With the recent availability of high-frequency Financial data the long range dependence of volatility regained researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of volatility, however, is usually stated for long sample...

Limit order book contains comprehensive information of liquidity on bid and ask sides. We propose a Vector Functional AutoRegressive (VFAR) model to describe the dynamics of the limit order book and demand curves and utilize the tted model to predict the joint evolution of the liquidity demand...

With the recent availability of high-frequency Financial data the long range dependence of volatility regained researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of volatility, however, is usually stated for long sample...

With the recent availability of high-frequency financial data the long range dependence of volatility regained researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of volatility, however, is usually stated for long sample...

We develop a dynamic model to simultaneously characterize the liquidity demand and supply in limit order book. The joint dynamics is modelled in a unified Vector Functional AutoRegressive (VFAR) framework. We derive a closed-form maximum likelihood estimator under sieves and establish asymptotic...

The problem of CO embodied in international trade has attracted increasing attention in China. To analyze this issue, the present paper directly calculates emission factors for 15 industries in 2002, 2005 and 2007. We then examine a consumption‐based system and a single‐region input–output...