Forecasting economic time series using score-driven dynamic models with mixed-data sampling P Gorgi, SJ Koopman, M Li International Journal of Forecasting 35 (4), 1735-1747, 2019 | 33 | 2019 |
Are long‐run output growth rates falling? M Li, I Mendieta‐Muñoz Metroeconomica 71 (1), 204-234, 2020 | 16 | 2020 |
Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction M Li, SJ Koopman Journal of Applied Econometrics 36 (5), 614-627, 2021 | 13 | 2021 |
Long-term forecasting of El Niño events via dynamic factor simulations M Li, SJ Koopman, R Lit, D Petrova Journal of econometrics 214 (1), 46-66, 2020 | 11 | 2020 |
Leverage, asymmetry, and heavy tails in the high-dimensional factor stochastic volatility model M Li, M Scharth Journal of Business & Economic Statistics 40 (1), 285-301, 2022 | 10 | 2022 |
Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity M Li, I Mendieta-Muñoz Studies in Nonlinear Dynamics & Econometrics 26 (3), 337-359, 2022 | 2 | 2022 |
US shocks and the uncovered interest rate parity B Fu, M Li CAMA Working Paper, 2020 | 1 | 2020 |
Dynamic hysteresis effects M Li, I Mendieta-Muñoz University of Utah, Department of Economics, 2024 | | 2024 |
Exchange rates, uncovered interest parity, and time-varying Fama regressions B Fu, M Li, Q Haque School of Economics and Public Policy Working Papers, 2023 | | 2023 |
Forecasting Half-Hourly Electricity Prices using a Mixed-Frequency Structural VAR Framework G Kapoor, N Wichitaksorn, M Li, W Zhang Available at SSRN 4473100, 2023 | | 2023 |
Looking for the stars: Estimating the natural rate of interest M Li, I Hindrayanto Economics Discipline Group, UTS Business School, University of Technology …, 2018 | | 2018 |
Essays on time series models with unobserved components and their applications M Li | | 2018 |
Does the Fed say it all? Textual analysis of public communications and private discussions A Chernulich, M Li, E McGinn | | |
Leverage, asymmetry and heavy tails in the high-dimensional factor stochastic volatility model–Supplementary appendix M Li, M Scharth | | |
Dynamic and stochastic volatility structures in US inflation: Estimation and signal extraction Supplementary Appendix M Li, SJ Koopman | | |