Search Results - "Yaya, OlaOluwa S."

Volatility persistence and returns spillovers between oil and gold prices: Analysis before and after the global financial crisis by Yaya, OlaOluwa S., Tumala, Mohammed M., Udomboso, Christopher G.

“…This paper investigated volatility persistence and returns spillovers between oil and gold markets using daily historical data from 1986 to 2015 partitioned…”
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How do leading stock markets in America and Europe connect to Asian stock markets? Quantile dynamic connectedness by Yaya, OlaOluwa S., Zhang, Miao, Xi, Han, Furuoka, Fumitaka

“…We used the quantile vector autoregressive (QVAR) dynamic connectedness framework to examine whether leading stock markets in America and Europe would have any…”
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Time series analysis of quarterly rainfall and temperature (1900–2012) in sub-Saharan African countries by Gil-Alana, Luis A., Yaya, OlaOluwa S., Fagbamigbe, Adeniyi F.

“…In this paper, we examine the statistical properties of rainfall data and temperature in six sub-Saharan African countries in the western, eastern, and…”
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Stock market responses to COVID-19: The behaviors of mean reversion, dependence and persistence by Coskun, Yener, Akinsomi, Omokolade, Gil-Alana, Luis A., Yaya, OlaOluwa S.

“…We examine stock market responses during the COVID-19 pandemic period using fractional integration techniques. The evidence suggests that stock markets…”
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Long Memory Cointegration in the Analysis of Maximum, Minimum and Range Temperatures in Africa: Implications for Climate Change by Yaya, OlaOluwa S., Adesina, Oluwaseun A., Olayinka, Hammed A., Ogunsola, Oluseyi E., Gil-Alana, Luis A.

“…This paper deals with the analysis of the temperatures in a group of 36 African countries. By looking at the maximum, minimum and the range (the difference…”
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Explainable features responsible for the high or low spread of SARS-CoV-2: Africa in view by Akintande, Olalekan J., Olubusoye, Olusanya E., Yaya, OlaOluwa S., Abiodun, Adeyinka O.

“…The low spread of the global pandemic in Africa has raised concerns. Consequently, many commentators have misconstrued concerns suspecting weather, and…”
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Long memory cointegration and dynamic connectedness of volatility in US dollar exchange rates, with FOREX portfolio investment strategy by Ajao, Isaac O., Olayinka, Hammed A., Olugbode, Moruf A., Yaya, OlaOluwa S., Shittu, Olanrewaju I.

“…Decisions of central banks on foreign exchange rates are based on the comovement of foreign exchange (FOREX) in mature markets such as US dollar rates to the…”
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Does oil connect differently with prominent assets during war? Analysis of intra-day data during the Russia-Ukraine saga by Adekoya, Oluwasegun B., Oliyide, Johnson A., Yaya, OlaOluwa S., Al-Faryan, Mamdouh Abdulaziz Saleh

“…The ongoing Russia-Ukraine war is obviously the most prominent war in Europe since the second world war, changing the dynamics of the oil and other prominent…”
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Testing fractional unit roots with non-linear smooth break approximations using Fourier functions by Gil-Alana, Luis A., Yaya, OlaOluwa S.

“…In this paper, we present a testing procedure for fractional orders of integration in the context of non-linear terms approximated by Fourier functions. The…”
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Persistence and volatility spillovers of bitcoin price to gold and silver prices by Yaya, OlaOluwa S., Lukman, Adewale F., Vo, Xuan Vinh

“…The paper investigates persistence, returns and volatility spillovers from the bitcoin market to the gold and silver markets using daily datasets from January…”
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How persistent and dynamic inter-dependent are pricing of Bitcoin to other cryptocurrencies before and after 2017/18 crash? by Yaya, OlaOluwa S., Ogbonna, Ahamuefula E., Olubusoye, Olusanya E.

“…The present paper investigates persistence and inter-dependence of bitcoin on other popular alternative coins. We employ fractional integration approach in our…”
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A New Unit Root Test for Unemployment Hysteresis Based on the Autoregressive Neural Network by Yaya, OlaOluwa S., Ogbonna, Ahamuefula E., Furuoka, Fumitaka, Gil‐Alana, Luis A.

“…This paper proposes a nonlinear unit root test based on the autoregressive neural network process for testing unemployment hysteresis. In this new unit root…”
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Oil shocks and volatility of green investments: GARCH-MIDAS analyses by Yaya, OlaOluwa S., Ogbonna, Ahamuefula E., Vo, Xuan Vinh

“…This study examines how market volatility of five green investments (Standard & Poor's - S&P [Green bond select index and Green bond index] and Morgan Stanley…”
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An investigation into the relationship between sugarcane and grain prices in Brazil: a fractional cointegration approach by Quintino, Derick D., Yaya, OlaOluwa S., Ogino, Cristiane, Ferreira, Paulo

“…We investigate cointegration in prices of corn, soybean and sugarcane in Brazil using a fractional integration analysis, fractional cointegration in a pairwise…”
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An information‐based index of uncertainty and the predictability of energy prices by Olubusoye, Olusanya E., Ogbonna, Ahamuefula E., Yaya, OlaOluwa S., Umolo, David

“…Summary We develop an index of uncertainty, the COVID‐19 induced uncertainty (CIU) index, and employ it to empirically examine the vulnerability of energy…”
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Stock market prices and Dividends in the US: Bubbles or Long-run equilibria relationships? by Dettoni, Robinson, Gil-Alana, Luis A., Yaya, OlaOluwa S.

“…This paper presents a novel approach to identifying potential bubbles in the US stock market by employing alternative time series methods based on long memory,…”
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Statistical analysis of rainfall and temperature (1901–2016) in south-east Asian countries by Yaya, OlaOluwa S., Vo, Xuan Vinh

“…The present paper investigates the time-series properties of average rainfall and temperature readings of countries in Southeast Asia (Brunei, Cambodia,…”
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Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration by Yaya, OlaOluwa S., Ogbonna, Ahamuefula E., Mudida, Robert, Abu, Nuruddeen

“…This article investigates both market efficiency and volatility persistence in 12 cryptocurrencies during pre‐crash and post‐crash periods. The article…”
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Long Memory and Time Trends in Particulate Matter Pollution (PM2.5 and PM10) in the 50 U.S. States by Gil-Alana, Luis A., Yaya, OlaOluwa S., Awolaja, Oladapo G., Cristofaro, Lorenzo

“…This paper focuses on the analysis of the time series behavior of the air quality in the 50 U.S. states by looking at the statistical properties of particulate…”
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Market efficiency of Baltic stock markets: A fractional integration approach by Gil-Alana, Luis A., Gupta, Rangan, Shittu, Olanrewaju I., Yaya, OlaOluwa S.

“…We investigate financial market efficiency in the time series of four daily Baltic stock market indices, namely: Baltic Benchmark Gross Index (OMXBBGI), all…”
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