Nigeria has been depending on oil as its major export commodity for decades leading to the neglect of other vital economic resources. This situation led to massive unemployment as a result of an undiversified economic system, which in turn created an alarming paucity of external accruals to...

Nigeria has been depending on oil as its major export commodity for decades leading to the neglect of other vital economic resources. This situation led to massive unemployment as a result of an undiversified economic system, which in turn created an alarming paucity of external accruals to...

This paper reports new evidence of a time-varying risk premium, and against the usual interpretation of irrationality, in survey data for three major currency markets. Using the cointegrated VAR to better focus on the issue of persistence, the deviations from Uncovered Interest Parity are found...

Differences in real interest rates across developed economies are puzzlingly large and persistent. I propose a simple explanation: Bonds issued in the currencies of larger economies are expensive because they insure against shocks that affect a larger fraction of the world economy. I show that...

L’approche multifractale en finance a fait dernierement l’objet de developpements theoriques que l’on doit principalement a Calvet et Fisher (2001, 2002). Dans cet article, nous presentons la modelisation multifractale (Multifractal Model of Asset Returns, MMAR) dont nous proposons une...

Abstract This paper seeks to estimate the long run behavioral equilibrium exchange rate in Nigeria. The empirical analysis builds on quarterly data from 1986Q1 to 2006Q4 and derives a Behavioral Equilibrium Exchange Rate (BEER) and a Permanent Equilibrium Exchange Rate (PEER). The econometric...

We show that bond risk-premia rise with uncertainty about expected inflation and fall with uncertainty about expected growth; the magnitude of return predictability using these two uncertainty measures is similar to that by multiple yields. Motivated by this evidence, we develop and estimate a...

This paper introduces a new family of portmanteau tests for serial correlation. Using the wavelet transform, we decompose the variance of the underlying process into the variance of its low frequency and of its high frequency components and we design a variance ratio test of no serial...

Abstract : This article aims to study the scaling behavior of the Algerian Dinar - US Dollar exchange rate using multifractal time series analysis which stems from the fractal theory first implemented by Benoît Mandelbrot in early 1960. Investigating time series properties using this technique...

This paper develops a wavelet (spectral) approach to estimate the parameters of a linear regression model where the regressand and the regressors are persistent processes and contain a measurement error. We propose a wavelet filtering approach which does not require instruments and yields...