The paper introduces the HD(1), a Markovian process of order one with reversion rates that are faster the farther the process is from equilibrium. The aHD(1) approximation is introduced to allow for an estimation-calibration procedure based on available ARMA routines. Critical values of unit root tests with aHD(1) alternative are tabulated for the signed likelihood-ratio statistic. Revisiting the non-stationarity of interest rates stylized fact, the aHD(1) is found to be preferred to ARMA, SETAR and RCA and the resulting tests to reject the unit root hypothesis for all rates and yields considered.

This paper investigates whether positive and negative returns share the same dynamic volatility process. The well established stylized facts on volatility persistence and asymmetric effects are re-examined in light of such dichotomy. To analyze the dynamics of down and up volatilities estimated from daily returns I use a bivariate generalization of the standard EGARCH model. As a robustness check, I also investigate various specifications of down and up realized measures estimated from high-frequency data. The empirical findings point to the existence of a marked diversity in the volatilities of positive and negative daily returns in terms of persistence and sensitivity to good and bad news. A simple forecasting exercise highlights the striking performance of the proposed approach even during the crisis period.

Managers have the choice to take the firm private themselves in a management buyout or to seek private equity backing. We argue that managers seek private equity backing in case they are more constrained to finance the deal themselves. We confirm the hypothesis using a sample of UK public-to-private transactions over the period 1997–2003. A post going private performance analysis reveals that both management buyouts and private equity backed deals outperform their industry peers. However, private equity backed deals outperform their peers already before the deal takes place whereas management buyouts improve performance afterwards. This suggests a passive role for private equity firms in going private transactions.