Canlin Li : Citation Profile

University of Pennsylvania

10

H index

10

i10 index

1369

Citations

RESEARCH PRODUCTION:

5

Articles

7

Papers

1

Chapters

RESEARCH ACTIVITY:

   14 years (2004 - 2018). See details.
   Cites by year: 97
   Journals where Canlin Li has often published
   Relations with other researchers
   Recent citing documents: 94.    Total self citations: 3 (0.22 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pli1425
   Updated: 2026-01-10    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:

GUPTA, RANGAN (23)

Rudebusch, Glenn (23)

Härdle, Wolfgang (19)

Krippner, Leo (17)

Niu, Linlin (16)

Diebold, Francis (15)

Umar, Zaghum (14)

Almeida, Caio (14)

Christensen, Jens (13)

Koopman, Siem Jan (13)

Lemke, Wolfgang (13)

Cites to:

Diebold, Francis (21)

Rudebusch, Glenn (17)

Piazzesi, Monika (13)

Bollerslev, Tim (11)

Vayanos, Dimitri (10)

Watson, Mark (10)

Svensson, Lars (8)

Bernanke, Ben (6)

Swanson, Eric (6)

Stock, James (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 (2025 and 2024)

YearTitle of citing document
2025Distributional Dynamics. (2025). Kuhn, Moritz ; Bayer, Christian ; Calderon, Luis. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:351.

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2025Approximate Factor Models for Functional Time Series. (2025). Otto, Sven ; Salish, Nazarii. In: Papers. RePEc:arx:papers:2201.02532.

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2025A Quantile Nelson-Siegel model. (2024). Rossini, Luca ; Poon, Aubrey ; Iacopini, Matteo ; Zhu, Dan. In: Papers. RePEc:arx:papers:2401.09874.

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2024Deep Generative Modeling for Financial Time Series with Application in VaR: A Comparative Review. (2024). Han, Xusi ; Zhu, Xuejun ; Guo, Steve ; Li, Shuang ; Fu, Rao ; Ericson, Lars. In: Papers. RePEc:arx:papers:2401.10370.

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2025Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching. (2024). Diebold, Francis ; Bie, Siyu ; Li, Junye ; He, Jingyu. In: Papers. RePEc:arx:papers:2408.12863.

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2025Estimation of Latent Group Structures in Time-Varying Panel Data Models. (2025). Smeekes, Stephan ; Haimerl, Paul ; Wilms, Ines. In: Papers. RePEc:arx:papers:2503.23165.

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2025Non-parametric Causal Discovery for EU Allowances Returns Through the Information Imbalance. (2025). Glielmo, Aldo ; Mira, Antonietta ; de Giuli, Maria Elena ; del Tatto, Vittorio ; Salvagnin, Cristiano. In: Papers. RePEc:arx:papers:2508.15667.

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2025Dynamics of Liquidity Surfaces in Uniswap v3. (2025). Risk, Jimmy ; Wang, Tai-Ho ; Tung, Shen-Ning. In: Papers. RePEc:arx:papers:2509.05013.

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2025Functional Regression with Nonstationarity and Error Contamination: Application to the Economic Impact of Climate Change. (2025). Seo, Won-Ki ; Nam, Kyungsik. In: Papers. RePEc:arx:papers:2509.08591.

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2025Robust Yield Curve Estimation for Mortgage Bonds Using Neural Networks. (2025). Javid, Alireza M ; Molavipour, Sina ; Nechaev, Mikhail ; Ye, Cassie ; Lofdahl, Bjorn. In: Papers. RePEc:arx:papers:2510.21347.

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2024Perceived shocks and impulse responses. (2024). Giacomini, Raffaella ; Lu, Jason ; Smetanina, Katja. In: CeMMAP working papers. RePEc:azt:cemmap:21/24.

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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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2025Macroeconomic Drivers of Brazils Yield Curve. (2025). Gaglianone, Wagner ; Araujo, Gustavo ; Machado, Jos Valentim. In: Working Papers Series. RePEc:bcb:wpaper:629.

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2025Global risk aversion and the term premium gap in emerging market economies. (2025). Villa, Stefania ; Flaccadoro, Marco. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1493_25.

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2025The Signaling Effects of Tightening and Easing Monetary Policy. (2025). Hubert, Paul ; Portier, Rose. In: Working papers. RePEc:bfr:banfra:999.

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2025Integrating balance sheet policy into monetary policy conditions. (2025). Rungcharoenkitkul, Phurichai ; Mojon, Benoit ; Xia, Dora. In: BIS Working Papers. RePEc:bis:biswps:1281.

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2025Estimation and Forecasting of Russian Money Market Yield Curves. (2025). Magzhanov, Timur ; Fedorov, Dmitry ; Kartaev, Philipp. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:84:y:2025:i:2:p:36-64.

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2024Impacts of Monetary Policy Shocks on Inflation and Output in New Zealand. (2024). Kirkby, Robert ; Vu, Huong Ngoc. In: The Economic Record. RePEc:bla:ecorec:v:100:y:2024:i:329:p:160-187.

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2024A Constrained Dynamic Nelson-Siegel Model for Monetary Policy Analysis. (2024). Yao, Wenying ; Poon, Aubrey ; Cross, Jamie ; Zhu, Dan. In: Working Papers. RePEc:bny:wpaper:0133.

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2024The yield curve impact of government debt issuance surprises and the implications for QT. (2024). Lengyel, Andras ; Joyce, Michael. In: Bank of England working papers. RePEc:boe:boeewp:1097.

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2025Distributional Dynamics. (2025). Kuhn, Moritz ; Bayer, Christian ; Calderon, Luis. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2025_625.

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2024Expectations and Speculation in the Natural Gas Markets. (2024). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11341.

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2025The ECBs Pandemic Emergency Purchase Programme and Fiscal Policy: Synergies or Conflict?. (2025). Afonso, Antonio ; Ferreira, Jorge Braga. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11864.

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2024A statistical approach to identifying ECB monetary policy. (2024). Fonseca, Luís ; Brand, Claus ; Bitter, Lea ; Akkaya, Yildiz. In: Working Paper Series. RePEc:ecb:ecbwps:20242994.

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2025Time-varying risk aversion and inflation-consumption correlation in an equilibrium term structure model. (2025). Renne, Jean-Paul ; Lemke, Wolfgang ; Bletzinger, Tilman. In: Working Paper Series. RePEc:ecb:ecbwps:20253012.

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2024A tale of two tightenings. (2024). Lu, Yundi ; Valcarcel, Victor J. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:166:y:2024:i:c:s0165188924000988.

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2024Exchange rates, uncertainty, and price-setting: Evidence from CPI microdata. (2024). Lopez-Martin, Bernabe ; Canales, Mario. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s0264999324001184.

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2024Dynamic impact of the US yield curve on green bonds: Navigating through recent crises. (2024). Umar, Zaghum ; Teplova, Tamara ; Iqbal, Najaf ; Tan, Duojiao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001487.

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2024Yield curve trading strategies exploiting sentiment data. (2024). Serwart, Jan ; Audrino, Francesco. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001517.

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2025A predictive term-spread model in the age of inflation targeting. (2025). Tvedt, Jostein. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s106294082500004x.

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2025Misaligned expectations and bond term premium measures. (2025). Vázquez, Jesús ; Vzquez, Jess. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825000828.

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2024Estimation and inference for high dimensional factor model with regime switching. (2024). Urga, Giovanni ; Wang, FA. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000988.

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2024Better the devil you know: Improved forecasts from imperfect models. (2024). Oh, Dong Hwan ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:1:s0304407624001131.

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

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2024Does one (unconventional) size fit all? Effects of the ECB’s unconventional monetary policies on the euro area economies. (2024). Pagliari, Maria Sole. In: European Economic Review. RePEc:eee:eecrev:v:168:y:2024:i:c:s0014292124001466.

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2025Higher moments interaction between the US treasury yields, energy assets, and green cryptos: Dynamic analysis with portfolio implications. (2025). Umar, Zaghum ; Sokolova, Tatiana ; Iqbal, Najaf ; Shaoyong, Zhang. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007862.

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2024Are investment grade Sukuks decoupled from the conventional yield curve?. (2024). Umar, Zaghum ; Vo, Xuan Vinh ; Trabelsi, Nader ; Dogah, Kingsley E. 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). Audrino, Francesco ; Offner, Eric A. 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). Bayaa, Yasmeen ; Qadan, Mahmoud. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002436.

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

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2024Volatility feedback and dealership position: Evidence from the CDS Index, Corporate Bonds, and Government Bonds. (2024). Chen, Steven Shu-Hsiu. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324012054.

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2025Geopolitical risk and Taiwan’s government bond yields: Evidence from Nancy Pelosi’s visit. (2025). Hong, Zhiwu ; Bai, Haoran ; Niu, Linlin. In: Finance Research Letters. RePEc:eee:finlet:v:78:y:2025:i:c:s1544612325004374.

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2025Term premia and credit risk in emerging markets: The role of U.S. monetary policy. (2025). Sols, Pavel. In: Journal of International Economics. RePEc:eee:inecon:v:154:y:2025:i:c:s0022199625000017.

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2024Limits to arbitrage and the term structure of CIP violations. (2024). Chen, Xiaohong ; Wohlfarth, Paul. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:95:y:2024:i:c:s1042443124000970.

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2025Ex ante bond returns and time-varying monotonicity. (2025). Yahyaei, Hamid ; Singh, Abhay ; Smith, Tom. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:99:y:2025:i:c:s1042443125000046.

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2025Forecasting interest rates with shifting endpoints: The role of the functional demographic age distribution. (2025). Niu, Linlin ; Hong, Zhiwu ; Chen, Jiazi. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:153-174.

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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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2025Robust difference-in-differences analysis when there is a term structure. (2025). Nyborg, Kjell ; Woschitz, Jiri. In: Journal of Financial Economics. RePEc:eee:jfinec:v:170:y:2025:i:c:s0304405x25000893.

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

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2025Bond supply expectations and the term structure of interest rates. (2025). Dufour, Alfonso ; Billio, Monica ; Busetto, F ; Varotto, S. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:150:y:2025:i:c:s0261560624002043.

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2025How the PBoC’s new MLF affects the yield curve. (2025). Jiang, Lunan ; El-Shagi, Makram. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:154:y:2025:i:c:s0261560625000622.

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2025Do structured products improve portfolio performance? A backtesting exercise. (2025). Rockinger, Michael ; Perusset, Florian. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:157:y:2025:i:c:s0261560625001317.

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2025Information content in yield curve dynamics: Implications for monetary policy. (2025). Hwang, Youngjin. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:83:y:2025:i:c:s0164070424000727.

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2024What drives jumps in the secured Overnight Financing Rate? Evidence from the arbitrage-free Nelson–Siegel model with jump diffusion. (2024). Yeh, Zong-Wei ; Lin, Shih-Kuei ; He, Jie-Cao ; Fang, Dong-Jie. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24001434.

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2025How does managerial perception of uncertainty affect corporate investment during the COVID-19 pandemic: A text mining approach. (2025). Kimura, Yosuke ; Chen, Ying ; Inoue, Kotaro. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x24004074.

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2024Money/asset ratio as a predictor of inflation. (2024). Do, Nguyen Duc. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:97:y:2024:i:c:s1062976924001029.

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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). Hong, Zhiwu ; Lin, Mucai ; Su, GE. 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). Umar, Zaghum ; Jiang, Shaohua ; Iqbal, Najaf ; Ruman, Asif M. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002714.

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2024Foreign trade and China’s yield curve during the COVID-19 pandemic: An analysis based on an extended arbitrage-free Nelson–Siegel model. (2024). Hong, Zhiwu ; Wang, Zhenhan ; Li, Xinda. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pb:s0275531924001624.

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2024How electricity and natural gas prices affect banking systemic risk. (2024). Giorgio, Saverio ; Marzioni, Stefano ; Paccione, Cosimo ; Mure, Pina. In: Research in International Business and Finance. RePEc:eee:riibaf:v:72:y:2024:i:pa:s0275531924003039.

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2024Unbundling quantitative easing: taking a cue from treasury auctions. (2024). Gorodnichenko, Yuriy ; Droste, Michael ; Ray, Walker. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:120833.

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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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2024Disagreement About the Term Structure of Inflation Expectations. (2024). Farmer, Leland ; Ahn, Hie Joo. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2024-84.

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2025In Pursuit of Samuelson for Commodity Futures: How to Parameterize and Calibrate the Term Structure of Volatilities. (2025). Galeeva, Roza. In: Commodities. RePEc:gam:jcommo:v:4:y:2025:i:3:p:13-:d:1704304.

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2024Central bank balance sheets and long-term interest rates : Revisiting Japans unconventional monetary policy experience. (2024). Nakajima, Jouchi. In: Discussion Paper Series. RePEc:hit:hituec:758.

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2024MODELING AND ANALYSIS OF YIELD CURVE AND EXCHANGE RATE FORMATION IN PRO-MARKET MONETARY OPERATIONS. (2024). Mustika, Kusfisiami Wima ; Fista, Geyana Ledy ; Harun, Cicilia Anggadewi ; Sasongko, Aryo ; Safitri, Dila ; Kurniati, Puput ; Larasati, Karanissa ; Dinianyadharani, Aninditha Kemala. In: Working Papers. RePEc:idn:wpaper:wp092024.

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2024Perceived shocks and impulse responses. (2024). Giacomini, Raffaella ; Smetanina, Katja ; Lu, Jason. In: IFS Working Papers. RePEc:ifs:ifsewp:cwp21/24.

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2025Fiscal and Monetary Policy Interactions in a Low Interest Rate World. (2025). Lombardi, Marco ; Hofmann, Boris ; Orphanides, Athanasios ; Mojon, Benoit. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2025:q:3:a:2.

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2025The ECBs Pandemic Emergency Purchase Programme and Fiscal Policy: Synergies or Conflict?. (2025). Afonso, Antonio ; Ferreira, Jorge Braga. In: Working Papers REM. RePEc:ise:remwps:wp03782025.

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2025Optimal Time Varying Parameters in Yield Curve Modeling and Forecasting: A Simulation Study on BRICS Countries. (2025). Resta, Marina ; Castello, Oleksandr. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:4:d:10.1007_s10614-024-10619-z.

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2025An Alternative Approach for Determining the Time-Varying Decay Parameter of the Nelson-Siegel Model. (2025). Lee, Sang-Heon. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10653-x.

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2025The Central Bank Balance Sheet As a Policy Tool: Lessons From the Bank of Englands Experience. (2025). Bailey, Andrew ; Bridges, Jonathan ; Harrison, Richard ; Jones, Josh ; Mankodi, Aakash. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:67:y:2025:i:1:d:10.1007_s10693-024-00429-7.

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2025Stochastic volatility for factor Heath–Jarrow–Morton framework. (2025). Sepp, Artur ; Rakhmonov, Parviz. In: Review of Derivatives Research. RePEc:kap:revdev:v:28:y:2025:i:3:d:10.1007_s11147-025-09217-4.

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2025How the post-COVID-19 US economy lost and then regained momentum against the Eurozone economy. (2025). Pierre, Alexandra Rostan. In: European Journal of Comparative Economics. RePEc:liu:liucej:v:22:y:2025:i:1:p:129-174.

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2024Forecasting the yield curve for Poland with the PCA and machine learning. (2024). Kostyra, Tomasz Piotr. In: Bank i Kredyt. RePEc:nbp:nbpbik:v:56:y:2024:i:4:p:459-478.

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

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2024On the Effects of Monetary Policy Shocks on Income and Consumption Heterogeneity. (2024). Schorfheide, Frank ; Chang, Minsu. In: PIER Working Paper Archive. RePEc:pen:papers:24-003.

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2024Estimation d’une courbe des taux pour Madagascar par le modèle de Nelson-Siegel. (2024). Edouard, Andrianantenaina Michel. In: MPRA Paper. RePEc:pra:mprapa:122863.

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2024Estimation d’une courbe des taux pour Madagascar par le modèle de Nelson-Siegel. (2024). Edouard, Andrianantenaina Michel. In: MPRA Paper. RePEc:pra:mprapa:123128.

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2025Supply Constraints and Conditional Distribution Predictability of Inflation and its Volatility: A Non-parametric Mixed-Frequency Causality-in-Quantiles Approach. (2025). GUPTA, RANGAN ; Caporin, Massimiliano ; Torrent, Hudson S ; Subramaniam, Sowmya. In: Working Papers. RePEc:pre:wpaper:202526.

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2024Interest rate uncertainty and the shape of the yield curve of U.S. treasury bonds. (2024). Qadan, Mahmoud ; Bayaa, Yasmeen. In: Eurasian Economic Review. RePEc:spr:eurase:v:14:y:2024:i:4:d:10.1007_s40822-024-00278-8.

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2024An Analysis of UK Households’ Directional Forecasts of Interest Rates. (2024). Österholm, Pär ; Kladvko, Kamil. In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:20:y:2024:i:3:d:10.1007_s41549-024-00103-w.

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2025Economic downturn and the yield curve: Evidence from Canada and the US. (2025). Xu, Libo. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:49:y:2025:i:2:d:10.1007_s12197-025-09716-y.

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2025Analyzing yield curve term structure and connectedness in the Eurozone and G7: A TVP-VAR approach. (2025). Mahjoub, Rabeb ; Karoui, Ali Trabelsi ; Kammoun, Aida. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:49:y:2025:i:3:d:10.1007_s12197-025-09726-w.

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2025Measuring and Explaining the CDS-Bond Basis Term-Structure Shape and Dynamics. (2025). Seeger, Norman ; Lucas, Andrae ; Khanna, Yonas. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250037.

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2024Regime-Specific Dynamics and Informational Efficiency in Cryptomarkets: Evidence from Gaussian Mixture Models. (2024). Rondeau, Fabien ; Tuffry, Stphane ; Thlissaint, Josu ; Martin, Franck ; Jamhamed, Fayssal. In: Economics Working Paper Archive (University of Rennes & University of Caen). RePEc:tut:cremwp:2024-13.

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2024Assessing Cryptomarket Risks: Macroeconomic Forces, Market Shocks and Behavioural Dynamics. (2024). Thlissaint, Josu. In: Economics Working Paper Archive (University of Rennes & University of Caen). RePEc:tut:cremwp:2024-14.

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2024New fiscal transparency index and public debt borrowing costs.. (2024). Metz, Tho. In: Working Papers of BETA. RePEc:ulp:sbbeta:2024-50.

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2024Using functional shocks to assess conventional and unconventional monetary policy in Canada. (2024). McNeil, James ; Kronick, Jeremy ; Koeppl, Thorsten V. In: Canadian Journal of Economics/Revue canadienne d'économique. RePEc:wly:canjec:v:57:y:2024:i:4:p:1314-1336.

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

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2025Effects of QE on sovereign bond spreads through the safe asset channel. (2025). End, Jan Willem ; van den End, Jan Willem. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:2:p:1143-1162.

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2024The term structure of interest rates and economic activity: Evidence from the COVID‐19 pandemic. (2024). laopodis, nikiforos ; Kouretas, Georgios ; Salachas, Evangelos. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:4:p:1018-1041.

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2024Parameterizing Debt Maturity. (2024). Johns, Christopher ; Barrett, Philip. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:56:y:2024:i:6:p:1321-1365.

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2025Modeling the term structure. (2025). Memmel, Christoph ; Heckmann, Lotta. In: Discussion Papers. RePEc:zbw:bubdps:315493.

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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]		article923
2008Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach In: Journal of Econometrics.
[Full Text][Citation analysis]		article180
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]		paper5
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]		paper17
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]		paper12
2017Taxonomy of Global Risk, Uncertainty, and Volatility Measures In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper20
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]		article11
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]		article122
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]		article33

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