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On the persistence and volatility in European, American and Asian stocks bull and bear markets

Gil-Alaña, Luis A.; Shittu, Olanrewaju I.; Yaya, … - In: Journal of international money and finance 40 (2014), pp. 149-162

Persistent link: https://www.econbiz.de/10010239995

The persistence and asymmetric volatility in the Nigerian stock bull and bear markets

Yaya, OlaOluwa S.; Gil-Alaña, Luis A. - In: Economic modelling 38 (2014), pp. 463-469

Persistent link: https://www.econbiz.de/10010419012

The relationship between oil prices and the Nigerian stock market : an analysis based on fractional integration and cointegration

Gil-Alaña, Luis A.; Yaya, OlaOluwa S. - In: Energy economics 46 (2014), pp. 328-333

Persistent link: https://www.econbiz.de/10011298580

Fractional integration and asymmetric volatility in European, American and Asian bull and bear markets : application to high-frequency stock data

Yaya, OlaOluwa S.; Gil-Alaña, Luis A.; Shittu, … - In: International journal of finance & economics : IJFE 20 (2015) 3, pp. 276-290

Persistent link: https://www.econbiz.de/10011348408

Persistence and cycles in historical oil price data

Gil-Alaña, Luis A.; Gupta, Rangan - In: Energy economics 45 (2014), pp. 511-516

Persistent link: https://www.econbiz.de/10010506552

Inflation-targeting and inflation volatility : international evidence from the cosine-squared cepstrum

Antonakakis, Nikolaos; Christou, Christina; Gil-Alaña, … - In: International economics : a journal published by CEPII … 167 (2021), pp. 29-38

Persistent link: https://www.econbiz.de/10013269231

Nigerian Stock Index : a search for optimal GARCH model using high frequency data

Yaya, OlaOluwa S. - In: CBN journal of applied statistics 4 (2013) 2, pp. 69-85

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...

Persistent link: https://www.econbiz.de/10011474661

Volatility in the Nigerian Stock Market : empirical application of Beta-t-GARCH variants

Yaya, OlaOluwa S.; Bada, Abiodun S.; Atoi, Ngozi V. - In: CBN journal of applied statistics 7 (2016) 2, pp. 1-22

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...

Persistent link: https://www.econbiz.de/10011661497

Modelling Nigerian banks' share prices using smooth transition GARCH models

Yaya, OlaOluwa S.; Akinlana, Damola M.; Shittu, … - In: CBN journal of applied statistics 7 (2016) 2, pp. 1-22

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...

Persistent link: https://www.econbiz.de/10011661513

Time series analysis of volatility in the petroleum pricing markets : the persistence, asymmetry and jumps in the returns series

Olubusoye, Olusanya E.; Yaya, OlaOluwa S. - In: OPEC energy review 40 (2016) 3, pp. 235-262

Persistent link: https://www.econbiz.de/10011711514