Linlin Niu

Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)

Professor

A 306, Economics Building

Xiamen, Fujian 361005

China

Xiamen University - School of Economics

China

SCHOLARLY PAPERS

15

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Rank 33,009

SSRN RANKINGS

Top 33,009

in Total Papers Downloads

1,507

SSRN CITATIONS
Rank 24,391

SSRN RANKINGS

Top 24,391

in Total Papers Citations

8

CROSSREF CITATIONS

26

Scholarly Papers (15)

1.

Adaptive Dynamic Nelson-Siegel Term Structure Model with Applications

Number of pages: 50 Posted: 20 Mar 2012 Last Revised: 03 Jun 2013
Ying Chen and Linlin Niu
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 278 (119,189)
Citation 2

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Yield curve, term structure of interest rates, local parametric models, forecasting

2.

A Generalized Arbitrage-Free Nelson-Siegel Term Structure Model with Macroeconomic Fundamentals

Number of pages: 31 Posted: 21 Mar 2011
Canlin Li, Linlin Niu and Gengming Zeng
Board of Governors of the Federal Reserve System, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 244 (136,293)
Citation 4

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Yield curve, term structure models, macroeconomic fundamentals, factor models

3.

The Discrete-Time Framework of the Arbitrage-Free Nelson-Siegel Class of Term Structure Models

Number of pages: 68 Posted: 05 Mar 2012 Last Revised: 11 Feb 2016
Linlin Niu and Gengming Zeng
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 201 (163,989)
Citation 6

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Yield curve, term structure of interest rates, factor models, state-space models

4.

Term Structure Forecasting: No-Arbitrage Restrictions versus Large Information Set

Paolo Baffi Centre Research Paper No. 2009-44
Number of pages: 48 Posted: 04 May 2009
Carlo A. Favero, Linlin Niu and Luca Sala
Bocconi University - Department of Finance, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 158 (202,799)
Citation 10

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Yield curve, term structure of interest rates, forecasting

De Facto Currency Baskets of China and East Asian Economies: The Rising Weights

BOFIT Discussion Paper No. 2/2012
Number of pages: 28 Posted: 14 Feb 2012 Last Revised: 31 Jan 2014
Ying Fang, Shicheng Huang and Linlin Niu
Xiamen University, affiliation not provided to SSRN and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 77 (340,468)

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RMB currency basket, time-varying regressions, East Asia, China, US

De Facto Currency Baskets of China and East Asian Economies: The Rising Weights

Number of pages: 22 Posted: 06 Feb 2012
Ying Fang, Shicheng Huang and Linlin Niu
Xiamen University, affiliation not provided to SSRN and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 63 (380,667)

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RMB currency basket, time-varying regressions, East Asia

6.

An Affine Term Structure Model with Auxiliary Stochastic Volatility-Covolatility

Number of pages: 45 Posted: 17 Jun 2010 Last Revised: 25 Jun 2010
Linlin Niu
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 126 (243,072)

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Term structure, Stochastic volatility, Wishart Autoregressive process

7.

Discrete-Time Arbitrage-Free Nelson-Siegel Term Structure Model and Application

Number of pages: 45 Posted: 11 Feb 2016
Zhiwu Hong, Linlin Niu and Gengming Zeng
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 113 (263,390)
Citation 2

Abstract:

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Nelson-Siegel interest rate term structure model, yield curve, macro-finance, exchange rate risk

8.

A Macro Finance Term Structure Model with Stochastic Volatility

Number of pages: 43 Posted: 17 Jun 2010
Linlin Niu
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 79 (331,936)

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Term structure, Stochastic volatility, Wishart Autoregressive process

9.

Co-Movements of Shanghai and New York Stock Prices by Time-Varying Regressions

BOFIT Discussion Paper No. 16/2011
Number of pages: 20 Posted: 22 Aug 2011
Princeton University - Department of Economics, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 59 (388,156)
Citation 2

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China, globalization, rate of return, stock markets, time-varying parameter regression

10.

An Adaptive Approach to Forecasting Three Key Macroeconomic Variables for Transitional China

BOFIT Discussion Paper No. 12/2015
Number of pages: 47 Posted: 15 Apr 2015 Last Revised: 17 Apr 2015
Linlin Niu, Xiu Xu and Ying Chen
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), Humboldt University of Berlin - Institute for Statistics and Econometrics and National University of Singapore (NUS)
Downloads 48 (426,048)

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Chinese economy, local parametric models, forecasting

11.

自适应多元货币模型与人民币汇率预测 (Adaptive Multivariable Monetary Model With Application in Forecasting the RMB Exchange Rates)

Number of pages: 27 Posted: 13 Sep 2018 Last Revised: 22 Oct 2018
Xinjue Li and Linlin Niu
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 30 (504,060)

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自适应多元模型,结构性突变,人民币汇率,预测

12.

Echo over the Great Wall: Spillover Effects of QE Announcements on Chinese Yield Curve

Number of pages: 52 Posted: 04 Jun 2019
Mucai Lin and Linlin Niu
affiliation not provided to SSRN and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 15 (594,645)

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QE announcements, Spillover, Signaling Effects, Portfolio Balancing Effects, Yield Curve

13.

An Arbitrage-Free Yield Net Model with Application to the Euro Debt Crisis

Number of pages: 56 Posted: 04 Feb 2019
Zhiwu Hong and Linlin Niu
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 14 (601,346)

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Term Structure Models, European Debt Crisis, Liquidity, Sovereign Credit Risk, Nelson-Siegel Factors

14.

Term Structure Forecasting: No-Arbitrage Restrictions vs. Large Information Set

CEPR Discussion Paper No. DP6206
Number of pages: 35 Posted: 21 May 2008
Carlo A. Favero, Linlin Niu and Luca Sala
Bocconi University - Department of Finance, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 2 (688,868)
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Factor models, forecasting, large data set, term structure of interest rates, yield curve

15.

Housing Prices in Urban China as Determined by Demand and Supply

Pacific Economic Review, Vol. 20, Issue 1, pp. 1-16, 2015
Number of pages: 16 Posted: 21 Feb 2015
Gregory C. Chow and Linlin Niu
Princeton University - Department of Economics and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 0 (719,358)
Citation 2
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