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.
My job market paper 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 portfolios consisting of components from S&P 100 and ASX 50 through the lens of dynamic portfolio management and risk management.
I am particularly passionate about studying empirical macroeconomics including structural analysis and forecasting via state space modeling of macroeconomic data. I will start a one-year research position at the Dutch Central Bank from August, 2017. Upon joining the Modeling and Econometrics Department, I will contribute to a project studying drivers behind inflation sluggishness and its changing dynamic properties.
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.