Onward, Yamino Detective Agency?!
Loki is abducted by two bank robbers on the street who kidnap him after he discovers their true identities. Thanks to an earlier conversation between Mayura and Yamino, Loki decides to let them come and rescue him, rather than getting himself out of the situation on his own. He leaves them several clues and Mayura and Yamino hurry to find him before something bad happens. There is also a reference to Yamino's true nature--as Loki's Son!
Aired 24/05/2003EP 8 - Onward, Yamino Detective Agency?!

Mythical Detective Loki Ragnarok
Loki, the Norse god of mischief, has been exiled to the human world for what was apparently a bad joke. Along with being exiled, he's forced to take the form of a child. He's told the only way he can get back to the world of the gods is if he can collect auras of evil that take over human hearts, and so to do this he runs a detective agency. Loki is soon joined by a human girl named Mayura who is a maniac for mysteries, and she soon helps out in her own way. However, soon other Norse gods begin to appear, and most have the intent to assassinate Loki for reasons unclear.
(Source: Anime News Network)