Yaya, OlaOluwa S.; Gil-Alana, Luis A. - In: Economic Modelling 38 (2014) C, pp. 463-469
This paper considers the persistence and asymmetric volatility at each market phase of the Nigerian All Share Index (ASI). The estimate of the fractional difference parameter is used as a stability measure of the degree of persistence in the level of the series and in the absolute/squared...