This paper studies the limiting behavior of general functionals of order statistics and their multivariate concomitants for weakly dependent data. The asymptotic analysis is performed under a conditional moment-based notion of dependence for vector-valued time series. It is argued, through...

This paper develops the asymptotic theory for the estimation of smooth semiparametric generalized estimating equations models with weakly dependent data. The paper proposes new estimation methods based on smoothed two-step versions of the generalised method of moments and generalised empirical...

This paper proposes a new method to estimate dynamic panel data models with spatially dependent errors that allows for known/unknown group-specific patterns of slope heterogeneity. Analysis of this model is conducted in the framework of composite quasi-likelihood (CL) maximization. The proposed...

This paper proposes a novel method to estimate large panel data error-correction models with stationary/non-stationary covariates and spatially dependent errors, which allows for known/unknown group-specific patterns of slope heterogeneity. Analysis is based on composite quasi-likelihood (CQL)...

In this paper we describe a model of optimal investment of various types of financially constrained firms. We show that the resulting relationship between internal funds and investment is non-monotonic. In particular, the magnitude of the cash flow sensitivity of the investment is lower for...

This paper examines the predictability of exchange rates on a transaction level basis using both past transaction prices and the structure of the order book. In contrast to the existing literature we also recognise that the trader may be subject to (Knightian) uncertainty as opposed to risk...