EconPapers    
Economics at your fingertips  
 

Details about KOBAYASHI, Masahito

Workplace:College of Economics, Yokohama National University, (more information at EDIRC)

Access statistics for papers by KOBAYASHI, Masahito.

Last updated 2019-05-30. Update your information in the RePEc Author Service.

Short-id: pko158


Jump to Journal Articles

Working Papers

2017

  1. Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2017) Downloads

2016

  1. Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads

2011

  1. Testing the Box-Cox Parameter for an Integrated Process
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads

2009

  1. Testing the Box-Cox Parameter in an Integrated Process
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads

Journal Articles

2013

  1. Testing for a Single-Factor Stochastic Volatility in Bivariate Series
    Journal of Risk and Financial Management, 2013, 6, (1), 1-31 Downloads View citations (3)

2012

  1. Testing for the Box–Cox parameter for an integrated process
    Mathematics and Computers in Simulation (MATCOM), 2012, 83, (C), 1-9 Downloads

2009

  1. TESTING THE SEQUENTIAL LOGIT MODEL AGAINST THE NESTED LOGIT MODEL*
    The Japanese Economic Review, 2009, 60, (3), 345-361 Downloads View citations (6)
  2. Testing for jumps in the EGARCH process
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (9), 2797-2808 Downloads
  3. Testing for jumps in the stochastic volatility models
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2597-2608 Downloads View citations (2)

2005

  1. Testing for EGARCH Against Stochastic Volatility Models
    Journal of Time Series Analysis, 2005, 26, (1), 135-150 Downloads View citations (9)
  2. Testing for Volatility Jumps in the Stochastic Volatility Process
    Asia-Pacific Financial Markets, 2005, 12, (2), 143-157 Downloads View citations (4)

1999

  1. ANALYTICAL POWER COMPARISONS OF NESTED AND NONNESTED TESTS FOR LINEAR AND LOGLINEAR REGRESSION MODELS
    Econometric Theory, 1999, 15, (1), 99-113 Downloads View citations (6)

1994

  1. Power of Tests for Nonlinear Transformation in Regression Analysis
    Econometric Theory, 1994, 10, (2), 357-371 Downloads View citations (2)

1991

  1. Testing for Autocorrelated Disturbances in Nonlinear Regression Analysis
    Econometrica, 1991, 59, (4), 1153-59 Downloads View citations (4)

1990

  1. Mallows' Cp criterion and unbiasedness of model selection
    Journal of Econometrics, 1990, 45, (3), 385-395 Downloads

1986

  1. A Bounds Test for Equality Between Sets of Coefficients in Two Linear Regression Models Under Heteroscedasticity
    Econometric Theory, 1986, 2, (2), 220-231 Downloads View citations (4)
 
Page updated 2020-09-24