In recent years, analysis of financial time series has focused largely on data related to market trading activity. Apart from modelling the conditional variance of returns within the GARCH family of models, presently attention has also been devoted to other market variables, especially volumes,...

This paper considers a general model specification test for nonlinear multivariate cointegrating regressions where the regressor consists of a univariate integrated time series and a vector of stationary time series. The regressors and the errors are generated from the same innovations, so that...

This paper considers a general model specification between a parametric co-integrating model and a nonparametric co-integrating model in a multivariate regression model, which involves a univariate integrated time series regressor and a vector of stationary time series regressors. A new and...

<Para ID="Par1">The fixed effects (‘FE’) estimator of technical inefficiency performs poorly when N (the ’number of firms’) is large and T (the ‘number of time observations’) is small. We propose kernel estimators, which includes the FE estimator as a special case. In terms of criteria based on...</para>

We propose to approximate the conditional expectation of a spatial random variable given its nearest-neighbour observations by an additive function. The setting is meaningful in practice and requires no unilateral ordering. It is capable of catching nonlinear features in spatial data and...

We consider the problems of derivative pricing and inference when the stochastic discount factor has an exponential-affine form and the geometric return of the underlying asset has a dynamics characterized by a mixture of conditionally Normal processes. We consider both the static case in which...