1. Leverage, asymmetry and heavy tails in the high-dimensional factor stochastic volatility model (With M. Scharth) PaperConference SlidesPoster

2. Unobserved components and stochastic volatility in U.S. Inflation: Estimation and signal extraction (With S.J. Koopman) Tinbergen Institute Discussion Paper. TI2018-027/III. PaperConference slides

3. Long term forecasting of El Niño events via dynamic factor simulations (With S.J. Koopman, R. Lit, and D. Petrova) PaperConference slides

4. Forecasting economic time series using score-driven models with mixed-data sampling (With P. Gorgi, and S.J. Koopman) Tinbergen Institute Discussion Paper. TI2018-026/III PaperConference slides

5. Are long-run output growth rates falling? Evidence from time-varying parameter models (With I. Mendieta-Muñoz)  University of Utah, Department of Economics Working Paper Series. Working Paper No: 2018-02. PaperPoster

6. Look for the stars: Estimating the natural rate of interest (With I. Hindrayanto) PaperConference slides

7. Unobserved components time-varying vector autoregressions

8. Global evidence on the changing dynamics of inflation expectation formation (With G. Galati)


On the methodological side, my research employs either sequential Monte Carlo method (Bayesian) or simulated maximum likelihood (frequentist), usually with the following keywords: importance sampling, particle filter, particle Gibbs, Kalman filter, simulation smoothing. On the empirical side, macroeconomic and financial modelling is the central theme. For instance, central banks need to estimate the natural rate of interest for making monetary policy and construct coincidental indicator for understanding the stance of the economy. Mengheng upholds academic integrity and professionalism when conducting replicable research.