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Regime switching models in the foreign exchange market

Chia, Wai-mun; Li, Mengling; Zheng, Huanhuan - In: Nonlinear economic dynamics and financial modelling : …, (pp. 201-223). 2014

Persistent link: https://www.econbiz.de/10011286585

Essays on time series models with unobserved components and their applications

Li, Mengheng - 2018

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Long-term forecasting of El Niño events via dynamic factor simulations

Li, Mengheng; Koopman, Siem Jan; Lit, Rutger; Petrova, … - In: Journal of econometrics 214 (2020) 1, pp. 46-66

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Does average skewness matter? : evidence from the Taiwanese stock market

Li, Mingyi; Onishchenko, Olena; Zhao, Jing - In: Pacific-Basin finance journal 62 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012491937

Forecasting economic time series using score-driven dynamic models with mixed-data sampling

Gorgi, Paolo; Koopman, Siem Jan; Li, Mengheng - In: International journal of forecasting 35 (2019) 4, pp. 1735-1747

Persistent link: https://www.econbiz.de/10012305526

Forecasting Economic Time Series Using Score-Driven Dynamic Models with Mixed-Data Sampling

Gorgi, Paolo - 2018

We introduce a mixed-frequency score-driven dynamic model for multiple time series where the score contributions from high-frequency variables are transformed by means of a mixed-data sampling weighting scheme. The resulting dynamic model delivers a flexible and easy-to-implement framework for...

Persistent link: https://www.econbiz.de/10012924243

Forecasting economic time series using score-driven dynamic models with mixeddata sampling

Gorgi, Paolo; Koopman, Siem Jan; Li, Mengheng - 2018

Persistent link: https://www.econbiz.de/10011809978

Decomposition methods for tourism demand forecasting : a comparative study

Zhang, Chengyuan; Li, Mingchen; Sun, Shaolong; Tang, Ling; … - In: Journal of travel research : a quarterly publication of … 61 (2022) 7, pp. 1682-1699

Persistent link: https://www.econbiz.de/10013390876

What can be learned from the historical trend of crude oil prices? : an ensemble approach for crude oil price forecasting

Li, Mingchen; Cheng, Zishu; Lin, Wencan; Wei, Yunjie; … - In: Energy economics 123 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014476450

Interpretable high-stakes decision support system for credit default forecasting

Sun, Weixin; Zhang, Xuantao; Li, Minghao; Wang, Yong - In: Technological forecasting & social change : an … 196 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014476942