There is increasing demand for models of time-varying and non-Gaussian dependencies for mul- tivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical...

If oil exporters stabilize the purchasing power of their export revenues in terms of imports, exchange rate developments (and particularly, developments in the US dollar/euro exchange rate) may contain information about oil price changes. This hypothesis depends on three conditions: (a) OPEC has...

Time series analysis of daily Nigerian Naira-US Dollar Exchange Rates (DNDER) data is conducted. The time plot reveals a positive trend. Seasonality of order 7 is observed; troughs tend to appear on Mondays and peaks on Fridays. Seasonal differencing once produced a series SDDNDER with a slightly...