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A multiplicative error model with heterogeneous components for forecasting realized volatility

Han, Heejoon; Park, Myung D.; Zhang, Shen - In: Journal of forecasting 34 (2015) 3, pp. 209-219

Persistent link: https://www.econbiz.de/10011305259

Portfolio balance approach to asymmetries, structural breaks and financial crisis : testing a model for Nigeria

Adekoya, Oluwasegun B. - In: CBN journal of applied statistics 11 (2020) 1, pp. 87-110

This study tests the Portfolio Balance Theory (PBT) for Nigeria for the period starting from September, 1997 to September, 2018. It extends the hypothesized linear inverse relationship between exchange rate and stock price to include asymmetries and structural breaks. It further examines the...

Persistent link: https://www.econbiz.de/10012297508

Is the stock market a leading indicator of economic activity in nigeria?

Ikoku, Alvan E. - In: CBN journal of applied statistics 1 (2010) 1, pp. 17-38

In an effort to address the lacuna in leading indicator studies of African economies and Nigeria in particular, this paper examines the causal relationships among stock market prices, real GDP and the index of industrial production in Nigeria, using quarterly data from 1984Q1 to 2008Q4. Granger...

Persistent link: https://www.econbiz.de/10011477855

Building scenarios of multiple time series that take into account the effects of an expected intervention

Guerrero, Víctor M.; Silva, Eliud; Gómez, Nicolás - In: Journal of forecasting 33 (2014) 1, pp. 32-46

Persistent link: https://www.econbiz.de/10010424886

Forecasting the federal budget with time-series models

Baghestani, Hamid - In: Journal of forecasting 11 (1992) 2, pp. 127-139

Persistent link: https://www.econbiz.de/10001136598

Testing the Fisher hypothesis in the presence of structural breaks and adaptive inflationary expectations : evidence from Nigeria

Uyaebo, Stephen O. U.; Bello, Yakubu A.; Omotosho, … - In: CBN journal of applied statistics 7 (2016) 1, pp. 333-358

Hansen Co-integration test confirmed the existence of a long-run relationship between nominal interest rates and inflation …

Persistent link: https://www.econbiz.de/10011529383

Foreign private investment and economic growth in Nigeria : a cointegrated VAR and Granger causality analysis

Abdullahi, F. Z.; Ladan, S.; Bakari, Haruna R. - In: CBN journal of applied statistics 2 (2011) 2, pp. 15-28

This research uses a cointegration VAR model to study the contemporaneous long-run dynamics of theimpact of Foreign … model was appropriately identified using AIC information criteria and the VECM model has exactly one cointegration relation …

Persistent link: https://www.econbiz.de/10011477457

A Kalman filter approach to Fisher effect : evidence from Nigeria

Asemota, Omorogbe J.; Bala, Dahiru A. - In: CBN journal of applied statistics 2 (2011) 1, pp. 71-91

interest rates data. For a more robust result we conducted integration and cointegration tests in order to examine time …-series properties of the variables. Using Co-integration and Kalman filter methodologies, the study did not find evidence of a full …

Persistent link: https://www.econbiz.de/10011477662

A predictive model for inflation in Nigeria

Udoh, Nse S.; Isaiah, Anietie S. - In: CBN journal of applied statistics 9 (2018) 2, pp. 103-129

The study estimates a dynamic model using quarterly data spanning 1995 to 2016. Four dynamic models: level lagged variables, differenced lagged variables, log-transformed lagged variables and differenced log-transformed lagged variables were considered. The best predictive model was selected...

Persistent link: https://www.econbiz.de/10012031209

Forecasting mixed-frequency time series with ECM-MIDAS models

Götz, Thomas B.; Hecq, Alain W. J.; Urbain, Jean-Pierre - In: Journal of forecasting 33 (2014) 3, pp. 198-213

Persistent link: https://www.econbiz.de/10010424835