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...

We propose the use of a local autoregressive (LAR) model for adaptive estimation and forecasting of three of China’s key macroeconomic variables: GDP growth, inflation and the 7-day interbank lending rate. The approach takes into account possible structural changes in the data-generating...