This paper examines the time series properties of sea level rise and the surface temperature data along the Barrier Coast of Nigeria. In particular, we focus on the seasonality and the degree of persistence of the series, measured in terms of seasonal and non-seasonal unit roots along with...

This paper applies the causality test in the frequency domain, developed by Breitung and Candelon (2006), to analyze whether sunspot numbers cause global temperatures, using monthly data covering the time period 1880:1-2013:9. While, standard time domain Granger causality test fails to reject...

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...

In this paper we examine the statistical properties of several stock market indices in Europe, the US and Asia by means of determining the degree of dependence in both the level and the volatility of the processes. In the latter case, we use the squared returns as a proxy for the volatility. We...

We examine the relationship between oil prices and the stock market in Nigeria. We focus on the degree of persistence of the series, and based on the similarities observed between the two series, a fractionally cointegrated framework is proposed. The results indicate that the two series display...

This paper deals with the analysis of global temperatures and sunspot numbers and the relationship between the two. We use techniques based on the concept of long range dependence. For the temperatures, the best specification seems to be a fractionally integrated or I(d) model with an order of...

This paper examined the long memory features of GDP per capita data before the global financial crisis, using a sample of 26 African countries. The study employed fractional integration and tested the stability of the differencing parameter across the sample period for each country. The results...

Several features may be present in rainfall data, and sophisticated time series procedures are needed for the analysis. These features are that of seasonality, long range dependency of observations and time trend as observed in the climatological series. This paper therefore considered the...

This paper examined the long memory features of GDP per capita data before the global financial crisis, using a sample of 26 African countries. The study employed fractional integration and tested the stability of the differencing parameter across the sample period for each country. The results...