Research
Publications in English
Ying Chen, Linlin Niu, Qian Han, "Forecasting the Term Structure of Option Implied Volatility: The Power of an Adaptive Method“, forthcoming, Journal of Empirical Finance.
Ying Chen, Linlin Niu, Ray-Bing Chen, Qiang He, "Sparse-Group Independent Component Analysis with Application to Yield Curve Prediction“, forthcoming, Computational Statistics and Data Analysis.
Zhiwu Hong, Linlin Niu, Gengming Zeng, "U.S. and Chinese Yield Curve Responses to RMB Exchange Rate Policy Shocks: An Analysis with the Arbitrage-Free Nelson-Siegel Term Structure model", forthcoming, China Finance Review International.
Linlin Niu, Xiu Xu, Ying Chen, “An adaptive approach to forecasting three key macroeconomic variables for transitional China ”, Economic Modelling, 66, pp. 201-213, November 2017. (Workinig paper version)
Gregory Chow, Linlin Niu, “Housing Prices in Urban China as Determined by Demand and Supply”, Pacific Economic Review, 20(1), pp. 1-16, 2015. (Working paper version)
Ying Chen, Linlin Niu, “Adaptive Dynamic Nelson-Siegel Term Structure Model with Applications”, Journal of Econometrics, 180 (1), pp. 98-115, 2014.DOI: 10.1016/j.jeconom.2014.02.009. (Working paper version)
Ying Chen, Bo Li, Linlin Niu, “A Local Vector Autoregressive Framework and its Applicaitons to Multivariate Time Series Monitoring and Forecasting”, Statistics and Its Interface, 6(4), pp. 499-509, 2013. (Working paper version)
Carlo Favero, Linlin Niu, Luca Sala, “Term Structure Forecasting: No-arbitrage Restrictions versus Large Information set”,Journal of Forecasting, 31(2), pp. 124-156, March 2012. (Working paper version)
Gregory Chow, Changjiang Liu, Linlin Niu, “Co-movements of Shanghai and New York Stock Prices by Time-varying Regressions”, Journal of Comparative Economics, 39(4), pp. 577-583, December 2011. (Working paper version)
Publications in Chinese
牛霖琳,林木材,《中国超长期国债的相对流动性溢价与收益率曲线的结构性建模》,《金融研究》,2017年,第4期,17-31。
牛霖琳,洪智武,陈国进,《地方政府债务隐忧及其风险传导——基于国债收益率与城投债利差的分析》,《经济研究》,2016年,第11期,83-95。
岳超云,牛霖琳,《中国货币政策规则的估计与比较一基于DSGE模型的分析》,《数量经济技术经济研究》, 2014年, 第3期,119-133。
陈伟,牛霖琳,《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》,《金融研究》,2013年,第11期,15-27。
曾耿明,牛霖琳,《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》,《金融研究》,2013,第1期,24-37。 ("The Term Structures of Real Interest Rates and Expected Inflation in China: Analysis with a No-arbitrage Macro Finance Model". Working paper version in Chinese, Abstract in English: )
方颖、梁芳、牛霖琳,《人民币汇率一篮子货币权重的内在形成机制--基于非参数时变系数的估计方法》,《世界经济文汇》,2012,第3期,1-13。
邹至庄,牛霖琳,《中国城镇居民住房的需求与供给》,《金融研究》,2010,第1期,1-12。