This paper examined the application of nonlinear Smooth Transition-Generalized Autoregressive Conditional Heteroscedasticity (ST-GARCH) model of Hagerud on prices of banks’ shares in Nigeria. The methodology is informed by the failure of the conventional GARCH model to capture the asymmetric...

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...

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...

Most economic series have been analyzed on the assumption that they are integrated of order d that is I(d), where d is an integer. Such series exhibit a short memory process characterized with exponential decay in the autocorrelation function (ACF) sometimes with alternating signs after dth...

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...

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...