This paper examined the long memory features of GDP per capita data before the global financial crisis, using a sample of 26 African countries. The study employed fractional integration and tested the stability of the differencing parameter across the sample period for each country. The results...

This study examines the relationship between healthcare expenditure and disposable income in the 50 US states over the period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and nonlinearity of both series are found to vary considerably across...

This study examines the relationship between healthcare expenditure and disposable income in the 50 US states over the period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and non-linearity of both series are found to vary considerably across...

This study examines the stochastic properties of German green and brown stock prices; more specifically, fractional integration methods are applied to daily data on representative green and brown stock indices for the Berlin, Dusseldorf, Frankfurt, Gettex, Munich, and Stuttgart stock exchanges...

The Generalized Autoregressive Score (GAS), Exponential GAS (EGAS) and Asymmetric Exponential GAS (AEGAS) are new classes of volatility models that simultaneously account for jumps and asymmetry. Using these models, we estimate the dynamic pattern of the Nigeria All Share Index (ASI) from...

This paper examined the application of nonlinear Smooth Transition-Generalized Autoregressive Conditional Heteroscedasticity (ST-GARCH) model of Hagerud on prices of banks' shares in Nigeria. The methodology is informed by the failure of the conventional GARCH model to capture the asymmetric...

The article aims to investigate the possibility of the convergence and catching up of life expectancy values observed in West African countries with those noted in North African countries. Following the theory of time series convergence, documented in Bernard and Durlauf (1996) and Greasley and...

This paper attempts to fit the best Generalized Autoregressive Conditional Heteroscedastic (GARCH) model for All Share Index (ASI) of Nigerian Stock Exchange (NSE) returns. A search is made on various GARCH variants specified on the assumptions of stationarity and asymmetry. Fractionally...

In this paper, we examine the Nigerian stock market sector returns and estimate the bull and bear betas using the Logistic Smooth Threshold Market (LSTM) model. The LSTM model specification follows from the linear Constant Risk Market (CRM) model. We estimate the LSTM model for the overall...