Details about KOBAYASHI, Masahito

Access statistics for papers by KOBAYASHI, Masahito.

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Short-id: pko158

Working Papers

2017

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

2016

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

2011

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

2009

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

Journal Articles

2017

1. A new test for single against competing risks models in duration analysis
   Communications in Statistics - Theory and Methods, 2017, 46, (21), 10672-10684

2013

2. Testing for a Single-Factor Stochastic Volatility in Bivariate Series
   JRFM, 2013, 6, (1), 1-31 View citations (3)

2012

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

2009

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

2005

7. Testing for EGARCH Against Stochastic Volatility Models
   Journal of Time Series Analysis, 2005, 26, (1), 135-150 View citations (10)
8. Testing for Volatility Jumps in the Stochastic Volatility Process
   Asia-Pacific Financial Markets, 2005, 12, (2), 143-157 View citations (4)

1999

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

1994

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

1991

11. Testing for Autocorrelated Disturbances in Nonlinear Regression Analysis
    Econometrica, 1991, 59, (4), 1153-59 View citations (5)

1990

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

1986

13. A Bounds Test for Equality Between Sets of Coefficients in Two Linear Regression Models Under Heteroscedasticity
    Econometric Theory, 1986, 2, (2), 220-231 View citations (5)