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A moving average heterogeneous autoregressive model for forecasting the realized volatility of the US stock market : evidence from over a century of data

Salisu, Afees A.; Gupta, Rangan; Ogbonna, Ahamuefula E. - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 384-400

Persistent link: https://www.econbiz.de/10012814585

Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - In: The quarterly review of economics and finance 95 (2024), pp. 280-293

Persistent link: https://www.econbiz.de/10014631538

Geopolitical risk and stock market volatility in emerging markets : a GARCH - MIDAS approach

Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Lasisi, … - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013538937

Tail risks and forecastability of stock returns of advanced economies : evidence from centuries of data

Salisu, Afees A.; Gupta, Rangan; Ogbonna, Ahamuefula Ephraim - In: The European journal of finance 29 (2023) 4, pp. 466-481

Persistent link: https://www.econbiz.de/10014322538

Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - 2023

Persistent link: https://www.econbiz.de/10014443108

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

The persistence and asymmetric volatility in the Nigerian stock bull and bear markets

Yaya, OlaOluwa S.; Gil-Alaña, Luis A. - In: Economic modelling 38 (2014), pp. 463-469

Persistent link: https://www.econbiz.de/10010419012

The Persistence of Stock Market Returns During the Presidential Elections in Nigeria

Yaya, OlaOluwa S. - 2020

Following empirical evidences that political activities impact stock market performance, this present paper examines efficiency and volatility of Nigerian stock market during presidential elections. We use a 5-month event window approach to obtain the data for each election period. This implies...

Persistent link: https://www.econbiz.de/10012838213