Dr. Yaya O.S.

Contact:

os.yaya@mail.ui.edu.ng

NAME: OlaOluwa Simon YAYA

Dr. OlaOluwa Simon YAYA

Academic and Professional Qualifications

B.Sc. Mathematical Sciences (Statistics)(Abeokuta), M.Sc., Ph.D.(Statistics) (Ibadan)

LECTURER I

Area of Specialization

Office

Department of Statistics

Mathematics and Statistics Complex:

Room 005, Ground Floor.

Tel: +2348094841881,

+2347052185573

Email: os.yaya@ui.edu.ng

Current Research

Modelling Nigerian inflation
Modelling asymmetry and jumps in intraday volatility
Modeling nonlinearity and fractional persistence in time Series

Publications

Shittu, O.I. and Yaya, O.S. (2009). Measuring Forecast Performance of ARMA and ARFIMA Models: An Application to US Dollar/UK Pound Foreign Exchange Rate. European Journal of Scientific Research 32 (2): 167-176.

Shittu, O.I., Yaya, O.S. and Oguntade, E.S. (2009): Modelling Volatility of Stock Returns on the Nigerian Stock Exchange. Global Journal of Mathematics and Statistics, 1 (2): 87-94.

Shittu, O.I. and Yaya, O.S. (2009). Comparison of the Efficiency of Estimation Techniques for Differencing Parameter of Fractional Integrated Time Series. Advances in Theoretical and Applied Mathematics, 4 (1): 63–76.

Yaya, O.S. and Shittu, O.I. (2010). Long Memory and Estimation of Memory Parameters: Nigerian and US Inflation Rates. International Journal of Physical Sciences, 2(3): 120-131.

Yaya, O.S. and Shittu, O.I. (2010). On the Impact of Inflation and Exchange Rate on

Conditional Stock Market Volatility: A Re-Assessment. American Journal of Scientific and Industrial Research, 1(2):115-117.

Shittu, O.I. and Yaya, O.S. (2011). On Fractionally Integrated Logistic Smooth Transitions in Time Series. Central Bank of Nigeria Journal of Applied Statistics, 2(1): 1-13.

Shittu, O.I. and Yaya, O.S. (2011). On the Autoregressive Fractional Unit Integrated Moving Average (ARFUIMA) Process. Journal of Sustainable Development in Africa, 13 (5): 225-232.

Yaya, O.S. and Shittu, O.I. (2011): On Misspecification of Exponential Transition Models with GARCH Error Terms: The Monte Carlo Evidence. Proceedings of the 58^th World Statistical Congress of International Statistical Institute, Dublin. Section CPS001: pp. 5907-5912

Shittu, O.I. and Yaya, O.S. (2011). Introduction to Time Series Analysis. Babs-Tunde

Intercontinental Print, Nigeria. ISBN 978-33867-1-9. pp. 282.

Yaya, O.S. and Shittu, O.I. (2011). Statistical Computing III. Distance Learning Centre,

University of Ibadan, Nigeria.

Gil-Alana, L.A., Shittu, O.I. and Yaya, O.S. (2012). Long memory, Structural breaks and Mean shifts in the Inflation rates in Nigeria. African Journal of Business Management, 6(3): 888-897

Shittu, O.I., Yaya, O.S. and Yemitan, R.A. (2012): On Structural Breaks and Nonstationary Fractional Integration in Time Series. European Journal of Business and Management, 4(5): 40-55.

Shittu, O.I., Adepoju, K.A. and Yaya, O.S. (2012). Statistical Properties of Generalized

Alternative Beta Distribution of the Second Kind. Journal of Mathematical Sciences, 23(3): 353-365.

Shittu, O.I., Yemitan, R.A. and Yaya, O.S. (2012). On Autoregressive Distributed Lag,

Cointegration and Error Correction Modelling: Applications To Selected Nigerian

Macroeconomic Variables. Australian Journal of Business and Management Research,

2(8): 56-62.

Adepoju, A.A., Yaya, O.S. and Ojo, O.O. (2013). Estimation of GARCH models for Nigerian Exchange Rates with Non-Gaussian Innovations. Journal of Economics and Sustainable Development, 4(3): 88-97.

Yaya, O.S., Shittu, O.I. and Tumala, M.M. (2013). Estimates of Bull and Bear parametersShittu, O.I., Adepoju, K.A. and Yaya, O.S. (2012). Statistical Properties of Generalized

Alternative Beta Distribution of the Second Kind. Journal of Mathematical Sciences, 23(3): 353-365.

Shittu, O.I., Yemitan, R.A. and Yaya, O.S. (2012). On Autoregressive Distributed Lag,

Cointegration and Error Correction Modelling: Applications To Selected Nigerian

Macroeconomic Variables. Australian Journal of Business and Management Research,

2(8): 56-62.

Adepoju, A.A., Yaya, O.S. and Ojo, O.O. (2013). Estimation of GARCH models for Nigerian Exchange Rates with Non-Gaussian Innovations. Journal of Economics and Sustainable Development, 4(3): 88-97.

Yaya, O.S., Shittu, O.I. and Tumala, M.M. (2013). Estimates of Bull and Bear parameters in Smooth Threshold Parameter Nonlinear Market model: A Comparative study between Nigerian and Foreign Stock Markets. European Journal of Business and Management, 5(7): 107-123.

Yaya, O.S. (2013). Nigerian Stock Index: A Search for Optimal GARCH Model using High Frequency Data. CBN Journal of Applied Statistics, 4(2): 69-85.

Gil-Alana, L.A., Shittu, O.I. and Yaya, O.S. (2014). On the Persistence and Volatility in European, American and Asian Stocks Bull and Bear Markets. Journal of International Money and Finance 40: 149-162.

Gil-Alana, L.A., Yaya, O.S. and Shittu, O.I. (2014). Global Temperatures and Sunspot numbers. Are they related?. Physical A, Statistical Mechanics and Its Applications, 396: 42–50.

Yaya, O.S. and Gil-Alana, L.A. (2014). The Persistence and Asymmetric Volatility in the Nigerian Stocks Bull and Bear Markets. Economic Modelling, 38: 463-469.

Yaya, O.S. and Shittu, O.I. (2014). Specifying Asymmetric STAR models with Linear and Nonlinear GARCH Innovations: Monte Carlo Approach. Journal of Modern Applied Statistical Methods, 13(1): 410-430.

Gil-Alana, L. A. and Yaya, O.S. (2014). The Relationship between Oil Prices and the Nigerian Stock Market: An Analysis based on Fractional Cointegration. Energy Economics, 46: 328-333.

Yaya, O.S., Olubusoye, O.E. and Ojo, O.O. (2014). Estimation of GARCH model under Misspecified GARCH Distributions: A Monte Carlo Simulation Approach. Journal of Modern Applied Statistical Methods, 13(2): 479-492 (USA).

Yaya, O.S. and Shittu, O.I. (2014). Naira Exchange Rate Volatility: Linear or Nonlinear GARCH Specifications? Journal of the Nigerian Statistical Associations, 26: 78-87 (Nigeria).

Gupta, R., Gil-Alana, L.A. and Yaya, O.S. (2015). Does Sunspot Numbers Cause Global Temperatures? Evidence from Frequency Domain Causality Test. Applied Economics, 47(8): 798-808.

Yaya, O.S. and Fashae, O.A. (2015). Seasonal Fractional Integrated Time Series Models for Rainfall Data in Nigeria. Theoretical and Applied Climatology, 120 (1-2): 99-108.

Gil-Alana, L.A., Yaya, O.S. and Adepoju, A.A. (2015). Fractional Integration and Structural Breaks in Banks Share Prices in Nigeria. Review of Development Finance, 5(1): 13-23.

Yaya, O.S., Gil-Alana, L.A. and Shittu, O.I. (2015). Fractional Integration and Asymmetric Volatility in European, American and Asian Bull and Bear Markets: Application of High Frequency Stock Data. International Journal of Finance and Economics, 20(3): 276-290.

Gil-Alana, L.A., Yaya, O.S. and Shittu, O.I. (2015). GDP Per Capita in Africa before the Global Financial Crisis: Persistence, Mean Reversion and Long Memory Features. CBN Journal of Applied Statistics, 6(1b): 219-239.

Tumala, M.M. and Yaya, O.S. (2015). Estimating bull and bear betas for the Nigerian stock market: an application of logistic smooth transition model. CBN Journal of Applied Statistics, 6(1b): 263-284.

Yaya, O.S., Gil-Alana, L.A. and Carcel, H. (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 Economics, 52 (A): 240-245.

Yaya, O.S., Gil-Alana, L.A. and Akomolafe, A.A. (2015). Long Memory, Seasonality and Time Trends in the Average Monthly Rainfall in Major cities of Nigeria. CBN Journal of Applied Statistics, 6(2): 39-58.

Yaya, O.S., Shittu, O.I. and Tumala, M.M. (2015). Comparing Predictive accuracy of Nonlinear Asymmetric Volatility Models: Evidence from the Nigerian Bank Share Prices. Journal of the Nigerian Statistical Associations, 27: 1-17.

Gil-Alana, L.A., Gupta, R., Olubusoye, O.E. and Yaya, O.S. (2016). Time Series Analysis of Persistence in Crude Oil Price Volatility across Bull and Bear Regimes. Energy, 109: 29-37.

Yaya, O.S. and Shittu, O.I. (2016). Symmetric variants of Logistic Smooth Transition Autoregressive models: Monte Carlo Evidences. Journal of Modern Applied Statistical Methods, 15(1): 711-737.

Yaya, O.S., Tumala, M.M. and Udomboso, C.G. (2016). Volatility persistence and Returns spillovers between Oil and Gold Prices: Analysis before and after the global financial crisis. Resources Policy, 49: 273-281.

Olubusoye, O.E. and Yaya, O.S. (2016). Time Series Analysis of Volatility in the Petroleum Markets: The Persistence, Asymmetry and Jumps in the Returns Series. OPEC Energy Review, 42(3): 235-262.

Gil-Alana, L.A., Yaya, O.S. and Solademi, E.A. (2016). 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, 32: 711-724

Olubusoye, O.E., Yaya, O.S. and Ojo, O.O. (2016). Misspecification of variants of Autoregressive GARCH models and Effect on in-sample Forecasting. Journal of Modern Applied Statistical Methods 15(2): 350-361.

Yaya, O.S., Bada, A.S. and Atoi, N.V. (2016). Volatility in the Nigerian Stock Market: Empirical Application of Beta-t-GARCH Variants. CBN Journal of Applied Statistics, 7(2): 27-48.

Yaya, O.S., Akinlana, D.M. and Shittu, O.I. (2016). Modelling Nigerian banks’ share prices using Smooth Transition GARCH Models. CBN Journal of Applied Statistics, 7(2): 137-157.

Gil-Alana, L.A., Yaya, O.S. and Awe, O.O. (2017). Time Series Analysis of Co-movements in the Prices of Gold and Oil: Fractional Cointegration Approach. Resources Policy, 53: 117-224.

Yaya, O.S., Gil-Alana, L.A. and Olubusoye, O.E. (2017). The Global Financial Crisis: Testing for Fractional Cointegration Between US and Nigerian Stock Markets. The Journal of Developing Areas, 51(4): 29-47.

Yaya, O.S., Saka, L., Tumala, M.M., Akinlana, O.A. and Ogbonna, A.E. (2017). Oil Price-US Dollars Exchange Returns and Volatility Spillovers in OPEC Member Countries: Post Global Crisis Period’s Analysis. African Journal of Applied Statistics, 4(1).