This paper initiates a non-linear fractional unit root test also known as autoregressive neural network–fractional integration (ARNN–FI) test. The test is based on a new multilayer perceptron of a neural network process which is applied in Yaya et al. (2021). Further, to investigate the...

Most economic series have been analyzed on the assumption that they are integrated of order d that is I(d), where d is an integer. Such series exhibit a short memory process characterized with exponential decay in the autocorrelation function (ACF) sometimes with alternating signs after dth...

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...