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Economic policy uncertainty in G7 countries : evidence of long-range dependence and cointegration

Yaya, OlaOluwa S.; Abu, Nurudeen; Ogundunmade, Tayo P. - In: Economic change & restructuring 54 (2021) 2, pp. 541-556

Persistent link: https://www.econbiz.de/10012543593

Fractional integration and structural breaks in bank share prices in Nigeria

Gil-Alaña, Luis A.; Yaya, OlaOluwa S.; Adepoju, Adedayo A. - In: Review of development finance 5 (2015) 1, pp. 13-23

Persistent link: https://www.econbiz.de/10011447216

Modelling cryptocurrency high-low prices using fractional cointegrating VAR

Yaya, OlaOluwa S.; Xuan Vinh Vo; Ogbonna, Ahamuefula E.; … - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 489-505

Persistent link: https://www.econbiz.de/10012814609

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

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

Estimating bull and bear betas for the Nigerian stock market using logistic smooth threshold model

Tumala, Mohammed M.; Yaya, OlaOluwa S. - In: CBN journal of applied statistics 6 (2015) 1, pp. 263-284

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...

Persistent link: https://www.econbiz.de/10011473527

Modelling Nigerian exchange rates with asymmetric GARCH models

Oluwadare, Ojo O.; Adepoju, Adedayo A.; Yaya, OlaOluwa S. - In: Estudios de economía aplicada : revista promovida por … 39 (2021) 2, pp. 381-393

Persistent link: https://www.econbiz.de/10012814115

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