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Details about Olaoluwa Simon Yaya

E-mail:
Homepage:http://orcid.org/0000-0002-7554-3507
Phone:+2347052185573
Postal address:Economic and Financial Statistics Unit Department of Statistics, University of Ibadan, Nigeria
Workplace:University of Ibadan, Department of Statistics
Centre for Econometric and Allied Research, University of Ibadan, (more information at EDIRC)

Access statistics for papers by Olaoluwa Simon Yaya.

Last updated 2021-02-18. Update your information in the RePEc Author Service.

Short-id: pya480


Jump to Journal Articles

Working Papers

2020

  1. Household Expenditure In Africa: Evidence Of Mean Reversion
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Life Expectancy in West African Countries: Evidence of Convergence and Catching Up with the North
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Long-range dependence and Trends in Nigerian Popular Music Artists’ Famosity-“Davido”, “Burna Boy”, “Tiwa Savage” and “Wizkid”: Evidence from Google Trends
    MPRA Paper, University Library of Munich, Germany Downloads
  4. Modelling Cryptocurrency High-Low Prices using Fractional Cointegrating VAR
    MPRA Paper, University Library of Munich, Germany Downloads
  5. The Persistence of Stock Market Returns during the Presidential elections in Nigeria
    MPRA Paper, University Library of Munich, Germany Downloads

2019

  1. A new unit root analysis for testing hysteresis in unemployment
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Are inflation rates in OECD countries actually stationary during 2011-2018? Evidence based on Fourier Nonlinear Unit root tests with Break
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  3. Do we Experience Day-of-the-week Effects in Returns and Volatility of Cryptocurrency?
    MPRA Paper, University Library of Munich, Germany Downloads
  4. Growth Slowdowns and Middle-Income Trap: Evidence from New Unit Root Framework
    MPRA Paper, University Library of Munich, Germany Downloads
  5. Hysteresis of Unemployment Rates in Africa: New Findings from Fourier ADF test
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    See also Journal Article in Quality & Quantity: International Journal of Methodology (2019)
  6. Influence of US Presidential Terms on S&P500 Index Using a Time Series Analysis Approach
    MPRA Paper, University Library of Munich, Germany Downloads
  7. Market Efficiency and Volatility Persistence of Cryptocurrency during Pre- and Post-Crash Periods of Bitcoin: Evidence based on Fractional Integration
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in International Journal of Finance & Economics (2021)

2018

  1. Can Western African countries catch up with Nigeria? Evidence from Smooth Nonlinearity method in Fractional Unit root framework
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Forecasting Nigerian Inflation using Model Averaging methods: Modelling Frameworks to Central Banks
    MPRA Paper, University Library of Munich, Germany Downloads
  3. High and Low Intraday Commodity Prices: A Fractional Integration and Cointegration Approach
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  4. How Persistent and Dependent are Pricing of Bitcoin to other Cryptocurrencies Before and After 2017/18 Crash?
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2019)
  5. How do Stocks in BRICS co-move with REITs?
    MPRA Paper, University Library of Munich, Germany Downloads
  6. Investigating Predictors of Inflation in Nigeria: BMA and WALS Techniques
    MPRA Paper, University Library of Munich, Germany Downloads
  7. Is there Convergence between the Brics and International Securitized Property Markets?
    AfRES, African Real Estate Society (AfRES) Downloads
  8. Is there convergence between the BRICS and International REIT Markets?
    MPRA Paper, University Library of Munich, Germany Downloads
  9. Modelling Long Range Dependence and Non-linearity in the Infant Mortality Rates of Africa Countries
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in International Advances in Economic Research (2020)
  10. Modelling crude oil-petroleum products’ price nexus using dynamic conditional correlation GARCH models
    MPRA Paper, University Library of Munich, Germany Downloads
  11. Testing Fractional Unit Roots with Non-linear Smooth Break Approximations using Fourier functions
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)

2017

  1. Another Look at the Stationarity of Inflation rates in OECD countries: Application of Structural break-GARCH-based unit root tests
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Statistics in Transition New Series (2018)
  2. Determinants of Desired and Actual Number of Children and the Risk of having more than Two Children in Ghana and Nigeria
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Investigating Structural break-GARCH-based Unit root test in US exchange rates
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

2016

  1. Market Efficiency of Baltic Stock Markets: A Fractional Integration Approach
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2018)
  2. Social Structure and Variation in the Family Formation Process: The Case of Age at First Marriage and Duration between First Marriage and First Birth in selected sub-Saharan African Countries
    MPRA Paper, University Library of Munich, Germany Downloads

2015

  1. Fractional integration and asymmetric volatility in european, asian and american bull and bear markets. Applications to high frequency stock data
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads View citations (6)
  2. Time Series Analysis of Persistence in Crude Oil Price Volatility across Bull and Bear Regimes
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Energy (2016)

2014

  1. GDP Per Capita in Africa before the Global Financial Crisis: Persistence, Mean Reversion and Long Memory Features
    MPRA Paper, University Library of Munich, Germany Downloads
  2. The Relationship Between Oil Prices and the Nigerian Stock Market, an Analysis Based on Fractional Integration and Cointegration
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads View citations (12)
    See also Journal Article in Energy Economics (2014)

2013

  1. Does Sunspot Numbers Cause Global Temperatures? Evidence from a Frequency Domain Causality Test
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics (2015)
  2. On the persistence and volatility in European, American and Asian stocks bull and bear markets
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads
    See also Journal Article in Journal of International Money and Finance (2014)

2011

  1. Long memory, strcutural breaks and mean shifts in the inflation rates in Nigeria
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads View citations (3)

2010

  1. On the Impact of Inflation and Exchange Rate on Conditional Stock Market Volatility: A Re-Assessment
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)

Journal Articles

2021

  1. Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration
    International Journal of Finance & Economics, 2021, 26, (1), 1318-1335 Downloads
    See also Working Paper (2019)

2020

  1. How do stocks in BRICS co-move with real estate stocks?
    International Review of Economics & Finance, 2020, 69, (C), 93-101 Downloads
  2. Investigating Asian regional income convergence using Fourier Unit Root test with Break
    International Economics, 2020, 161, (C), 120-129 Downloads
  3. Modelling Long-Range Dependence and Non-linearity in the Infant Mortality Rates of African Countries
    International Advances in Economic Research, 2020, 26, (3), 303-315 Downloads
    See also Working Paper (2018)

2019

  1. Assessing Market Efficiency And Volatility Of Exchange Rates in South Africa and United Kingdom: Analysis Using Hurst Exponent
    Journal of Developing Areas, 2019, 53, (1), 127-145 Downloads
  2. CPI INFLATION IN AFRICA: FRACTIONAL PERSISTENCE, MEAN REVERSION AND NONLINEARITY
    Statistics in Transition New Series, 2019, 20, (3), 119-132 Downloads
  3. Can West African countries catch up with Nigeria? Evidence from smooth nonlinearity method in fractional unit root framework
    International Economics, 2019, 158, (C), 51-63 Downloads View citations (1)
    Also in International Economics, 2019, (158), 51-63 (2019) Downloads View citations (1)
  4. How persistent and dynamic inter-dependent are pricing of Bitcoin to other cryptocurrencies before and after 2017/18 crash?
    Physica A: Statistical Mechanics and its Applications, 2019, 531, (C) Downloads View citations (6)
    See also Working Paper (2018)
  5. Hysteresis of unemployment rates in Africa: new findings from Fourier ADF test
    Quality & Quantity: International Journal of Methodology, 2019, 53, (6), 2781-2795 Downloads View citations (2)
    See also Working Paper (2019)
  6. Under-5 Mortality Rates in G7 Countries: Analysis of Fractional Persistence, Structural Breaks and Nonlinear Time Trends
    European Journal of Population, 2019, 35, (4), 675-694 Downloads View citations (2)

2018

  1. ANOTHER LOOK AT THE STATIONARITY OF INFLATION RATES IN OECD COUNTRIES: APPLICATION OF STRUCTURAL BREAK-GARCH-BASED UNIT ROOT TESTS
    Statistics in Transition New Series, 2018, 19, (3), 477-493 Downloads View citations (1)
    See also Working Paper (2017)
  2. Market efficiency of Baltic stock markets: A fractional integration approach
    Physica A: Statistical Mechanics and its Applications, 2018, 511, (C), 251-262 Downloads View citations (7)
    See also Working Paper (2016)
  3. Time Series Analysis of the Behaviour of Import and Export of Agricultural and Non-Agricultural Goods in West Africa: A Case Study of Nigeria
    AGRIS on-line Papers in Economics and Informatics, 2018, 10, (2) Downloads View citations (1)

2017

  1. The global financial crisis: Testing For Fractional Cointegration Between The Us And Nigerian Stock Markets
    Journal of Developing Areas, 2017, 51, (4), 29-47 Downloads View citations (1)
  2. Time series analysis of co-movements in the prices of gold and oil: Fractional cointegration approach
    Resources Policy, 2017, 53, (C), 117-124 Downloads View citations (8)

2016

  1. Testing unit roots, structural breaks and linearity in the inflation rates of the G7 countries with fractional dependence techniques
    Applied Stochastic Models in Business and Industry, 2016, 32, (5), 711-724 Downloads View citations (3)
  2. Time series analysis of persistence in crude oil price volatility across bull and bear regimes
    Energy, 2016, 109, (C), 29-37 Downloads View citations (18)
    See also Working Paper (2015)
  3. Time series analysis of volatility in the petroleum pricing markets: the persistence, asymmetry and jumps in the returns series
    OPEC Energy Review, 2016, 40, (3), 235-262 Downloads View citations (6)
  4. Volatility persistence and returns spillovers between oil and gold prices: Analysis before and after the global financial crisis
    Resources Policy, 2016, 49, (C), 273-281 Downloads View citations (23)

2015

  1. Do sunspot numbers cause global temperatures? Evidence from a frequency domain causality test
    Applied Economics, 2015, 47, (8), 798-808 Downloads View citations (6)
    See also Working Paper (2013)
  2. Fractional Integration and Asymmetric Volatility in European, American and Asian Bull and Bear Markets: Application to High‐frequency Stock Data
    International Journal of Finance & Economics, 2015, 20, (3), 276-290 Downloads View citations (6)
  3. Testing fractional persistence and non-linearities in the natural gas market: An application of non-linear deterministic terms based on Chebyshev polynomials in time
    Energy Economics, 2015, 52, (PA), 240-245 Downloads View citations (2)

2014

  1. Global temperatures and sunspot numbers. Are they related?
    Physica A: Statistical Mechanics and its Applications, 2014, 396, (C), 42-50 Downloads View citations (5)
  2. On the persistence and volatility in European, American and Asian stocks bull and bear markets
    Journal of International Money and Finance, 2014, 40, (C), 149-162 Downloads View citations (15)
    See also Working Paper (2013)
  3. The persistence and asymmetric volatility in the Nigerian stock bull and bear markets
    Economic Modelling, 2014, 38, (C), 463-469 Downloads View citations (8)
  4. The relationship between oil prices and the Nigerian stock market. An analysis based on fractional integration and cointegration
    Energy Economics, 2014, 46, (C), 328-333 Downloads View citations (10)
    See also Working Paper (2014)
 
Page updated 2021-03-04