In this paper, we modify the extendible debts model proposed in Longstaff (1990) to help relieve the moral hazard problem induced in the original model. In Longstaff¡¦s model, extending the maturity of the defaulted debts gives the borrower an incentive to default even if the borrower is...

In this paper, we modify the extendible debts model proposed in Longstaff (1990) to help relieve the moral hazard problem induced in the original model. In Longstaff¡¦s model, extending the maturity of the defaulted debts gives the borrower an incentive to default even if the borrower is...

In a high-dimensional linear regression model, we propose a new procedure for testing statistical significance of a subset of regression coefficients. Specifically, we employ the partial covariances between the response variable and the tested covariates to obtain a test statistic. The resulting...

type="main" xml:id="jtsa12019-abs-0001"This article proposes a hybrid bootstrap approach to approximate the augmented Dickey–Fuller test by perturbing both the residual sequence and the minimand of the objective function. Since innovations can be dependent, this allows the inclusion of...

We analyze tests for long-run abnormal returns and document that two approaches yield well-specified test statistics in random samples. The first uses a traditional event study framework and buy-and-hold abnormal returns calculated using carefully constructed reference portfolios. Inference is...

In regression with a vector of quantitative predictors, sufficient dimension reduction methods can effectively reduce the predictor dimension, while preserving full regression information and assuming no parametric model. However, all current reduction methods require the sample size n to be...