We derive a definition of linear cointegration for nonlinear stochastic processes using a martingale representation … assumption of linearity. We propose a sequential nonparametric method to test first for cointegration and second for nonlinear …

from eight developed and six emerging economies, we test the expectations hypothesis using cointegration methods under the … assumption that interest rates are near integrated. If the null hypothesis of no cointegration is rejected, we then test whether … support for cointegration in ten of the fourteen countries we consider, and the cointegrating vector is similar across …

or retaining more earnings, as opposed to increasing dividends, to enhance the value of their own stock options. This …

stock options change the composition of payouts. We find a strong negative relationship between dividends and management … expense of dividends. …