I am Mengheng Li, a PhD candidate in econometrics at VU university Amsterdam and a cum laude graduate from Tinbergen Institute. Over the last four years, I have been working closely with my supervisor Prof. S.J. Koopman on various projects. My research interests are in the areas of time series with unobserved components, on which my PhD thesis also focuses.
I am particularly passionate about studying empirical macroeconomics including structural analysis and forecasting via state space modeling of macroeconomic data. I work full-time as a research associate at the Dutch Central Bank. Upon joining the Department of Econometrics and Models, I have been contributing to the estimation of natural rate of interest and output gap for EU countries, and studying puzzles behind inflation sluggishness clouded by changing dynamic properties.
My job market paper is a research on Bayesian financial econometrics. It studies asymmetry, leverage effect, and heavy tails for a high-dimensional portfolio of asset returns via a factor stochastic volatility model. This project was initiated when I was a visiting PhD at the University of Sydney Business School. A highly efficient sequential Monte Carlo method is developed and applied to analyze two international portfolios.
Besides applying econometrics to macroeconomics and finance, recently in cooperation with the Barcelona-based Catalan Institute for Climate Science, I have been involved in an interdisciplinary project on long-term forecasting of El Niño events using econometric models.
I am on the 2018 job market, and will be available for interviews at the AEA/ASSA annual meeting in Philadelphia in January, 2018.