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Linlin Niu

Personal Details

First Name:Linlin
Middle Name:
Last Name:Niu
Suffix:
RePEc Short-ID:pni306
[This author has chosen not to make the email address public]
https://faculty.xmu.edu.cn/NLL/en/index.htm

Affiliation

Wang Yanan Institute for Studies in Economics (WISE)
Xiamen University

Fujian, China
http://www.wise.xmu.edu.cn/
RePEc:edi:wixmucn (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Chen Zhang & Ying Fang & Linlin Niu, 2022. "Changing anchor of the renminbi: A Bayesian learning approach to the decade-long transition," Working Papers 2022-08-24, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  2. Jiazi Chen & Zhiwu Hong & Linlin Niu, 2022. "Forecasting Interest Rates with Shifting Endpoints: The Role of the Demographic Age Structure," Working Papers 2022-06-25, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  3. Zongwu Cai & Jiazi Chen & Linlin Niu, 2021. "A Semiparametric Model for Bond Pricing with Life Cycle Fundamental," Working Papers 2021-01-06, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  4. Mingyang Li & Linlin Niu, 2021. "Faster fiscal stimulus and a higher government spending multiplier in China: Mixed-frequency identification with SVAR," Working Papers 2021-10-19, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  5. Mingyang Li & Linlin Niu & Andrew Pua, 2020. "Market Pricing of Fundamentals at the Shanghai Stock Exchange: Evidence from a Dividend Discount Model with Adaptive Expectations," Working Papers 2020-12-30, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  6. Mucai Lin & Linlin Niu, 2019. "Echo over the Great Wall: Spillover Effects of QE Announcements on Chinese Yield Curve," Working Papers 2019-05-17, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, revised 14 Oct 2020.
  7. Zhiwu Hong & Linlin Niu & Chen Zhang, 2019. "Affine arbitrage-free yield net models with application to the euro debt crisis," Working Papers 2019-01-30, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, revised 06 Nov 2021.
  8. Chen, Ying & Han, Qian & Niu, Linlin, 2018. "Forecasting the Term Structure of Option Implied Volatility: The Power of an Adaptive Method," IRTG 1792 Discussion Papers 2018-046, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  9. Niu, Linlin & Xu, Xiu & Chen, Ying, 2015. "An adaptive approach to forecasting three key macroeconomic variables for transitional China," BOFIT Discussion Papers 12/2015, Bank of Finland Institute for Emerging Economies (BOFIT).
  10. Gregory Chow & Linlin Niu, 2015. "Housing Price in Urban China as Determined by Demand and Supply," Working Papers 2015-03-09, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  11. Niu, Linlin & Xu, Xiu & Chen, Ying, 2015. "An adaptive approach to forecasting three key macroeconomic variables for transitional China," BOFIT Discussion Papers 12/2015, Bank of Finland Institute for Emerging Economies (BOFIT).
  12. Ying Chen & Linlin Niu, 2013. "Adaptive Dynamic Nelson-Siegel Term Structure Model with Applications," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  13. Linlin Niu & Gengming Zeng, 2013. "The Discrete-Time Framework of the Arbitrage-Free Nelson-Siegel Class of Term Structure Models," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  14. Ying Chen & Bo Li & Linlin Niu, 2013. "A Local Vector Autoregressive Framework and its Applications to Multivariate Time Series Monitoring and Forecasting," Working Papers 2013-12-05, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  15. Carlo A. Favero & Linlin Niu & Luca Sala, 2013. "Term Structure Forecasting: No-arbitrage Restrictions Versus Large Information set," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  16. CHEN Wei & NIU Linlin, 2013. "基于贝叶斯模型平均 (Bma) 方法的中国通货膨胀的建模及预测," Working Papers 2013-12-05, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  17. Gregory C Chow & Shicheng Huang & Linlin Niu, 2013. "Econometric Analysis of Stock Price Co-movement in the Economic Integration of East Asia," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  18. Ying Fang & Shicheng Huang & Linlin Niu, 2013. "De Facto Currency Baskets of China and East Asian Economies: The Rising Weights," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  19. Ming Lin & Changjiang Liu & Linlin Niu, 2013. "Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  20. Linlin Niu, 2013. "An Affine Term Structure Model with Auxiliary Stochastic Volatility-Covolatility," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  21. Gengming Zeng & Linlin Niu, 2013. "中国实际利率与通胀预期的期限结构：基于无套利宏观金融模型的研究," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  22. Chow, Gregory C. & Liu, Changjiang & Niu, Linlin, 2011. "Co-movements of Shanghai and New York Stock prices by time-varying regressions," BOFIT Discussion Papers 16/2011, Bank of Finland Institute for Emerging Economies (BOFIT).
  23. Chow, Gregory C. & Liu, Changjiang & Niu, Linlin, 2011. "Co-movements of Shanghai and New York Stock prices by time-varying regressions," BOFIT Discussion Papers 16/2011, Bank of Finland Institute for Emerging Economies (BOFIT).
  24. Favero, Carlo A. & Sala, Luca & Niu, Linlin, 2007. "Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set," CEPR Discussion Papers 6206, C.E.P.R. Discussion Papers.

    repec:bof:bofitp:2012_002 is not listed on IDEAS

Articles

  1. Chen, Jiazi & Niu, Linlin, 2023. "How do baby boomers affect interest rates? A functional analysis of the impact of age distribution on macroeconomic trends," Finance Research Letters, Elsevier, vol. 53(C).
  2. Hong, Zhiwu & Niu, Linlin & Zhang, Chen, 2022. "Affine arbitrage-free yield net models with application to the euro debt crisis," Journal of Econometrics, Elsevier, vol. 230(1), pages 201-220.
  3. Zhang, Chen & Fang, Ying & Niu, Linlin, 2022. "Changing anchor of the renminbi: A Bayesian learning approach to the decade-long transition," Economic Modelling, Elsevier, vol. 116(C).
  4. Lin, Mucai & Niu, Linlin, 2021. "Echo over the great wall: Spillover effects of QE announcements on Chinese yield curve," Journal of International Money and Finance, Elsevier, vol. 111(C).
  5. Li, Mingyang & Niu, Linlin, 2021. "Faster fiscal stimulus and a higher government spending multiplier in China: Mixed-frequency identification with SVAR," Economics Letters, Elsevier, vol. 209(C).
  6. Chen, Ying & Niu, Linlin & Chen, Ray-Bing & He, Qiang, 2019. "Sparse-Group Independent Component Analysis with application to yield curves prediction," Computational Statistics & Data Analysis, Elsevier, vol. 133(C), pages 76-89.
  7. Zhiwu Hong & Linlin Niu & Gengming Zeng, 2019. "US and Chinese yield curve responses to RMB exchange rate policy shocks," China Finance Review International, Emerald Group Publishing Limited, vol. 9(3), pages 360-385, February.
  8. Chen, Ying & Han, Qian & Niu, Linlin, 2018. "Forecasting the term structure of option implied volatility: The power of an adaptive method," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 157-177.
  9. Niu, Linlin & Xu, Xiu & Chen, Ying, 2017. "An adaptive approach to forecasting three key macroeconomic variables for transitional China," Economic Modelling, Elsevier, vol. 66(C), pages 201-213.
  10. Gregory C. Chow & Linlin Niu, 2015. "Housing Prices in Urban China as Determined by Demand and Supply," Pacific Economic Review, Wiley Blackwell, vol. 20(1), pages 1-16, February.
  11. Chen, Ying & Niu, Linlin, 2014. "Adaptive dynamic Nelson–Siegel term structure model with applications," Journal of Econometrics, Elsevier, vol. 180(1), pages 98-115.
  12. Carlo A. Favero & Linlin Niu & Luca Sala, 2012. "Term Structure Forecasting: No‐Arbitrage Restrictions versus Large Information Set," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 31(2), pages 124-156, March.
  13. Chow, Gregory C. & Liu, Changjiang & Niu, Linlin, 2011. "Co-movements of Shanghai and New York stock prices by time-varying regressions," Journal of Comparative Economics, Elsevier, vol. 39(4), pages 577-583.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Zongwu Cai & Jiazi Chen & Linlin Niu, 2021. "A Semiparametric Model for Bond Pricing with Life Cycle Fundamental," Working Papers 2021-01-06, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.

    Cited by:

    1. Jiazi Chen & Zhiwu Hong & Linlin Niu, 2022. "Forecasting Interest Rates with Shifting Endpoints: The Role of the Demographic Age Structure," Working Papers 2022-06-25, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.

  2. Mucai Lin & Linlin Niu, 2019. "Echo over the Great Wall: Spillover Effects of QE Announcements on Chinese Yield Curve," Working Papers 2019-05-17, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, revised 14 Oct 2020.

    Cited by:

    1. Sifat, Imtiaz & Zarei, Alireza & Hosseini, Seyedmehdi & Bouri, Elie, 2022. "Interbank liquidity risk transmission to large emerging markets in crisis periods," International Review of Financial Analysis, Elsevier, vol. 82(C).

  3. Chen, Ying & Han, Qian & Niu, Linlin, 2018. "Forecasting the Term Structure of Option Implied Volatility: The Power of an Adaptive Method," IRTG 1792 Discussion Papers 2018-046, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

    Cited by:

    1. Anders Merrild Posselt, 2022. "Dynamics in the VIX complex," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1665-1687, September.
    2. Sudarshan Kumar & Sobhesh Kumar Agarwalla & Jayanth R. Varma & Vineet Virmani, 2023. "Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1615-1644, November.
    3. Adam Clements & Yin Liao & Yusui Tang, 2022. "Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 86-99, January.
    4. Zdeněk Drábek & Miloš Kopa & Matúš Maciak & Michal Pešta & Sebastiano Vitali, 2023. "Investment disputes and their explicit role in option market uncertainty and overall risk instability," Computational Management Science, Springer, vol. 20(1), pages 1-25, December.
    5. Nasekin, Sergey & Chen, Cathy Yi-Hsuan, 2018. "Deep learning-based cryptocurrency sentiment construction," IRTG 1792 Discussion Papers 2018-066, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

  4. Niu, Linlin & Xu, Xiu & Chen, Ying, 2015. "An adaptive approach to forecasting three key macroeconomic variables for transitional China," BOFIT Discussion Papers 12/2015, Bank of Finland Institute for Emerging Economies (BOFIT).

    Cited by:

    1. Klochkov, Yegor & Härdle, Wolfgang Karl & Xu, Xiu, 2019. "Localizing Multivariate CAViaR," IRTG 1792 Discussion Papers 2019-007, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    2. Xinjue Li & Lenka Zbonakova & Wolfgang Karl Härdle, 2017. "Penalized Adaptive Method in Forecasting with Large Information Set and Structure Change," SFB 649 Discussion Papers SFB649DP2017-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    3. Niels Gillmann & Ostap Okhrin, 2023. "Adaptive local VAR for dynamic economic policy uncertainty spillover," Papers 2302.02808, arXiv.org.
    4. Li, Xinjue & Zboňáková, Lenka & Wang, Weining & Härdle, Wolfgang Karl, 2019. "Combining Penalization and Adaption in High Dimension with Application in Bond Risk Premia Forecasting," IRTG 1792 Discussion Papers 2019-030, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

  5. Gregory Chow & Linlin Niu, 2015. "Housing Price in Urban China as Determined by Demand and Supply," Working Papers 2015-03-09, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.

    Cited by:

    1. Peng Wang & Xiaoyan Lin & Dajun Dai, 2017. "Spatiotemporal Agglomeration of Real-Estate Industry in Guangzhou, China," Sustainability, MDPI, vol. 9(8), pages 1-15, August.
    2. Weizeng Sun & Siqi Zheng & Yuming Fu, 2016. "Local Public Service Provision and Spatial Inequality in Chinese Cities," ERSA conference papers ersa16p799, European Regional Science Association.
    3. Qiu, Leiju & Zhao, Daxuan, 2019. "Urban inclusiveness and income inequality in China," Regional Science and Urban Economics, Elsevier, vol. 74(C), pages 57-64.
    4. John J. García & Daniel Mateo Cossio & Ricardo Mesa Urhan, 2017. "Efectos de mecanismos institucionales en el precio de la vivienda nueva en Medellín," Documentos de Trabajo de Valor Público 15658, Universidad EAFIT.
    5. Chunping Liu & Zhirong Ou, 2021. "What determines China's housing price dynamics? New evidence from a DSGE‐VAR," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3269-3305, July.
    6. Feng, Qu & Wu, Guiying Laura, 2015. "Bubble or riddle? An asset-pricing approach evaluation on China's housing market," Economic Modelling, Elsevier, vol. 46(C), pages 376-383.
    7. Li, Victor Jing & Cheng, Andy Wui Wing & Cheong, Tsun Se, 2017. "Home purchase restriction and housing price: A distribution dynamics analysis," Regional Science and Urban Economics, Elsevier, vol. 67(C), pages 1-10.
    8. Chunping Liu & Zhirong Ou, 2017. "What determines China's housing price dynamics? New evidence from a DSGE-VAR," NBS Discussion Papers in Economics 2017/04, Economics, Nottingham Business School, Nottingham Trent University.
    9. Jhon Jairo García Rendón & Carlos Esteban Posada & Hermilson Velasquez, 2019. "Determinantes de los precios relativos de la vivienda: Bogotá versus Medellín," Documentos de Trabajo de Valor Público 17333, Universidad EAFIT.
    10. John J. Garcia-Rendon & Natalia Cadavid Arcila & Erika Tatiana Aristizábal Zuluaga, 2018. "Efectos del crédito hipotecario sobre el precio de la vivienda nueva NO VIS en Medellín," Documentos de Trabajo de Valor Público 16976, Universidad EAFIT.
    11. Yadi Zhu & Feng Chen & Ming Li & Zijia Wang, 2018. "Inferring the Economic Attributes of Urban Rail Transit Passengers Based on Individual Mobility Using Multisource Data," Sustainability, MDPI, vol. 10(11), pages 1-17, November.
    12. García Rendon, John Jairo & Cossio Sepúlveda, Daniel Mateo & Mesa Urhan, Ricardo, 2018. "Efectos del canal del crŽdito sobre el precio de la vivienda nueva en Medell’n - Colombia || Credit channel effects on new residential property prices: Evidence from Medell’n, Colombia," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 26(1), pages 104-127, Diciembre.
    13. Liu, Chunping & Ou, Zhirong, 2021. "Revisiting the determinants of house prices in China's megacities: cross-sectional heterogeneity, interdependencies and spillovers," Cardiff Economics Working Papers E2021/4, Cardiff University, Cardiff Business School, Economics Section.
    14. Wei Tian & Liugang Sheng & Hongyan Zhao, 2016. "Special Section: China's Growing Trade and its Role to the World Economy," Pacific Economic Review, Wiley Blackwell, vol. 21(1), pages 84-101, February.

  6. Niu, Linlin & Xu, Xiu & Chen, Ying, 2015. "An adaptive approach to forecasting three key macroeconomic variables for transitional China," BOFIT Discussion Papers 12/2015, Bank of Finland Institute for Emerging Economies (BOFIT).

    Cited by:

    1. Klochkov, Yegor & Härdle, Wolfgang Karl & Xu, Xiu, 2019. "Localizing Multivariate CAViaR," IRTG 1792 Discussion Papers 2019-007, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    2. Xinjue Li & Lenka Zbonakova & Wolfgang Karl Härdle, 2017. "Penalized Adaptive Method in Forecasting with Large Information Set and Structure Change," SFB 649 Discussion Papers SFB649DP2017-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    3. Niels Gillmann & Ostap Okhrin, 2023. "Adaptive local VAR for dynamic economic policy uncertainty spillover," Papers 2302.02808, arXiv.org.
    4. Li, Xinjue & Zboňáková, Lenka & Wang, Weining & Härdle, Wolfgang Karl, 2019. "Combining Penalization and Adaption in High Dimension with Application in Bond Risk Premia Forecasting," IRTG 1792 Discussion Papers 2019-030, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

  7. Ying Chen & Linlin Niu, 2013. "Adaptive Dynamic Nelson-Siegel Term Structure Model with Applications," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.

    Cited by:

    1. Klochkov, Yegor & Härdle, Wolfgang Karl & Xu, Xiu, 2019. "Localizing Multivariate CAViaR," IRTG 1792 Discussion Papers 2019-007, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    2. Xiu Xu & Andrija Mihoci & Wolfgang Karl Hardle, 2020. "lCARE -- localizing Conditional AutoRegressive Expectiles," Papers 2009.13215, arXiv.org.
    3. Chen, Ying & Han, Qian & Niu, Linlin, 2018. "Forecasting the Term Structure of Option Implied Volatility: The Power of an Adaptive Method," IRTG 1792 Discussion Papers 2018-046, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    4. Molenaars, Tomas K. & Reinerink, Nick H. & Hemminga, Marcus A., 2013. "Forecasting the yield curve - Forecast performance of the dynamic Nelson-Siegel model from 1971 to 2008," MPRA Paper 61862, University Library of Munich, Germany.
    5. Xinjue Li & Lenka Zbonakova & Wolfgang Karl Härdle, 2017. "Penalized Adaptive Method in Forecasting with Large Information Set and Structure Change," SFB 649 Discussion Papers SFB649DP2017-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    6. Niu, Linlin & Xu, Xiu & Chen, Ying, 2017. "An adaptive approach to forecasting three key macroeconomic variables for transitional China," Economic Modelling, Elsevier, vol. 66(C), pages 201-213.
    7. Shen, Zhiwei, 2016. "Adaptive local parametric estimation of crop yields: implication for crop insurance ratemaking," 156th Seminar, October 4, 2016, Wageningen, The Netherlands 249984, European Association of Agricultural Economists.
    8. Sudarshan Kumar & Sobhesh Kumar Agarwalla & Jayanth R. Varma & Vineet Virmani, 2023. "Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1615-1644, November.
    9. Jiazi Chen & Zhiwu Hong & Linlin Niu, 2022. "Forecasting Interest Rates with Shifting Endpoints: The Role of the Demographic Age Structure," Working Papers 2022-06-25, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    10. Vahidin Jeleskovic & Anastasios Demertzidis, 2018. "Comparing different methods for the estimation of interbank intraday yield curves," MAGKS Papers on Economics 201839, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    11. Chen, Ying & Niu, Linlin & Chen, Ray-Bing & He, Qiang, 2019. "Sparse-Group Independent Component Analysis with application to yield curves prediction," Computational Statistics & Data Analysis, Elsevier, vol. 133(C), pages 76-89.
    12. Xu, Xiu & Mihoci, Andrija & Härdle, Wolfgang Karl, 2018. "lCARE - localizing conditional autoregressive expectiles," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 198-220.
    13. Zongwu Cai & Jiazi Chen & Linlin Niu, 2021. "A Semiparametric Model for Bond Pricing with Life Cycle Fundamental," Working Papers 2021-01-06, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    14. Erhard RESCHENHOFER & Thomas STARK, 2019. "Forecasting the Yield Curve with Dynamic Factors," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 101-113, March.
    15. Gaus, Eric & Sinha, Arunima, 2018. "What does the yield curve imply about investor expectations?," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 248-265.
    16. Zongwu Cai & Jiazi Chen & Linlin Liu, 2021. "Estimating Impact of Age Distribution on Bond Pricing: A Semiparametric Functional Data Analysis Approach," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202102, University of Kansas, Department of Economics, revised Jan 2021.
    17. Li, Xinjue & Zboňáková, Lenka & Wang, Weining & Härdle, Wolfgang Karl, 2019. "Combining Penalization and Adaption in High Dimension with Application in Bond Risk Premia Forecasting," IRTG 1792 Discussion Papers 2019-030, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    18. Ying Chen & Bo Li & Linlin Niu, 2013. "A Local Vector Autoregressive Framework and its Applications to Multivariate Time Series Monitoring and Forecasting," Working Papers 2013-12-05, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    19. Feng Guo, 2019. "Estimating yield curves of the U.S. Treasury securities: An interpolation approach," Review of Financial Economics, John Wiley & Sons, vol. 37(2), pages 297-321, April.
    20. Hong Li & Johnny Siu-Hang Li, 2017. "Optimizing the Lee-Carter Approach in the Presence of Structural Changes in Time and Age Patterns of Mortality Improvements," Demography, Springer;Population Association of America (PAA), vol. 54(3), pages 1073-1095, June.
    21. Jialiang Li & Yaguang Li & Tailen Hsing, 2022. "On functional processes with multiple discontinuities," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(3), pages 933-972, July.
    22. Giuseppe Arbia & Michele Di Marcantonio, 2015. "Forecasting Interest Rates Using Geostatistical Techniques," Econometrics, MDPI, vol. 3(4), pages 1-28, November.
    23. Dedy Dwi Prastyo & Wolfgang Karl Härdle, 2014. "Localising Forward Intensities for Multiperiod Corporate Default," SFB 649 Discussion Papers SFB649DP2014-040, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    24. Sourish Das, 2018. "Modeling Nelson-Siegel Yield Curve using Bayesian Approach," Papers 1809.06077, arXiv.org, revised Oct 2018.

  8. Linlin Niu & Gengming Zeng, 2013. "The Discrete-Time Framework of the Arbitrage-Free Nelson-Siegel Class of Term Structure Models," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.

    Cited by:

    1. Anastasios Demertzidis & Vahidin Jeleskovic, 2021. "Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID," JRFM, MDPI, vol. 14(5), pages 1-23, May.

  9. Ying Chen & Bo Li & Linlin Niu, 2013. "A Local Vector Autoregressive Framework and its Applications to Multivariate Time Series Monitoring and Forecasting," Working Papers 2013-12-05, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.

    Cited by:

    1. Niels Gillmann & Ostap Okhrin, 2023. "Adaptive local VAR for dynamic economic policy uncertainty spillover," Papers 2302.02808, arXiv.org.

  10. Carlo A. Favero & Linlin Niu & Luca Sala, 2013. "Term Structure Forecasting: No-arbitrage Restrictions Versus Large Information set," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.

    Cited by:

    1. Cakici, Nusret & Zaremba, Adam, 2023. "Recency bias and the cross-section of international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    2. Cakici, Nusret & Zaremba, Adam, 2022. "Salience theory and the cross-section of stock returns: International and further evidence," Journal of Financial Economics, Elsevier, vol. 146(2), pages 689-725.
    3. Lelo de Larrea Alejandra, 2020. "Forecast Comparison of the Term Structure of Interest Rates of Mexico for Different Specifications of the Affine Model," Working Papers 2020-01, Banco de México.
    4. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2012. "Forecasting government bond yields with large Bayesian vector autoregressions," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2026-2047.
    5. Wali Ullah, 2020. "The arbitrage-free generalized Nelson–Siegel term structure model: Does a good in-sample fit imply better out-of-sample forecasts?," Empirical Economics, Springer, vol. 59(3), pages 1243-1284, September.
    6. Adam Traczyk, 2013. "Financial integration and the term structure of interest rates," Empirical Economics, Springer, vol. 45(3), pages 1267-1305, December.
    7. Shang, Yuhuang & Zheng, Tingguo, 2018. "Fitting and forecasting yield curves with a mixed-frequency affine model: Evidence from China," Economic Modelling, Elsevier, vol. 68(C), pages 145-154.
    8. Kyle E. Binder & Mohsen Pourahmadi & James W. Mjelde, 2020. "The role of temporal dependence in factor selection and forecasting oil prices," Empirical Economics, Springer, vol. 58(3), pages 1185-1223, March.
    9. Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2011. "Demographics and The Behaviour of Interest Rates," Working Papers 388, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    10. Kaya, Huseyin, 2013. "Forecasting the yield curve and the role of macroeconomic information in Turkey," Economic Modelling, Elsevier, vol. 33(C), pages 1-7.
    11. Wellmann, Dennis & Trück, Stefan, 2018. "Factors of the term structure of sovereign yield spreads," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 56-75.
    12. Fabricio Tourrucôo & João F. Caldeira & Guilherme V. Moura & André A. P. Santos, 2016. "Forecasting The Yield Curve With The Arbitrage-Free Dynamic Nelson-Siegel Model: Brazilian Evidence," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 028, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    13. Gregory R. Duffee, 2012. "Forecasting interest rates," Economics Working Paper Archive 599, The Johns Hopkins University,Department of Economics.
    14. Chen, Ying & Niu, Linlin, 2014. "Adaptive dynamic Nelson–Siegel term structure model with applications," Journal of Econometrics, Elsevier, vol. 180(1), pages 98-115.
    15. Zaremba, Adam & Kizys, Renatas & Aharon, David Y. & Umar, Zaghum, 2022. "Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets," Finance Research Letters, Elsevier, vol. 44(C).
    16. Evgenidis, Anastasios & Tsagkanos, Athanasios & Siriopoulos, Costas, 2017. "Towards an asymmetric long run equilibrium between stock market uncertainty and the yield spread. A threshold vector error correction approach," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 267-279.
    17. Julián Andrada-Félix & Adrian Fernandez-Perez & Fernando Fernández-Rodríguez, 2015. "Fixed income strategies based on the prediction of parameters in the NS model for the Spanish public debt market," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 6(2), pages 207-245, June.
    18. Wali ULLAH & Khadija Malik BARI, 2018. "The Term Structure of Government Bond Yields in an Emerging Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 5-28, September.
    19. Kyle E. Binder & James W. Mjelde, 2018. "Projecting impacts of carbon dioxide emission reductions in the US electric power sector: evidence from a data-rich approach," Climatic Change, Springer, vol. 151(2), pages 143-155, November.
    20. Fernandes, Marcelo & Vieira, Fausto, 2019. "A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.

  11. Ying Fang & Shicheng Huang & Linlin Niu, 2013. "De Facto Currency Baskets of China and East Asian Economies: The Rising Weights," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.

    Cited by:

    1. Vespignani, Joaquin L. & Ratti, Ronald A., 2016. "Not all international monetary shocks are alike for the Japanese economy," Economic Modelling, Elsevier, vol. 52(PB), pages 822-837.
    2. Vespignani, Joaquin L. & Ratti, Ronald A., 2013. "Chinese Monetary Expansion and the US Economy," Working Papers 16874, University of Tasmania, Tasmanian School of Business and Economics, revised 05 Aug 2013.
    3. Gu, Li & McNelis, Paul D., 2013. "Yen/Dollar volatility and Chinese fear of floating: Pressures from the NDF market," Pacific-Basin Finance Journal, Elsevier, vol. 22(C), pages 37-49.
    4. Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin L., 2014. "Liquidity expansion in China and the U.S. economy," MPRA Paper 59338, University Library of Munich, Germany.
    5. Martina Jiránková, 2014. "Is the Chinese Currency on the Way to the World Currency Status? [Je čínská měna na cestě k pozici světové měny?]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2014(3), pages 3-16.
    6. Zhang, Chen & Fang, Ying & Niu, Linlin, 2022. "Changing anchor of the renminbi: A Bayesian learning approach to the decade-long transition," Economic Modelling, Elsevier, vol. 116(C).
    7. Arvind Subramanian & Martin Kessler, 2012. "The Renminbi Bloc is Here: Asia Down, Rest of the World to Go?," Working Paper Series WP12-19, Peterson Institute for International Economics, revised 2013.

  12. Chow, Gregory C. & Liu, Changjiang & Niu, Linlin, 2011. "Co-movements of Shanghai and New York Stock prices by time-varying regressions," BOFIT Discussion Papers 16/2011, Bank of Finland Institute for Emerging Economies (BOFIT).

    Cited by:

    1. Jan F. Kiviet & Zhenxi Chen, 2018. "A Critical Appraisal of Studies Analyzing Co-movement of International Stock Markets," Annals of Economics and Finance, Society for AEF, vol. 19(1), pages 151-196, May.
    2. Juan Carlos Cuestas & Bo Tang, 2015. "Exchange Rate Changes and Stock Returns in China: A Markov Switching SVAR Approach," Working Papers 2015024, The University of Sheffield, Department of Economics.
    3. Hong Cheng & Yunqing Wang & Yihong Wang & Tinggan Yang, 2022. "Inferring Causal Interactions in Financial Markets Using Conditional Granger Causality Based on Quantile Regression," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 719-748, February.
    4. Babecký, Jan & Komárek, Lubos & Komárková, Zlatuse, 2012. "Integration of Chinese and Russian stock markets with world markets: National and sectoral Perspectives," BOFIT Discussion Papers 4/2012, Bank of Finland Institute for Emerging Economies (BOFIT).
    5. Yifan Chen & Limin Yu & Jianhua Gang, 2021. "Half-day trading and spillovers," Frontiers of Business Research in China, Springer, vol. 15(1), pages 1-22, December.
    6. Zhenxi CHEN & Jan F. KIVIET & Weihong Huang, 2014. "Hong Kong: A Bridge Connecting Mainland China and the International Market," Economic Growth Centre Working Paper Series 1406, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    7. Jan F. Kiviet, 2016. "Discriminating between (in)valid external instruments and (in)valid exclusion restrictions," Economic Growth Centre Working Paper Series 1508, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    8. Luke Lin & Wen-Yuan Lin, 2018. "Does the major market influence transfer? Alternative effect on Asian stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 1169-1200, May.
    9. Zhenxi Chen & Jan F. Kiviet & Weihong Huang, 2015. "On the integration of China's main stock exchange with the international financial market," Economic Growth Centre Working Paper Series 1505, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    10. Hou, Yang & Li, Steven, 2016. "Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach," Economic Modelling, Elsevier, vol. 52(PB), pages 884-897.
    11. Ming Lin & Changjiang Liu & Linlin Niu, 2013. "Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    12. Jan F. Kiviet & Zhenxi Chen, 2016. "A critical appraisal of studies analyzing co-movement of international stock markets with a focus on East-Asian indices," Economic Growth Centre Working Paper Series 1606, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    13. Geeta Duppati & Yang (Greg) Hou & Frank Scrimgeour, 2017. "The dynamics of price discovery for cross-listed stocks evidence from US and Chinese markets," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1389675-138, January.

  13. Chow, Gregory C. & Liu, Changjiang & Niu, Linlin, 2011. "Co-movements of Shanghai and New York Stock prices by time-varying regressions," BOFIT Discussion Papers 16/2011, Bank of Finland Institute for Emerging Economies (BOFIT).

    Cited by:

    1. Jan F. Kiviet & Zhenxi Chen, 2018. "A Critical Appraisal of Studies Analyzing Co-movement of International Stock Markets," Annals of Economics and Finance, Society for AEF, vol. 19(1), pages 151-196, May.
    2. Juan Carlos Cuestas & Bo Tang, 2015. "Exchange Rate Changes and Stock Returns in China: A Markov Switching SVAR Approach," Working Papers 2015024, The University of Sheffield, Department of Economics.
    3. Hong Cheng & Yunqing Wang & Yihong Wang & Tinggan Yang, 2022. "Inferring Causal Interactions in Financial Markets Using Conditional Granger Causality Based on Quantile Regression," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 719-748, February.
    4. Babecký, Jan & Komárek, Lubos & Komárková, Zlatuse, 2012. "Integration of Chinese and Russian stock markets with world markets: National and sectoral Perspectives," BOFIT Discussion Papers 4/2012, Bank of Finland Institute for Emerging Economies (BOFIT).
    5. Yifan Chen & Limin Yu & Jianhua Gang, 2021. "Half-day trading and spillovers," Frontiers of Business Research in China, Springer, vol. 15(1), pages 1-22, December.
    6. Zhenxi CHEN & Jan F. KIVIET & Weihong Huang, 2014. "Hong Kong: A Bridge Connecting Mainland China and the International Market," Economic Growth Centre Working Paper Series 1406, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    7. Jan F. Kiviet, 2016. "Discriminating between (in)valid external instruments and (in)valid exclusion restrictions," Economic Growth Centre Working Paper Series 1508, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    8. Luke Lin & Wen-Yuan Lin, 2018. "Does the major market influence transfer? Alternative effect on Asian stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 1169-1200, May.
    9. Zhenxi Chen & Jan F. Kiviet & Weihong Huang, 2015. "On the integration of China's main stock exchange with the international financial market," Economic Growth Centre Working Paper Series 1505, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    10. Hou, Yang & Li, Steven, 2016. "Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach," Economic Modelling, Elsevier, vol. 52(PB), pages 884-897.
    11. Ming Lin & Changjiang Liu & Linlin Niu, 2013. "Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    12. Jan F. Kiviet & Zhenxi Chen, 2016. "A critical appraisal of studies analyzing co-movement of international stock markets with a focus on East-Asian indices," Economic Growth Centre Working Paper Series 1606, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    13. Geeta Duppati & Yang (Greg) Hou & Frank Scrimgeour, 2017. "The dynamics of price discovery for cross-listed stocks evidence from US and Chinese markets," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1389675-138, January.

  14. Favero, Carlo A. & Sala, Luca & Niu, Linlin, 2007. "Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set," CEPR Discussion Papers 6206, C.E.P.R. Discussion Papers.

    Cited by:

    1. Marcello Pericoli & Marco Taboga, 2008. "Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(7), pages 1471-1488, October.
    2. Nikolaou, Kleopatra & Modugno, Michele, 2009. "The forecasting power of internal yield curve linkages," Working Paper Series 1044, European Central Bank.
    3. Marcello, Pericoli & Marco, Taboga, 2005. "A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors," MPRA Paper 4969, University Library of Munich, Germany, revised Sep 2007.
    4. Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2011. "Demographics and The Behaviour of Interest Rates," Working Papers 388, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    5. Andrea Carriero, 2007. "Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models," Working Papers 612, Queen Mary University of London, School of Economics and Finance.
    6. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2010. "Forecasting Government Bond Yields with Large Bayesian VARs," Working Papers 662, Queen Mary University of London, School of Economics and Finance.
    7. Lin, William & Tsai, Shih-Chuan & Sun, David, 2008. "Price informativeness and predictability: how liquidity can help," MPRA Paper 20226, University Library of Munich, Germany, revised 18 Oct 2009.
    8. Carriero, Andrea & Giacomini, Raffaella, 2011. "How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?," Journal of Econometrics, Elsevier, vol. 164(1), pages 21-34, September.
    9. Elizondo Rocío, 2013. "Forecasting the Term Structure of Interest Rates in Mexico Using an Affine Model," Working Papers 2013-03, Banco de México.
    10. Massimo Guidolin & Daniel L. Thornton, 2010. "Predictions of short-term rates and the expectations hypothesis," Working Papers 2010-013, Federal Reserve Bank of St. Louis.
    11. Almeida, Caio Ibsen Rodrigues de & Vicente, José, 2007. "The role of no-arbitrage on forecasting: lessons from a parametric term structure model," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 657, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    12. Mirkov, Nikola & Sutter, Barbara, 2012. "Central Bank Reserves and the Yield Curve at the ZLB," Working Papers on Finance 1208, University of St. Gallen, School of Finance.

Articles

  1. Lin, Mucai & Niu, Linlin, 2021. "Echo over the great wall: Spillover effects of QE announcements on Chinese yield curve," Journal of International Money and Finance, Elsevier, vol. 111(C).
    See citations under working paper version above.
  2. Zhiwu Hong & Linlin Niu & Gengming Zeng, 2019. "US and Chinese yield curve responses to RMB exchange rate policy shocks," China Finance Review International, Emerald Group Publishing Limited, vol. 9(3), pages 360-385, February.

    Cited by:

    1. Hong, Zhiwu & Niu, Linlin & Zhang, Chen, 2022. "Affine arbitrage-free yield net models with application to the euro debt crisis," Journal of Econometrics, Elsevier, vol. 230(1), pages 201-220.
    2. Lin, Mucai & Niu, Linlin, 2021. "Echo over the great wall: Spillover effects of QE announcements on Chinese yield curve," Journal of International Money and Finance, Elsevier, vol. 111(C).
    3. Zhang, Yugui & Zhu, Jie & Zhu, Xiaoneng, 2021. "Global bond risk premia under falling stars," Finance Research Letters, Elsevier, vol. 42(C).

  3. Chen, Ying & Han, Qian & Niu, Linlin, 2018. "Forecasting the term structure of option implied volatility: The power of an adaptive method," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 157-177.
    See citations under working paper version above.
  4. Niu, Linlin & Xu, Xiu & Chen, Ying, 2017. "An adaptive approach to forecasting three key macroeconomic variables for transitional China," Economic Modelling, Elsevier, vol. 66(C), pages 201-213.
    See citations under working paper version above.
  5. Gregory C. Chow & Linlin Niu, 2015. "Housing Prices in Urban China as Determined by Demand and Supply," Pacific Economic Review, Wiley Blackwell, vol. 20(1), pages 1-16, February.
    See citations under working paper version above.
  6. Chen, Ying & Niu, Linlin, 2014. "Adaptive dynamic Nelson–Siegel term structure model with applications," Journal of Econometrics, Elsevier, vol. 180(1), pages 98-115.
    See citations under working paper version above.
  7. Carlo A. Favero & Linlin Niu & Luca Sala, 2012. "Term Structure Forecasting: No‐Arbitrage Restrictions versus Large Information Set," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 31(2), pages 124-156, March.
    See citations under working paper version above.
  8. Chow, Gregory C. & Liu, Changjiang & Niu, Linlin, 2011. "Co-movements of Shanghai and New York stock prices by time-varying regressions," Journal of Comparative Economics, Elsevier, vol. 39(4), pages 577-583.
    See citations under working paper version above.

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 18 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MAC: Macroeconomics (13) 2007-03-10 2007-03-31 2014-05-09 2014-05-09 2014-05-09 2014-05-09 2015-05-02 2016-06-09 2019-02-04 2019-06-10 2021-01-18 2021-10-25 2022-07-18. Author is listed
  2. NEP-FOR: Forecasting (8) 2007-03-10 2007-03-31 2014-05-09 2014-05-09 2014-05-09 2015-05-02 2016-06-09 2022-07-18. Author is listed
  3. NEP-CNA: China (5) 2015-05-02 2016-06-09 2019-06-10 2021-10-25 2022-09-12. Author is listed
  4. NEP-ECM: Econometrics (4) 2007-03-31 2014-05-09 2014-05-09 2021-10-25
  5. NEP-FMK: Financial Markets (4) 2007-03-10 2007-03-31 2014-05-09 2021-01-18
  6. NEP-CBA: Central Banking (3) 2015-05-02 2019-06-10 2022-09-12
  7. NEP-MON: Monetary Economics (3) 2014-05-09 2019-06-10 2022-09-12
  8. NEP-ORE: Operations Research (3) 2014-05-09 2014-05-09 2021-01-18
  9. NEP-TRA: Transition Economics (3) 2014-05-09 2014-05-09 2015-05-02
  10. NEP-OPM: Open Economy Macroeconomics (2) 2014-05-09 2022-09-12
  11. NEP-SEA: South East Asia (2) 2014-05-09 2014-05-09
  12. NEP-AGE: Economics of Ageing (1) 2022-07-18
  13. NEP-DEM: Demographic Economics (1) 2022-07-18
  14. NEP-DGE: Dynamic General Equilibrium (1) 2014-05-09
  15. NEP-EEC: European Economics (1) 2019-02-04
  16. NEP-ETS: Econometric Time Series (1) 2014-05-09
  17. NEP-IFN: International Finance (1) 2022-09-12

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