Is there asymmetry in the distribution of government bond returns in developed countries? Can asymmetries be predicted using financial and macroeconomic variables? To answer the first question, we provide evidence for asymmetry in government bond returns in particular for short maturities. This...

The hypothesis that when firms obtain financing, they prefer internal sources to external sources is known as the pecking order hypothesis. We model firms' financing activities implied by the pecking order hypothesis by a sequential logit model. Then, we propose to test the pecking order...

Recently Chiba and Kobayashi (2013) have proposed the Lagrange multiplier (LM) test for the null hypothesis that volatilities of two asset return processes are driven by only one stochastic volatility (SV) process in a bivariate SV model. They apply their LM test to Asian stock market index...

In this paper, we propose a test for coefficient stability of an AR(1) model against the random coefficient autoregressive model of order 1 neither assuming a stationary nor a non-stationary process under the null hypothesis of a constant coefficient. The proposed test is obtained as a...

In this article, we develop the asymptotic theory of Hwang and Basawa (2005) for explosive random coefficient autoregressive (ERCA) models. Applying the theory, we prove that a locally best invariant (LBI) test in McCabe and Tremayne (1995), which is for the null of a unit root (UR) process...

In this paper, we show that the sequential logit (SL) model, in which a choice process is characterized as a sequence of independent multinomial logit models, is a limiting case of the nested logit (NL) model. For testing the SL model against the NL model, we propose using the Wald, likelihood...

Is there asymmetry in the distribution of government bond returns in developed countries? Can asymmetries be predicted using financial and macroeconomic variables? To answer the first question, we provide evidence for asymmetry in government bond returns in particular for short maturities. This...