Dr. OlaOluwa Simon Yaya
My Social Links

Dr. OlaOluwa Simon Yaya

Assistant Lecturer
University of Ibadan, Nigeria

Highest Degree
Ph.D. in Statistics from University of Ibadan, Nigeria

Share this Profile

Biography

OlaOluwa S. Yaya has a PhD in Time Series analysis from University of Ibadan, Nigeria. He is a Senior Lecturer in University of Ibadan, Nigeria. He is International Research Fellow, University of Economics Ho Chi Minh City, Vietnam & Honorary Research Fellow at ILMA University, Pakistan. He is a Senior Research Fellow at the Centre for Econometric and Allied Research (CEAR) and Centre for Petroleum, Energy Economics and Law (CPEEL), University of Ibadan, Nigeria. He has undertaken a number of collaborative research works and as trainer to staff of the CBN Abuja HQ on Statistics, Machine Learning and Data mining and other aspects of the Banking works that requires his expertise. The researcher specializes in Economic and Financial Time Series modelling, Climate Change modelling, Time Series Econometrics, Data Mining and Pattern Recognition. His current research interests include Fractionally integrated processes, Fourier Unit root test for univariate and Panel such as Seemingly Unrelated Regression setup, Structural breaks, Seasonality, Nonlinearities in the context of I(d) models and Volatility modelling. He has over 100 publications to his credit.

Area of Interest:

Business Management and Accounting
100%
Sustainable Development
62%
Business Administration
90%
Resource Management
75%
Mathematical Statistics
55%

Research Publications in Numbers

Books
2
Chapters
1
Articles
121
Abstracts
4

Selected Publications

  1. Tiwari, A.K., E.J.A. Abakah, O.S. Yaya and K.O. Appiah, 2023. Tail risk dependence, co-movement and predictability between green bond and green stocks. Appl. Econ., 55: 201-222.
    CrossRef  |  Direct Link  |  
  2. Furuoka, F., O.S. Yaya, P.K. Ling, M.A.S. Al-Faryan and M.N. Islam, 2023. Transmission of risks between energy and agricultural commodities: Frequency time-varying VAR, asymmetry and portfolio management. Resour. Policy, Vol. 81. 10.1016/j.resourpol.2023.103339.
    CrossRef  |  Direct Link  |  
  3. Yaya, O.S., A.F. Lukman and X.V. Vo, 2022. Persistence and volatility spillovers of bitcoin price to gold and silver prices. Resour. Policy, Vol. 79. 10.1016/j.resourpol.2022.103011.
    CrossRef  |  Direct Link  |  
  4. Yaya, O.S., A.E. Ogbonna, O.A. Adesina, K.A. Alobaloke and X.V. Vo, 2022. Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses. Resour. Policy, Vol. 79. 10.1016/j.resourpol.2022.103036.
    CrossRef  |  Direct Link  |  
  5. Yaya, O.S., A.E. Ogbonna and X.V. Vo, 2022. Oil shocks and volatility of green investments: GARCH-MIDAS analyses. Resour. Policy, Vol. 78. 10.1016/j.resourpol.2022.102789.
    CrossRef  |  Direct Link  |  
  6. Yaya, O., 2022. Testing day-of-the-week persistence and seasonality in Spanish electricity energy prices. Energy Res. Lett., Vol. 4. 10.46557/001c.36619.
    CrossRef  |  Direct Link  |  
  7. Akintande, O.J., O.E. Olubusoye, O.S. Yaya and A.O. Abiodun, 2022. Explainable features responsible for the high or low spread of SARS-CoV-2: Africa in view. Sci. Afr., Vol. 17. 10.1016/j.sciaf.2022.e01301.
    CrossRef  |  Direct Link  |  
  8. Adekoya, O.B., O.S. Yaya, J.A. Oliyide and S.M.A. Posu, 2022. Growth and growth disparities in Africa: Are differences in renewable energy use, technological advancement, and institutional reforms responsible? Struct. Change Econ. Dyn., 61: 265-277.
    CrossRef  |  Direct Link  |  
  9. Adekoya, O.B., J.A. Oliyide, O.S. Yaya and M.A.S. Al-Faryan, 2022. Does oil connect differently with prominent assets during war? Analysis of intra-day data during the Russia-Ukraine saga. Resour. Policy, Vol. 77. 10.1016/j.resourpol.2022.102728.
    CrossRef  |  Direct Link  |  
  10. Yaya, O.S., X.V. Vo and H.A. Olayinka, 2021. Gold and silver prices, their stocks and market fear gauges: testing fractional cointegration using a robust approach. Resour. Policy, Vol. 72. 10.1016/j.resourpol.2021.102045.
    CrossRef  |  Direct Link  |  
  11. Yaya, O.S., O.A. Otekunrin and A.E. Ogbonna, 2021. Life expectancy in west African countries: evidence of convergence and catching up with the north. Stat. Transition New Ser., 22: 75-88.
    CrossRef  |  Direct Link  |  
  12. Yaya, O.S., L.A. Gil-Alana, O.B. Adekoya and X.V. Vo, 2021. How fearful are commodities and US stocks in response to global fear? Persistence and cointegration analyses. Resour. Policy, Vol. 74. 10.1016/j.resourpol.2021.102273.
    CrossRef  |  Direct Link  |  
  13. Yaya, O.S., A.E. Ogbonna, F. Furuoka and L.A. Gil‐Alana, 2021. A new unit root test for unemployment hysteresis based on the autoregressive neural network. Oxford Bull. Econ. Stat., 83: 960-981.
    CrossRef  |  Direct Link  |  
  14. Oluwadare, O.O., A.A. Adepoju and O.S. Yaya, 2021. Modelling Nigerian exchange rates with asymmetric garch models. Stud. Applied Econ., Vol. 39. 10.25115/eea.v39i2.2945.
    CrossRef  |  Direct Link  |  
  15. Olubusoye, O.E., O.J. Akintande, O.S. Yaya, A.E. Ogbonna and A.F. Adenikinju, 2021. Energy pricing during the COVID-19 pandemic: Predictive information-based uncertainty indexes with machine learning algorithm. Intell. Syst. Appl., Vol. 12. 10.1016/j.iswa.2021.200050.
    CrossRef  |  Direct Link  |  
  16. Olubusoye, O.E., A.E. Ogbonna, O.S. Yaya and D. Umolo, 2021. An information‐based index of uncertainty and the predictability of energy prices. Int. J. Energy Res., 45: 10235-10249.
    CrossRef  |  Direct Link  |  
  17. Gil-Alana, L.A., R. Mudida and O.S. Yaya et al., 2021. Mapping us presidential terms with S&P 500 index: time series analysis approach.
    Int. J. Finance Econ., 26: 1938-1954.
    Direct Link  |  
  18. Awolaja, O.G., O.S. Yaya, A.E. Ogbonna, S.O. Joseph and X.V. Vo, 2021. Unemployment hysteresis in middle east and north Africa countries: panel sur-based unit root test with a fourier function. Middle East Dev. J., 10.1080/17938120.2021.1958587.
    CrossRef  |  Direct Link  |  
  19. Akinsomi, O., Y. Coskun, L.A. Gil-Alana and O.S. Yaya, 2021. Is there convergence between BRICS listed property stocks and international reits? J. Real Estate Portfolio Manage., 27: 29-42.
    CrossRef  |  Direct Link  |  
  20. Adejumo, P., I. Ojo and M. Abiona et al., 2021. Final year nursing students’ knowledge of genomic concepts and readiness for use in practice in selected federal institutions in southwest Nigeria.
    Ann. Nurs. Pract., Vol. 8. .
  21. Yaya, O.S., X.V. Vo, A.E. Ogbonna and A.O. Adewuyi, 2020. Modelling cryptocurrency high–low prices using fractional cointegrating var. Int. J. Finance Econ., 10.1002/ijfe.2164.
    CrossRef  |  Direct Link  |  
  22. Yaya, O.S., O.G. Awolaja, I.M. Okedina and X.V. Vo, 2020. Air quality level in california us state: persistence and seasonality. Theor. Applied Climatol., 142: 1471-1479.
    CrossRef  |  Direct Link  |  
  23. Yaya, O.S., N. Abu and T.P. Ogundunmade, 2020. Economic policy uncertainty in G7 countries: evidence of long-range dependence and cointegration. Econ. Change Restructuring, 54: 541-556.
    CrossRef  |  Direct Link  |  
  24. Yaya, O.S., F. Furuoka, K.L. Pui, R.I. Jacob and C.M. Ezeoke, 2020. Investigating asian regional income convergence using fourier unit root test with break. Int. Econ., 161: 120-129.
    CrossRef  |  Direct Link  |  
  25. Yaya, O.S., A.E. Ogbonna, R. Mudida and N. Abu, 2020. Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of bitcoin: evidence based on fractional integration. Int. J. Finance Econ., 26: 1318-1335.
    CrossRef  |  Direct Link  |  
  26. Yaya, O.S. and X.V. Vo, 2020. Statistical analysis of rainfall and temperature (1901–2016) in south-east asian countries. Theor. Applied Climatol., 142: 287-303.
    CrossRef  |  Direct Link  |  
  27. Yaya, O.S. and L.A. Gil-Alana, 2020. Modelling long-range dependence and non-linearity in the infant mortality rates of African countries. Int. Adv. Econ. Res., 26: 303-315.
    CrossRef  |  Direct Link  |  
  28. Gil-Alana, L.A., O.S. Yaya, O.G. Awolaja and L. Cristofaro, 2020. Long memory and time trends in particulate matter pollution (PM2.5 and PM10) in the 50 U.S. states. J. Applied Meteorol. Climatol., 59: 1351-1367.
    CrossRef  |  Direct Link  |  
  29. Gil-Alana, L.A., O.S. Yaya, O. Akinsomi and Y. Coskun, 2020. How do stocks in brics co-move with real estate stocks? Int. Rev. Econ. Finance, 69: 93-101.
    CrossRef  |  Direct Link  |  
  30. Gil-Alana, L.A., O.S. Yaya and N. Carmona-González, 2020. Air quality in london: evidence of persistence, seasonality and trends. Theor. Applied Climatol., 142: 103-115.
    CrossRef  |  Direct Link  |  
  31. Gil-Alana, L.A. and O.S. Yaya, 2020. Testing fractional unit roots with non-linear smooth break approximations using fourier functions. J. Applied Stat., 48: 2542-2559.
    CrossRef  |  Direct Link  |  
  32. Furuoka, F., K.L. Pui, C. Ezeoke, R.I. Jacob and O.S. Yaya, 2020. Growth slowdowns and middle-income trap: evidence from new unit root framework. Singapore Econ. Rev., 10.1142/s0217590820500083.
    CrossRef  |  Direct Link  |  
  33. Babatunde, O.T., O.S. Yaya and A.V. Oladugba, 2020. Investigating the specification of the distributional assumption of the innovations of generalized autoregressive score model with its variants. Int. J. Appl. Math. Stat., 59: 118-128.
    Direct Link  |  
  34. Yaya, O.S., P.K. Ling, F. Furuoka, C.M.R. Ezeoke and R.I. Jacob, 2019. Can western african countries catch up with nigeria? evidence from smooth nonlinearity method in fractional unit root framework. Int. Econ., /10.1016/j.inteco.2019.02.004.
    CrossRef  |  Direct Link  |  
  35. Yaya, O.S., L.A. Gil-Alana and A.Y. Amoateng, 2019. Under 5 mortality rates in G7 countries: analysis of fractional persistence, structural breaks and nonlinear time trends. Eur. J. Popul., 35: 1-20.
    Direct Link  |  
  36. Yaya, O.S., L. Saka and O.B. Akanbi, 2019. Assessing market efficiency and volatility of exchange rates in South Africa and United Kingdom: Analysis using Hurst exponent. J. Dev. Areas, 53: 127-145.
    CrossRef  |  Direct Link  |  
  37. Yaya, O.S., A.E. Ogbonna and N.V. Atoi, 2019. Are inflation rates in OECD countries actually stationary during 2011-2018? Evidence based on fourier nonlinear unit root tests with break. J. Empirical Rev., Vol. 9 .
    Direct Link  |  
  38. Yaya, O.S. and O.J. Akintande, 2019. Investigating long range dependence, nonlinear trend and breaks in historical sea-surface and land-air-surface global and regional temperature anomalies. Theor. Appl. Climatol., 136: 1-9.
    CrossRef  |  
  39. Gil-Alana, L.A., O.S. Yaya and A.F. Fagbamigbe, 2019. Time series analysis of quarterly rainfall and temperature (1900-2012) in sub-saharan african countries. Theor. Appl. Climatol., 4: 1-16.
    Direct Link  |  
  40. Babatunde, O.T., O.S. Yaya and D.M. Akinlana, 2019. Misspecification of generalized autoregressive score models: Monte carlo simulations and applications. Int. J. Math. Trends Technol., 65: 72-80.
    CrossRef  |  Direct Link  |  
  41. Yaya, O.S., O.I. Shittu, F.J. Ayoola and O.G. Olutayo, 2018. Median realized variation as a robust volatility measure for estimating heterogeneous autoregressive model in the presence of asymmetry, jumps and structural breaks. Niger. J. Securities Market, 3: 12-28.
  42. Yaya, O.S., O.D. Osanyintupin and O.J. Akintande, 2018. Determinants of desired and actual number of children and the risk of having more than two children in Ghana and Nigeria. Afr. J. Applied Stat., 5: 403-418.
    CrossRef  |  Direct Link  |  
  43. Yaya, O.S., L.A. Gil-Alana and A.Y. Amoateng, 2018. Under-5 mortality rates in G7 countries: Analysis of fractional persistence, structural breaks and nonlinear time trends. Eur. J. Popul., (In Press). 10.1007/s10680-018-9499-8.
    CrossRef  |  Direct Link  |  
  44. Yaya, O.S., 2018. Another look at the stationarity of inflation rates in OECD countries: Application of structural break-GARCH-based unit root tests. Stat. Transit. New Ser., 19: 477-492.
  45. Yaya, O.S. and O.J. Akintande, 2018. Long-range dependence, nonlinear trend, and breaks in historical sea surface and land air surface global and regional temperature anomalies. Theoret. Applied Climatol., (In Press). 10.1007/s00704-018-2592-4.
    CrossRef  |  Direct Link  |  
  46. Tumala, M.M., O.E. Olubusoye, B.N. Yaaba, O.S. Yaya and O.B. Akanbi, 2018. Investigating predictors of inflation in Nigeria: BMA and WALS techniques. Afr. J. Applied Stat., 5: 301-321.
    CrossRef  |  Direct Link  |  
  47. Shittu, O.I., A. Oyinloye and O.S. Yaya, 2018. Autoregressive time series modeling with asymmetric error innovations. Trans. Niger. Assoc. Math. Phys., 6: 190-199.
  48. Onianwa, P.O., I.O. Adubi, T.O. Alonge, A.J. Otegbayo and O.S. Yaya et al., 2018. Super LED lamps and compact fluorescent lamps in the management of neonatal jaundice. Afr. J. Nurs. Midwifery, Vol. 20, No. 2. 10.25159/2520-5293/3657.
    CrossRef  |  Direct Link  |  
  49. Gil-Alana, L.A., R. Gupta, O.I. Shittu and O.S. Yaya, 2018. Market efficiency of Baltic stock markets: A fractional integration approach. Physica A: Stat. Mech. Applic., 511: 251-262.
    CrossRef  |  Direct Link  |  
  50. Gil-Alana, L.A., O.S. Yaya and A.F. Fagbamigbe, 2018. Time series analysis of quarterly rainfall and temperature (1900-2012) in sub-Saharan African countries. Theoret. Applied Climatol., (In Press). 10.1007/s00704-018-2583-5.
    CrossRef  |  Direct Link  |  
  51. Awe, O.O., D.M. Akinlana, O.S. Yaya and O. Aromolaran, 2018. 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 Pap. Econ. Inform., 10: 15-22.
    CrossRef  |  Direct Link  |  
  52. Yaya, O.S., S. Luqman, D.M. Akinlana, M.M. Tumala and A.E. Ogbonna, 2017. Oil price-US dollar exchange returns and volatility spillovers in OPEC member countries: Post global crisis period's analysis. Afr. J. Applied Stat., 4: 191-208.
    Direct Link  |  
  53. Yaya, O.S., L.A. Gil-Alana and O.E. Olubusoye, 2017. The global financial crisis: Testing for fractional cointegration between the US and Nigerian stock markets. J. Dev. Areas, 51: 29-47.
    CrossRef  |  Direct Link  |  
  54. Shittu, O.I., E.A. Adeyemo, O.S. Yaya, F.J. Ayoola and T.I. Shittu, 2017. Development of new information criterion for model order determination in time series modeling. Proc. 1st Int. Conf. Niger. Stat. Soc., 1: 78-82.
  55. Onianwa, P.O., T.O. Alonge, J.A. Otegbayo, E.U. Ike and F.O. Chukura et al., 2017. Pain as 5th vital sign: Impact of pain assessment training program on Nigerian nurses knowledge of pain management. Int. J. Nurs. Midwifery, 9: 129-135.
    CrossRef  |  Direct Link  |  
  56. Gil-Alana, L.A., O.S. Yaya and O.O. Awe, 2017. Time series analysis of co-movements in the prices of gold and oil: Fractional cointegration approach. Resour. Policy, 53: 117-124.
    CrossRef  |  Direct Link  |  
  57. Amoateng, A.Y., M.B. Setlalentoa and O.S. Yaya, 2017. Socio-demographic correlates of volunteerism among undergraduate students at North-West University, South Africa. S. Afr. Rev. Sociol., 48: 21-45.
    CrossRef  |  Direct Link  |  
  58. Yaya, O.S., M.M. Tumala and C.G. Udomboso, 2016. Volatility persistence and returns spillovers between oil and gold prices: Analysis before and after the global financial crisis. Resources Policy, 49: 273-281.
    CrossRef  |  Direct Link  |  
  59. Yaya, O.S., D.M. Akinlana and O.I. Shittu, 2016. Modelling Nigerian banks' share prices using smooth transition GARCH models. CBN J. Applied Stat., 7: 137-157.
    Direct Link  |  
  60. Yaya, O.S., A.S. Bada and N.V. Atoi, 2016. Volatility in the Nigerian stock market: Empirical application of beta-t-GARCH variants. CBN J. Applied Stat., 7: 27-48.
    Direct Link  |  
  61. Yaya, O.S. and O.I. Shittu, 2016. Symmetric variants of logistic smooth transition autoregressive models: Monte Carlo evidences. J. Mod. Applied Stat. Methods, 15: 711-737.
    CrossRef  |  Direct Link  |  
  62. Olubusoye, O.E., O.S. Yaya and O.O. Ojo, 2016. Misspecification of variants of autoregressive GARCH models and effect on in-sample forecasting. J. Mod. Applied Stat. Methods, 15: 350-361.
    CrossRef  |  Direct Link  |  
  63. Olubusoye, O.E. and O.S. Yaya, 2016. Time series analysis of volatility in the petroleum pricing markets: The persistence, asymmetry and jumps in the returns series. OPEC Energy Rev., 40: 235-262.
    CrossRef  |  Direct Link  |  
  64. Gil-Alana, L.A., R. Gupta, O.E. Olubusoye and O.S. Yaya, 2016. Time series analysis of persistence in crude oil price volatility across bull and bear regimes. Energy, 109: 29-37.
    CrossRef  |  Direct Link  |  
  65. Gil-Alana, L.A., O.S. Yaya and E.A. Solademi, 2016. Testing unit roots, structural breaks and linearity in the inflation rates of the G7 countries with fractional dependence techniques. Applied Stochastic Models Bus. Ind., 32: 711-724.
    CrossRef  |  Direct Link  |  
  66. Yaya, O.S., O.I. Shittu and M.M. Tumala, 2015. Comparing predictive accuracy of nonlinear asymmetric volatility models: Evidence from the Nigerian Bank share prices. J. Niger. Stat. Assoc., 27: 1-17.
  67. Yaya, O.S., L.A. Gil-Alana and H. Carcel, 2015. 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 Econ., 52: 240-245.
    CrossRef  |  Direct Link  |  
  68. Yaya, O.S., L.A. Gil-Alana and A.A. Akomolafe, 2015. Long memory, seasonality and time trends in the average monthly rainfall in major cities of Nigeria. CBN J. Applied Stat., 6: 39-58.
    Direct Link  |  
  69. Yaya, O.S. and O.A. Fashae, 2015. Seasonal fractional integrated time series models for rainfall data in Nigeria. Theoret. Applied Climatol., 120: 99-108.
    CrossRef  |  Direct Link  |  
  70. Yaya, O.O.S., L.A. Gil-Alana and O.I. Shittu, 2015. Fractional integration and asymmetric volatility in European, American and Asian bull and bear markets: Application to high-frequency stock data. Int. J. Finance Econ., 20: 276-290.
    CrossRef  |  Direct Link  |  
  71. Tumala, M.M. and O.S. Yaya, 2015. Estimating bull and bear betas for the Nigerian stock market using logistic smooth threshold model. CBN J. Applied Stat., 6: 263-284.
    Direct Link  |  
  72. Gupta, R., L.A. Gil-Alana and O.S. Yaya, 2015. Do sunspot numbers cause global temperatures? Evidence from a frequency domain causality test. Applied Econ., 47: 798-808.
    CrossRef  |  Direct Link  |  
  73. Gil-Alana, L.A., O.S. Yaya and O.I. Shittu, 2015. GDP per capita in Africa before the global financial crisis: Persistence, mean reversion and long memory features. CBN J. Applied Stat., 6: 219-239.
    Direct Link  |  
  74. Gil-Alana, L.A., O.S. Yaya and A.A. Adepoju, 2015. Fractional integration and structural breaks in bank share prices in Nigeria. Rev. Dev. Finance, 5: 13-23.
    CrossRef  |  Direct Link  |  
  75. Yaya, O.S., O.E. Olubusoye and O.O. Ojo, 2014. Estimates and forecasts of GARCH model under misspecified probability distributions: A Monte Carlo simulation approach. J. Mod. Applied Stat. Methods, 13: 479-492.
    CrossRef  |  Direct Link  |  
  76. Yaya, O.S. and O.I. Shittu, 2014. Specifying asymmetric STAR models with linear and nonlinear GARCH innovations: Monte Carlo approach. J. Mod. Applied Stat. Methods, 13: 410-430.
    CrossRef  |  Direct Link  |  
  77. Yaya, O.S. and O.I. Shittu, 2014. Quick Summary to Time Series Analysis (Questions and Answers Approach). Fasco Publisher, Nigeria, ISBN 978-978-935-889-2, Pages: 95.
  78. Yaya, O.S. and O.I. Shittu, 2014. Naira exchange rate volatility: Linear or nonlinear GARCH specifications? J. Niger. Stat. Assoc., 26: 78-87.
  79. Yaya, O.S. and L.A. Gil-Alana, 2014. The persistence and asymmetric volatility in the Nigerian stock bull and bear markets. Econ. Modell., 38: 463-469.
    CrossRef  |  Direct Link  |  
  80. Olawuyi, O.J., S.G. Jonathan, F.E. Babatunde, B.J. Babalola and O.S. Yaya et al., 2014. Accession × treatment interaction, variability and correlation studies of pepper (Capsicum spp.) under the influence of arbuscular mycorrhiza fungus (Glomus clarum) and cow dung. Am. J. Plant Sci., 5: 683-690.
    CrossRef  |  Direct Link  |  
  81. Olalekan, A.A., O.O. Joseph, A.M. Akindele, Y.O. Simon and O.A. Christopher, 2014. Interactive effects of some botanicals and Fusarium spp. on the growth of millet seedlings. Res. Plant Biol., 4: 1-11.
    Direct Link  |  
  82. Gil-Alana, L.A., O.S. Yaya and O.I. Shittu, 2014. Global temperatures and sunspot numbers. Are they related? Physica A: Stat. Mech. Applic., 396: 42-50.
    CrossRef  |  Direct Link  |  
  83. Gil-Alana, L.A., O.I. Shittu and O.S. Yaya, 2014. On the persistence and volatility in European, American and Asian stocks bull and bear markets. J. Int. Money Finance, 40: 149-162.
    CrossRef  |  Direct Link  |  
  84. Gil-Alana, L.A. and O.S. Yaya, 2014. The relationship between oil prices and the Nigerian stock market. An analysis based on fractional integration and cointegration. Energy Econ., 46: 328-333.
    CrossRef  |  Direct Link  |  
  85. Yaya, O.S., 2013. Nigerian stock index: A search for optimal GARCH model using high frequency data. CBN J. Applied Stat., 4: 69-85.
    Direct Link  |  
  86. Yaya, O., O. Shittu and M. Tumala, 2013. Estimates of bull and bear parameters in smooth threshold parameter nonlinear market model: A comparative study between Nigerian and foreign stock markets. Eur. J. Bus. Manage., 5: 107-123.
    Direct Link  |  
  87. Adepoju, A.A., O.S. Yaya and O.O. Ojo, 2013. Estimation of GARCH models for Nigerian exchange rates under non-Gaussian innovations. J. Econ. Sustain. Dev., 4: 88-97.
    Direct Link  |  
  88. Yaya, O.S. and O.I. Shittu, 2012. STA 331 Lecture Note: Statistical Computing III. 1st Edn., Distance Learning Centre, University of Ibadan, Nigeria..
  89. Shittu, O.I., R.A. Yemitan and O.S. Yaya, 2012. On autoregressive distributed lag, cointegration and error correction model: An application to some Nigerian macroeconomic variables. Aust. J. Bus. Manage. Res., 2: 56-62.
    Direct Link  |  
  90. Shittu, O.I., O.S. Yaya and R.A. Yemitan, 2012. On structural breaks and nonstationary fractional intergration in time series. Eur. J. Bus. Manage., 4: 40-55.
    Direct Link  |  
  91. Shittu, O.I., K.A. Adepoju and O.S. Yaya, 2012. Statistical properties of generalized alternative beta distribution of the second kind. J. Math. Sci., 23: 353-365.
  92. Shittu, O.I., K.A. Adepoju and O.S. Yaya, 2012. On the convoluted beta-exponential distribution. J. Mod. Math. Stat., 6: 14-22.
    Direct Link  |  
  93. Gil-Alana, L.A., O.I. Shittu and O.S. Yaya, 2012. Long memory, structural breaks and mean shifts in the inflation rates in Nigeria. Afr. J. Bus. Manage., 6: 888-897.
    Direct Link  |  
  94. Shittu, O.I. and O.S. Yaya, 2011. On the Autoregressive Fractional Unit Integrated Moving Average (ARFUIMA) process. J. Sustain. Dev. Afr., 13: 225-232.
  95. Shittu, O.I. and O.S. Yaya, 2011. Introduction to Time Series Analysis. Revised Edn., Fasco Publisher, Nigeria, ISBN 978-240-083, Pages: 297.
  96. Yaya, O.S. and O.I. Shittu, 2010. On the impact of inflation and exchange rate on conditional stock market volatility: A re-assessment. Am. J. Scient. Ind. Res., 1: 115-117.
    Direct Link  |  
  97. Yaya, O.S. and O.I. Shittu, 2010. Long memory and estimation of memory parameters: Nigerian and US inflation rates. Int. J. Phys. Sci., 2: 120-131.
  98. Shittu, O.I. and O.S. Yaya, 2010. On fractionally integrated logistic smooth transitions in time series. Am. J. Scient. Ind. Res., 1: 439-447.
    Direct Link  |  
  99. Shittu, O.I., O.S. Yaya and E.S. Oguntade, 2009. Modelling volatility of stock returns on the Nigerian stock exchange. Global J. Math. Stat., 1: 87-94.
  100. Shittu, O.I. and O.S. Yaya, 2009. Measuring forecast performance of ARMA and ARFIMA models: An application to US Dollar/UK pound foreign exchange rate. Eur. J. Scient. Res., 32: 167-176.
  101. Shittu, O.I. and O.S. Yaya, 2009. Comparison of the efficiency of estimation techniques for differencing parameter of fractional integrated time series. Adv. Theoret. Applied Math., 4: 63-76.