Shiqi Ye

Assistant Professor AMSS Center for Forecasting Science, Chinese Academy of Sciences

Econometric tools for high-dimensional macroeconomic and financial systems.

I develop score-driven time-series models, matrix time-series models, dynamic factor methods, and macro-financial risk measures for forecasting, connectedness, industrial-chain resilience, and policy evaluation.

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News

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2026-08-23 Academic profile updated from the latest CV, including publications, manuscripts, talks, honors, and projects. 2026-08-23 Journal of Econometrics paper moved to accepted publications; working-paper statuses were refreshed. 2026-08-23 Talk archive aligned with the updated CV and protected slide links.

Selected Publications

Publications

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2026 Accepted

Matrix-Valued Spatial Autoregressions with Dynamic and Robust Heterogeneous Spillovers

with Yicong Lin and Andre Lucas

Journal of Econometrics

2026 Published

Multi-Matrix Autoregressive Models with an Application to Multi-Modal Network

with Tingguo Zheng, Han Xiao, and Yongmiao Hong

Journal of Business & Economic Statistics

2026 Accepted

Impact of Major Public Health Events on Inter-City Connectedness and Cross-Regional Spillover of Housing Prices

with Tingguo Zheng and Mo Zhou

Nature - Humanities and Social Sciences Communications

Working Papers

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2025 Under review

When Large Language Model Meets Textual Data: Toward Narrative-Driven Macroeconomic Forecasting and Nowcasting

with Yongmiao Hong and Yue Wu

2026 Submitted

Monitoring Consumption Vulnerability with Macroeconomic and News Big Data

with Shuting Liu and Guangfei Sun

2025 Under review

Daily Tracking of Growth-at-Risk via Connectedness

with Shuting Liu, Shouyang Wang, and Tingguo Zheng

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