Model with Adaptive Expectations
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University

2018

8. Forecasting the Term Structure of Option Implied Volatility: The Power of an Adaptive Method
   IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (4)
   See also Journal Article Forecasting the term structure of option implied volatility: The power of an adaptive method, Journal of Empirical Finance, Elsevier (2018) View citations (5) (2018)

2015

9. An adaptive approach to forecasting three key macroeconomic variables for transitional China
   BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT)
   Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2015)
   See also Journal Article An adaptive approach to forecasting three key macroeconomic variables for transitional China, Economic Modelling, Elsevier (2017) View citations (5) (2017)
10. Housing Price in Urban China as Determined by Demand and Supply
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University View citations (15)
    See also Journal Article Housing Prices in Urban China as Determined by Demand and Supply, Pacific Economic Review, Wiley Blackwell (2015) View citations (20) (2015)

2013

11. A Local Vector Autoregressive Framework and its Applications to Multivariate Time Series Monitoring and Forecasting
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University View citations (1)
12. Adaptive Dynamic Nelson-Siegel Term Structure Model with Applications
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University View citations (2)
    See also Journal Article Adaptive dynamic Nelson–Siegel term structure model with applications, Journal of Econometrics, Elsevier (2014) View citations (33) (2014)
13. An Affine Term Structure Model with Auxiliary Stochastic Volatility-Covolatility
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
14. Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
15. Co-movements of Shanghai and New York Stock Prices by Time-varying Regressions
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
    Also in BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT) (2011) View citations (1)
    See also Journal Article Co-movements of Shanghai and New York stock prices by time-varying regressions, Journal of Comparative Economics, Elsevier (2011) View citations (15) (2011)
16. De Facto Currency Baskets of China and East Asian Economies: The Rising Weights
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University View citations (11)
    Also in BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT) (2012) View citations (1)
17. Econometric Analysis of Stock Price Co-movement in the Economic Integration of East Asia
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
18. Term Structure Forecasting: No-arbitrage Restrictions Versus Large Information set
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
    See also Journal Article Term Structure Forecasting: No‐Arbitrage Restrictions versus Large Information Set, Journal of Forecasting, John Wiley & Sons, Ltd. (2012) View citations (21) (2012)
19. The Discrete-Time Framework of the Arbitrage-Free Nelson-Siegel Class of Term Structure Models
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University View citations (1)
20. 中国实际利率与通胀预期的期限结构：基于无套利宏观金融模型的研究
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
21. 基于贝叶斯模型平均 (BMA) 方法的中国通货膨胀的建模及预测
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University

2007

22. Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (13)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2007) View citations (17)

Journal Articles

2025

1. Forecasting interest rates with shifting endpoints: The role of the functional demographic age distribution
   International Journal of Forecasting, 2025, 41, (1), 153-174

2023

2. How do baby boomers affect interest rates? A functional analysis of the impact of age distribution on macroeconomic trends
   Finance Research Letters, 2023, 53, (C) View citations (1)

2022

3. Affine arbitrage-free yield net models with application to the euro debt crisis
   Journal of Econometrics, 2022, 230, (1), 201-220 View citations (2)
   See also Working Paper Affine arbitrage-free yield net models with application to the euro debt crisis, Working Papers (2021) (2021)
4. Changing anchor of the renminbi: A Bayesian learning approach to the decade-long transition
   Economic Modelling, 2022, 116, (C)
   See also Working Paper Changing anchor of the renminbi: A Bayesian learning approach to the decade-long transition, Working Papers (2022) (2022)

2021

5. Echo over the great wall: Spillover effects of QE announcements on Chinese yield curve
   Journal of International Money and Finance, 2021, 111, (C) View citations (2)
   See also Working Paper Echo over the Great Wall: Spillover Effects of QE Announcements on Chinese Yield Curve, Working Papers (2020) (2020)
6. Faster fiscal stimulus and a higher government spending multiplier in China: Mixed-frequency identification with SVAR
   Economics Letters, 2021, 209, (C)
   See also Working Paper Faster fiscal stimulus and a higher government spending multiplier in China: Mixed-frequency identification with SVAR, Working Papers (2021) (2021)

2019

7. Sparse-Group Independent Component Analysis with application to yield curves prediction
   Computational Statistics & Data Analysis, 2019, 133, (C), 76-89
8. US and Chinese yield curve responses to RMB exchange rate policy shocks
   China Finance Review International, 2019, 9, (3), 360-385 View citations (4)

2018

9. Forecasting the term structure of option implied volatility: The power of an adaptive method
   Journal of Empirical Finance, 2018, 49, (C), 157-177 View citations (5)
   See also Working Paper Forecasting the Term Structure of Option Implied Volatility: The Power of an Adaptive Method, IRTG 1792 Discussion Papers (2018) View citations (4) (2018)

2017

10. An adaptive approach to forecasting three key macroeconomic variables for transitional China
    Economic Modelling, 2017, 66, (C), 201-213 View citations (5)
    See also Working Paper An adaptive approach to forecasting three key macroeconomic variables for transitional China, BOFIT Discussion Papers (2015) (2015)

2015

11. Housing Prices in Urban China as Determined by Demand and Supply
    Pacific Economic Review, 2015, 20, (1), 1-16 View citations (20)
    See also Working Paper Housing Price in Urban China as Determined by Demand and Supply, Working Papers (2015) View citations (15) (2015)

2014

12. Adaptive dynamic Nelson–Siegel term structure model with applications
    Journal of Econometrics, 2014, 180, (1), 98-115 View citations (33)
    See also Working Paper Adaptive Dynamic Nelson-Siegel Term Structure Model with Applications, Working Papers (2013) View citations (2) (2013)

2012

13. Term Structure Forecasting: No‐Arbitrage Restrictions versus Large Information Set
    Journal of Forecasting, 2012, 31, (2), 124-156 View citations (21)
    See also Working Paper Term Structure Forecasting: No-arbitrage Restrictions Versus Large Information set, Working Papers (2013) (2013)

2011

14. Co-movements of Shanghai and New York stock prices by time-varying regressions
    Journal of Comparative Economics, 2011, 39, (4), 577-583 View citations (15)
    See also Working Paper Co-movements of Shanghai and New York Stock Prices by Time-varying Regressions, Working Papers (2013) (2013)