Shiqi Ye
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.
Shiqi Ye
Multi-Matrix Autoregressive Models with an Application to Multi-Modal Network
with Tingguo Zheng, Han Xiao, and Yongmiao Hong
Journal of Business & Economic StatisticsImpact 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 CommunicationsResilience of China's Industrial Chain: Measurement, Linkage, and Attribution
with Yu Zhao, Cuihong Yang, and Yongmiao Hong
China Industrial Economics; China EconomistMatrix-Valued Spatial Autoregressions with Dynamic and Robust Heterogeneous Spillovers
with Yicong Lin and Andre Lucas
When Large Language Model Meets Textual Data: Toward Narrative-Driven Macroeconomic Forecasting and Nowcasting
with Yongmiao Hong and Yue Wu
Monitoring Consumption Vulnerability with Macroeconomic and News Big Data
with Shuting Liu and Guangfei Sun
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