Home

I am Mengheng Li, a PhD candidate in Time Series Econometrics at the Department of Econometrics and Operations Research, VU university Amsterdam. I am also a Research Analyst at the Department of Econometrics and Models, Economics and Research Division, 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. I am open to positions related to econometric modelling, empirical macroeconomics and financial econometrics.

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
  • macroeconomics (monetary economics, open economy, international economics)
  • quantitative and mathematical finance
  • probability theory and statistics

Education:


Network: