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I am Mengheng Li, a PhD candidate in econometrics at the Department of Econometrics, VU university Amsterdam. I am also a Research Analyst at the Department of Econometrics and Models, De Nederlandsche Bank (DNB, the Dutch Central Bank). I have worked as a visiting PhD at the Discipline of Business Analytics, USYD Business School for 6 months. I am on the 2018 job market, and will be available for interviews at the AEA/ASSA annual meeting and AFA annual meeting in Philadelphia in January, 2018. I will also attend the RES PhD Meetings in London in December 2017 for interviews, as well as giving a presentation in the “Quantitative Methods” session.

Download my CV. Send me email m.li[at]vu.nl. Follow me on Linkedin. Call me +316 141 519 03



JMP: Leverage, asymmetry and heavy tails in the high-dimensional factor stochastic volatility model

Key words: MCMC; Sequential Monte Carlo; Particle filter; Particle Gibbs; Metropolis-Hastings algorithm; Efficient importance sampling; Time-varying covariance matrix


Research interests: Business and Economics Analytics

  • dynamic time series models
  • nonlinear non-Gaussian state space models
  • empirical macroeconomics
  • financial econometrics
  • (Bayesian) high-dimensional time series models

Teaching interests: Quantitative Methods

  • econometrics (time series preferred)
  • empirical/applied macroeconomics
  • quantitative finance
  • probability theory and statistics

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