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. 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.
3. Leverage, asymmetry and heavy tails in the high-dimensional factor stochastic volatility model, by M. Li and M. Scharth, Paper; UTS Business School Economics Discipline Group Working Paper Series: 2018-49.
4. Look for the stars: Estimating the natural rate of interest, by M. Li and I. Hindrayanto, R&R Macroeconomic Dynamics. Paper;
Work in progress
1. Multivariate simultaneous unobserved components and identification via heteroskedasticity, by M. Li and I. Mendieta-Muñoz.
2. Univariate treatment of multivariate latent stationary processes when they are superimposed, by M. Li
3. Volatility in commonality or commonality in volatility? by M. Li and S. Wang
4. U.S. shocks and the uncovered interest rate parity, by M. Li and B. Fu.