Canlin Li : Citation Profile

Are you Canlin Li?

University of Pennsylvania

10

H index

10

i10 index

1293

Citations

RESEARCH PRODUCTION:

5

Articles

7

Papers

1

Chapters

RESEARCH ACTIVITY:

   14 years (2004 - 2018). See details.
   Cites by year: 92
   Journals where Canlin Li has often published
   Relations with other researchers
   Recent citing documents: 89.    Total self citations: 3 (0.23 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pli1425
   Updated: 2024-12-03    RAS profile: 2021-05-24    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Canlin Li.

Is cited by:

Rudebusch, Glenn (23)

GUPTA, RANGAN (22)

Härdle, Wolfgang (18)

Krippner, Leo (17)

Diebold, Francis (14)

Niu, Linlin (14)

Almeida, Caio (14)

Christensen, Jens (13)

Umar, Zaghum (12)

Koopman, Siem Jan (12)

Lemke, Wolfgang (12)

Cites to:

Diebold, Francis (21)

Rudebusch, Glenn (17)

Piazzesi, Monika (13)

Bollerslev, Tim (11)

Vayanos, Dimitri (10)

Watson, Mark (10)

Svensson, Lars (8)

Swanson, Eric (6)

Bernanke, Ben (6)

KRISHNAMURTHY, ARVIND (5)

Londono, Juan M. (5)

Main data

Where Canlin Li has published?

Journals with more than one article published# docs
International Journal of Central Banking2
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)2
FEDS Notes / Board of Governors of the Federal Reserve System (U.S.)2
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Canlin Li (2024 and 2023)

YearTitle of citing document
2024Dynamic Factor Model for Functional Time Series: Identification, Estimation, and Prediction. (2022). Salish, Nazarii ; Otto, Sven. In: Papers. RePEc:arx:papers:2201.02532.

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2023Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2022). Wang, FA ; Urga, Giovanni. In: Papers. RePEc:arx:papers:2205.12126.

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2023Causal effects of the Feds large-scale asset purchases on firms capital structure. (2023). Pesaran, Mohammad ; Nocera, Andrea. In: Papers. RePEc:arx:papers:2310.18638.

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2024Decomposing Large Banks’ Systemic Trading Losses. (2024). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:24-6.

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2023The Three Intelligible Factors of the Yield Curve in Mexico. (2023). Rocio, Elizondo. In: Working Papers. RePEc:bdm:wpaper:2023-13.

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2023Central bank asset purchases in response to the Covid-19 crisis. (2023). Bank for International Settlements, . In: CGFS Papers. RePEc:bis:biscgf:68.

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2023Examination of the impacts of the immediate interest rate of the United States and the VIX on the Dow Jones Islamic Market Index. (2023). Perezmontiel, Jose A ; Ozcelebi, Oguzhan. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1157-1180.

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2023The Yield and Market Function Effects of the Reserve Bank of Australias Bond Purchases. (2023). Xiang, Michelle ; Titkov, Dmitry ; Finlay, Richard. In: The Economic Record. RePEc:bla:ecorec:v:99:y:2023:i:326:p:359-384.

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2023Small Business Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market. (2023). Longstaff, Francis A ; Fleckenstein, Matthias. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:389-425.

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2023Uncertainty and the Term Structure of Interest Rates. (2023). Poon, Aubrey ; Zhu, Dan ; Cross, Jamie L. In: Working Papers. RePEc:bny:wpaper:0123.

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2023The financial market effects of unwinding the Federal Reserve’s balance sheet. (2023). Valcarcel, Victor (Vic) ; Smith, Lee A. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002858.

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2023Monetary policy and the term structure of inflation expectations with information frictions. (2023). McNeil, James. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002913.

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2023ITFIN: A stock-flow consistent model for the Italian economy. (2023). Felici, Francesco ; Favero, Carlo A ; Cagnazzo, Alberto ; Hermitte, Riccardo Barbieri ; Tegami, Cristian ; Nucci, Francesco ; Macauda, Valeria. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003509.

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2023The effects of the BoJs ETF purchases on equities and corporate investment. (2023). Cohen, Lior. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003528.

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2023On illiquidity of an emerging sovereign bond market. (2023). Soykok, Emre ; Karahan, Cenk C. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s093936252300002x.

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2024Evaluating the yield curve effects of central bank asset purchases under a forward-looking supply factor. (2024). Gimeno, Ricardo ; Moreno, Antonio ; Equiza, Juan ; Thomas, Carlos. In: European Economic Review. RePEc:eee:eecrev:v:165:y:2024:i:c:s0014292124000734.

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2023Maximum likelihood estimation of the Hull–White model. (2023). Rus, Toma ; Kladivko, Kamil. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:227-247.

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2023A global monetary policy factor in sovereign bond yields. (2023). Migiakis, Petros ; Malliaropulos, Dimitris. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:445-465.

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2023A neural network approach to the environmental Kuznets curve. (2023). Jensen, Sebastian ; Hillebrand, Eric ; Bennedsen, Mikkel. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004838.

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2023The crucial role of the five-year Treasury in the US yield curve. (2023). Chen, Yu-Lun. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003447.

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2023Time-varying bond market integration and the impact of financial crises. (2023). Hyde, Stuart ; Cho, Sungjun ; Qin, Weiping. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004258.

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2024Are investment grade Sukuks decoupled from the conventional yield curve?. (2024). Dogah, Kingsley E ; Umar, Zaghum ; Trabelsi, Nader ; Vo, Xuan Vinh. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004970.

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2024The impact of macroeconomic news sentiment on interest rates. (2024). Offner, Eric A ; Audrino, Francesco. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002254.

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2024The shape of the Treasury yield curve and commodity prices. (2024). Qadan, Mahmoud ; Bayaa, Yasmeen. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002436.

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2023The impact of the US yield curve on sub-Saharan African equities. (2023). Teplova, Tamara ; Agyei, Samuel Kwaku ; Umar, Zaghum ; Bossman, Ahmed. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000107.

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2024Quantile-on-quantile connectedness measures: Evidence from the US treasury yield curve. (2024). Gabauer, David ; Stenfors, Alexis. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012242.

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2023Credit growth, the yield curve and financial crisis prediction: Evidence from a machine learning approach. (2023). Bluwstein, Kristina ; Buckmann, Marcus ; Imek, Ozgur ; Kapadia, Sujit ; Joseph, Andreas. In: Journal of International Economics. RePEc:eee:inecon:v:145:y:2023:i:c:s0022199623000594.

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2023Differential treatment in the bond market: Sovereign risk and mutual fund portfolios. (2023). Mallucci, Enrico ; Converse, Nathan. In: Journal of International Economics. RePEc:eee:inecon:v:145:y:2023:i:c:s0022199623001095.

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2023The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network. (2023). Kotro, Balazs B ; Huszar, Zsuzsa R ; Badics, Milan Csaba. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001051.

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2023Estimation of a dynamic multi-level factor model with possible long-range dependence. (2023). Rodriguez-Caballero, Vladimir C ; Ergemen, Yunus Emre. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:405-430.

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2023Exploiting the dynamics of commodity futures curves. (2023). Zhang, Tingxi ; Miffre, Joelle ; Fan, John Hua ; Bianchi, Robert J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001632.

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2024Back to the funding ratio! Addressing the duration puzzle and retirement income risk of defined contribution pension plans. (2024). Martinez-Carrasco, Miguel ; Garcia-Huitron, Manuel E ; Martellini, Lionel ; Mantilla-Garcia, Daniel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:159:y:2024:i:c:s0378426623002479.

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2023Dynamics of subjective risk premia. (2023). Xu, Zhengyang ; Nagel, Stefan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:2:s0304405x23001459.

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2023Banks, maturity transformation, and monetary policy. (2023). Paul, Pascal. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:53:y:2023:i:c:s104295732200064x.

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2024International evidence on extending sovereign debt maturities. (2024). Mussche, Paul L ; Lopez, Jose A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:141:y:2024:i:c:s0261560623002103.

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2023Estimates of the US Shadow-Rate. (2023). Pia, Marco ; Alfaro, Rodrigo. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:4:y:2023:i:1:s2666143822000345.

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2023The economic effects of firm-level uncertainty: Evidence using subjective expectations. (2023). Scoccianti, Filippo ; Fiori, Giuseppe. In: Journal of Monetary Economics. RePEc:eee:moneco:v:140:y:2023:i:c:p:92-105.

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2023Network connectedness of the term structure of yield curve and global Sukuks. (2023). Teplova, Tamara ; Shahab, Yasir ; Riaz, Yasir ; Umar, Zaghum. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x23001221.

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2024Transmission of liquidity and credit risks in the Chinese bond market: Analysis based on joint modeling of multiple yield curves. (2024). Su, GE ; Hong, Zhiwu ; Lin, Mucai. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:597-615.

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2024The term structure of yield curve and connectedness among ESG investments. (2024). Ruman, Asif M ; Umar, Zaghum ; Iqbal, Najaf ; Jiang, Shaohua. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002714.

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2023How the PBoC´s new MLF affects the yield curve. (2023). El-Shagi, Makram ; Jiang, Lunan. In: CFDS Discussion Paper Series. RePEc:fds:dpaper:202301.

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2024Government Debt, Limited Foresight, and Longer-term Interest Rates. (2024). Skaperdas, Arsenios ; Gust, Christopher. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2024-27.

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2023Why Does the Yield Curve Predict GDP Growth? The Role of Banks. (2023). Wei, Min ; Schneider, Andres ; Minoiu, Camelia. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:96648.

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2023The Spillover Effects of US Unconventional Monetary Policy on Inflation and Non-Inflation Targeting Emerging Markets. (2023). Kaseeram, Irrshad ; Zhou, Sheunesu ; Ntshangase, Lwazi Senzo. In: Economies. RePEc:gam:jecomi:v:11:y:2023:i:5:p:138-:d:1140203.

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2023A Machine-Learning-Based Approach for Natural Gas Futures Curve Modeling. (2023). Resta, Marina ; Castello, Oleksandr. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:12:p:4746-:d:1172227.

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2023Term Premia in Norwegian Interest Rate Swaps. (2023). Westgaard, Sjur ; Semmen, Kristian ; Risstad, Morten ; de Lange, Petter Eilif. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:3:p:188-:d:1093268.

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2023.

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2023Central bank asset purchases: Insights from quantitative easing auctions of government bonds. (2023). Laseen, Stefan. In: Working Paper Series. RePEc:hhs:rbnkwp:0419.

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2023Making Waves: Monetary Policy and Its Asymmetric Transmission in a Globalized World. (2023). Georgiadis, Georgios ; Strasser, Georg ; Stracca, Livio ; Jarocinski, Marek ; Dedola, Luca. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2023:q:2:a:2.

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2023Tracing the Impact of the ECB’s Asset Purchase Program on the Yield Curve. (2023). Vladu, Andreea Liliana ; Radde, Soren ; Nyholm, Ken ; Lemke, Wolfgang ; Eser, Fabian. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2023:q:3:a:9.

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2023Funding Behavior of Debt Management Offices and the ECBs Public Sector Purchase Program. (2023). von Landesberger, Julian ; Kaufmann, Christoph ; Plessen-Matyas, Katharina. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2023:q:4:a:8.

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2023A comparison of multi-factor term structure models for interbank rates. (2023). Tunaru, Diana ; Fabozzi, Francesco A. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01147-2.

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2023The impact of the COVID-19 outbreak on the connectedness of the BRICS’s term structure. (2023). Umar, Zaghum ; Escribano, Ana ; Jareo, Francisco. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-022-01500-1.

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2024Liability-driven investment for pension funds: stochastic optimization with real assets. (2024). Owadally, Iqbal ; Clare, Andrew ; Jang, Chul. In: Risk Management. RePEc:pal:risman:v:26:y:2024:i:3:d:10.1057_s41283-024-00141-9.

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2023Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2023). Wang, FA ; Urga, Giovanni. In: MPRA Paper. RePEc:pra:mprapa:117012.

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2023Dynamic Nelson–Siegel model for market risk estimation of bonds: Practical implementation. (2023). Lapshin, Victor ; Makushkin, Mikhail. In: Applied Econometrics. RePEc:ris:apltrx:0462.

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2023Forecasting the term structure of commodities future prices using machine learning. (2023). Saporito, Yuri F ; Figueiredo, Mario. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:1:d:10.1007_s42521-022-00069-3.

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2023The role of oil and risk shocks in the high?frequency movements of the term structure of interest rates: Evidence from the U.S. Treasury market. (2023). GUPTA, RANGAN ; Subramaniam, Sowmya ; Sheng, Xin ; Hussain, Syed Jawad. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1845-1857.

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2024Breaks in term structures: Evidence from the oil futures markets. (2024). Miller, Curtis ; Liu, Zhenya ; Horvath, Lajos ; Tang, Weiqing. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:2317-2341.

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2023Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations. (2020). Swanson, Norman ; Yang, Xiye ; Xiong, Weiqi. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:35:y:2020:i:5:p:587-613.

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2023Global financial uncertainty. (2023). Castelnuovo, Efrem ; Caggiano, Giovanni. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:3:p:432-449.

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2023Forecasting term structure of the Japanese bond yields in the presence of a liquidity trap. (2023). Zheng, Zhongxi ; Zhang, Zhaoyong ; Wu, Junxiang ; Tsui, Albert K. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:5:p:1205-1227.

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2023Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach. (2023). Agarwalla, Sobhesh Kumar ; Kumar, Sudarshan ; Virmani, Vineet ; Varma, Jayanth R. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1615-1644.

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2023Pricing the Bund term structure with linear regressions – without an observable short rate. (2023). Speck, Christian. In: Discussion Papers. RePEc:zbw:bubdps:082023.

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2023The influence of negative interest rates on life insurance companies. (2023). Grochola, Nicolaus. In: ICIR Working Paper Series. RePEc:zbw:icirwp:279897.

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Works by Canlin Li:

YearTitleTypeCited
2006Forecasting the term structure of government bond yields In: Journal of Econometrics.
[Full Text][Citation analysis]		article873
2008Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach In: Journal of Econometrics.
[Full Text][Citation analysis]		article171
2006A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration In: Chapters.
[Full Text][Citation analysis]		chapter15
2004Alternative estimates of the presidential premium In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper4
2013Duration risk versus local supply channel in Treasury yields: evidence from the Federal Reserves asset purchase announcements In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper16
2014Measuring Agency MBS Market Liquidity with Transaction Data In: FEDS Notes.
[Full Text][Citation analysis]		paper2
2017Robustness of Long-Maturity Term Premium Estimates In: FEDS Notes.
[Full Text][Citation analysis]		paper11
2017Taxonomy of Global Risk, Uncertainty, and Volatility Measures In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper18
2018International Spillovers of Monetary Policy : Conventional Policy vs. Quantitative Easing In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper27
2018Using the Entire Yield Curve in Forecasting Output and Inflation In: Econometrics.
[Full Text][Citation analysis]		article10
2008Representative yield curve shocks and stress testing In: Post-Print.
[Citation analysis]		paper2
2013Term Structure Modeling with Supply Factors and the Federal Reserves Large-Scale Asset Purchase Progarms In: International Journal of Central Banking.
[Full Text][Citation analysis]		article114
2018Expectations about the Federal Reserve’s Balance Sheet and the Term Structure of Interest Rates In: International Journal of Central Banking.
[Full Text][Citation analysis]		article30

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