I am Mengheng Li, Lecturer (assistant professor) at Economics Discipline Group, University of Technology Sydney. Before working at UTS, I was a Research Analyst at the Economic Research and Policy Division, the Dutch Central Bank.
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Research interests: Time series econometrics
- Dynamic time series models
- Nonlinear non-Gaussian state space models
- Empirical macroeconomics
- Bayesian econometrics
1. Long term forecasting of El Niño events via dynamic factor simulations, by M. Li, S.J. Koopman, R. Lit, and D. Petrova, Journal of Econometrics, Volume 209, forthcoming. Latest working paper;
2. Forecasting economic time series using score-driven models with mixed-data sampling, by P. Gorgi, S.J. Koopman and M. Li, International Journal of Forecasting, DOI:https://doi.org/10.1016/j.ijforecast.2018.11.005.
1. Unobserved components and stochastic volatility in U.S. Inflation: Estimation and signal extraction, by M. Li and S.J. Koopman, R&R Journal of Applied Econometrics. Paper; Tinbergen Institute Discussion Paper: TI2018-027/III.
2. Leverage, asymmetry and heavy tails in the high-dimensional factor stochastic volatility model, by M. Li and M. Scharth, R&R Journal of Business & Economics Statistics. Paper; UTS Business School Economics Discipline Group Working Paper Series: 2018-49.
3. Look for the stars: Estimating the natural rate of interest, by M. Li and I. Hindrayanto, R&R Macroeconomic Dynamics. Paper;
4. Are long-run output growth rates falling? by M. Li and I. Mendieta-Muñoz. Paper; University of Utah, Department of Economics Working Paper Series: 2018-02.
5. The multivariate simultaneous unobserved components model and identification via heteroskedasticity, by M. Li and I. Mendieta-Muñoz. Paper
Work in progress
1. Univariate treatment of multivariate latent stationary processes when they are superimposed, by M. Li
2. Volatility in commonality or commonality in volatility? by M. Li and S. Wang
3. U.S. shocks and the uncovered interest rate parity, by M. Li and B. Fu.
- 2013-2018 Ph.D. in Econometrics, VU University Amsterdam and Tinbergen Institute, the Netherlands; Ph.D. committee: prof.S.J. Koopman; prof.A. Lucas; prof.D.J.C. van Dijk; prof.S.J.G. van Wijnbergen; prof.C.G.H. Diks; prof.A. Harvey; dr.P. Gorgi; dr.H. Karabiyik
- 2016 Visiting Ph.D., Discipline of Business Analytics, The University of Sydney, Australia
- 2013-2015 M.Phil. in Economics (cum laude), University of Amsterdam and Tinbergen Institute, the Netherlands
- 2010-2013 B.Sc. in Econometrics and Operations Research (cum laude), Tilburg University, the Netherlands
Economics Discipline Group
University of Technology Sydney
Room CB08.09.016, Building 8, Dr Chau Chak Wing Building
14 – 28 Ultimo Road, Ultimo, NSW 2007
+61(02) 9514 4375