Dr. OlaOluwa S. Yaya

Email:
os.yaya@cear.org.ng, os.yaya@ui.edu.ng,
o.s.olaoluwa@gmail.com,

Personal Research links:

  1. Google Scholar
  2. University of Ibadan
  3. ResearchGate
  4. IDEAS/ RePEC
  5. ORCID
  6. Scopus ID
  7. Publons

OlaOluwa Simon Yaya is a Reader in Statistics and Time Series Econometrics at the Department of Statistics (Economic and Finance Statistics Unit), University of Ibadan, Nigeria & University Professor, at Global Humanistic University, Curacao. He is also affiliated with the Centre for Econometrics and Applied Research (CEAR), Ibadan, Nigeria. He is an International Research Fellow at the Institute of Business Research, University of Economics Ho Chi Minh City, Vietnam. He is a regular consultant for the Central Bank of Nigeria (CBN), the West African Institute for Financial and Economic Management (WAIFEM) and the National Mathematical Centre (NMC), Abuja. He also partners with READT Consultancy Lagos. Consultant to the CBN, Department of Statistics, Monetary Policy and Research Departments for CBN for Research projects implementation, Training/Workshop for staff of the Bank. Journal Review and Editorial of CBN Journal of Applied Statistics: Many projects and tasks have been carried out for the Bank and the abridged reports published in reputable journals. This consultancy started in 2014 and it is still on. Consultant to WAIFEM. WAIFEM coordinates the capacity development of five central banks (Nigeria, Ghana, Liberia, Sierra Leone and Gambia). New staff employed by central banks are trained in econometric modules and recently, economists in the banks are trained in Dynamic Stochastic General Equilibrium (DSGE) models. This consultancy started in 2020 and it is still on. He is also a Consultant Time Series Econometrician at the Nigerian Mathematical Centre, Abuja, Nigeria, where on a regular basis, he with his team organizes and teaches postgraduate courses at the Centre. He facilitates time series econometric courses for the Statistics programme of NMC. He is a Member of the Accreditation Team of the Chartered Institute of Statisticians of Nigeria and the Associate Editor of the Journal of the Chartered Institute of Statisticians of Nigeria (JCISON).  

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Some Selected Journal Articles

  • Furuoka, F., Gil-Alana, L. A., Yaya, O. S., and Vo, X. V. (2024). Convergence of gender unemployment gaps in Africa: New evidence from Fourier ADF and KPSS unit root tests with break. Accepted in Applied Economics. Taylors & Francis.
  • Yaya, O. S., Quintino, D., Ogino, C., Shittu, O. I., Almeida, D. and Ferreira, P. (2024). Volatility interdependencies of cryptocurrencies, gold, oil, and US stocks: Quantile connectedness analysis with intraday data. Accepted in SN Business and Economics. Springer.
  • Ayantse, C., Yaya, O. S., Sakpere, A. B., Abel, O. K. D., Ojo, I. O. and Joseph, O. U. (2024). Infectious Diseases in Nigeria Using Topic Modelling: A Systematic Review. Journal of Advances in Mathematics and Computer Science, 39(11): 59-75.
  • Yaya, O. S., Zhang, M., Xi, H. and Furuoka, F. (2024). How do leading stock markets in America and Europe connect with Asian stock markets? an analysis of Quantile Dynamic Connectedness. Quantitative Finance and Economics, 8(3): 502-531. 
  • Ogbonna, A. E., Farag, M., Akintande, O. , Yaya, O. S. and Olubusoye, O. E. (2024). Re-validating   the Phillips Curve Hypothesis in Africa and the Role of Oil Prices: A Mixed-Frequency Approach. Energy, 303, 131862. Elsevier.
  • Gil-Alana, L. A., Dettoni, R. and Yaya, O. S. (2024). Stock market prices and dividends in the US: Bubbles or Long-run equilibria relationships. International Review of Financial Analysis, 94, 103319. Elsevier.
  • Furuoka, F., Pui, K. L., Ezeoke, C., Jacob, R. I. and Yaya, O. S. (2024). Growth slowdowns and middle-income trap: Evidence from new Unit root framework. The Singapore Economic Review, 69 (1): 461-477. Singapore.
  • Yaya, O. S. (2024). Testing Day-of-the-week persistence and seasonality in Spanish Electricity Energy prices. Energy Research Letters, 5(1): 1-7.
  • Yaya, O. S., Olayinka, H. A., Ogbonna, E. A., Al-Faryan, M. A. S. and Vo, X. V. (2024). Dynamic connectedness of Economic Policy Uncertainty in G7 countries, and the influence of the US and UK: Quantile VAR analysis. Economic Change and Restructuring, 57(2), 76. Springer.
  • Yaya, O. S., Adenikinju, O. O. and Olayinka, H. A. (2024). African Stock Markets’ connectedness: Quantile VAR Approach. Modern Finance, 2(1): 51-68. Portugal.
  • Yaya, O. S., Adekoya, O. B., Vo, X. V. and Al-Faryan, M. A. S. (2024). Stock Market Efficiency in Asia: Evidence from the Narayan-Liu-Westerlund’s GARCH-based Unit root test. International Journal of Finance and Economics, 29(1): 91-101. Wiley, UK. 
  • Furuoka, F., Gil-Alana, L. A., Yaya, O. S., Aruchunan, E. and Ogbonna, A. E. (2024). A new fractional integration approach based on neural network nonlinearity with an application to testing unemployment hysteresis. Empirical Economics, 66: 2471-2499. Springer.
  • Ajao, I. O., Olayinka, H. A., Olugbode, M. A., Yaya, O. S. and Shittu, O. I. (2023). Long memory cointegration and Dynamic Connectedness of Volatility in US dollar Exchange rates, with FOREX portfolio investment strategy. Quantitative Finance and Economics, 7(4), 646-664.
  • Yaya, O. S., Gil-Alana, L. A., Adesina, A. O., Ogunsola, O. E. and Olayinka, H. A. (2023). Long memory cointegration in the analysis of maximum, minimum and range temperatures in Africa: Implications for Climate change. Atmosphere, 14(8), 1299. Switzerland.
  • Sakpere, W., Sakpere, A. B., Olanipekun, I. and Yaya, O. S. (2023). Impact analysis of COVID-19 on Nigerian workers’ productivity using multiple correspondence analysis. Scientific African, 21, e01780. Elsevier.
  • Quintino, D. D., Yaya, O. S., Ogino, C. M. and Ferreira, P. (2023). An investigation into the relationship between sugarcane and grain prices in Brazil: a fractional cointegration approach. Biofuels, Bioproducts and Biorefining, 17: 1251–1260. Wiley, UK.
  • Coskun, Y., Akinsomi, O., Gil-Alana, L. A. and Yaya, O. S. (2023). Stock market responses to COVID-19: The behaviors of mean reversion, dependence and persistence. Heliyon, 9, e15084. Elsevier.
  • Furuoka, F., Yaya, O. S., Ling, P. K., Al-Faryan, M. A. S. and Islam, M. N. (2023). Transmission of risks between energy and agricultural commodities: Frequency time-varying VAR, asymmetry and portfolio management. Resources Policy, 81, 103339. Elsevier.
  • Tiwari, A. K, Abakah, E. J. A., Yaya, O. S. and Appiah, K. O. (2023). Tail risk dependence, comovement and predictability between green bond and green stocks. Applied Economics, 55(2): 201-222. Taylors & Francis.
  • Yaya, O. S., Akano, R. and Adekoya, O. (2023). Market Efficiency and Volatility Persistence of Green Investments Before and During the COVID-19 Pandemic. Asian Economics Letters, 4(1): 1-8.
  • Olalude, G. A., Yaya, O. S., Olayinka, H. A., Jimoh, T. A., Adebiyi, A. A. and Adesina, A. O. (2023). Household expenditure in Africa: Evidence of mean reversion. Statistics in Transition new series, 24 (3): 171–186.
  • Caporale, G. M., Gil-Alana, L. A. and Yaya, O. S. (2022). Modelling persistence and non-linearities in the US treasury 10-year bond yields. Economics Bulletin, 42(3): 1221-1229.
  • Yaya, O. S., Ogbonna, A., E., Adesina, A. O., Alobaloke, K. and Vo, X. V. (2022). Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses. Resources Policy, 79, 103036. Elsevier.
  • Yaya, O. S., Lukman A. F. and Vo, X. V. (2022). Persistence and volatility spillovers of Bitcoin price to gold and silver prices. Resources Policy. Resources Policy 79, 103011.
  • Akintande, O. J., Olubusoye, O. E., Yaya, O. S. and Abiodun, A. O. (2022). Explainable features responsible for the high or low spread of SARS-COV-2: Africa in View. Scientific African, 17, e01301. Elsevier.
  • Yaya, O. S., Ogbonna, A. E. and Vo, X. V. (2022). Oil shocks and volatility of green investments: GARCH-MIDAS analyses. Resources Policy, 78, 102789. Elsevier.
  • Adekoya, O.B., Oliyide, J. A., Yaya, O. S. and Al-Faryan, M. A. S. (2022). Does oil connect differently with prominent assets during war? Evidence from intra-day data during the Russia-Ukraine saga. Resources Policy, Volume 77, 102728. Elsevier.
  • Adekoya, O. B., Yaya, O. S., Oliyide, J. A. and Posu, S. M. A. (2022). Growth and growth disparities in Africa: Are differences in renewable energy use, technological advancement, and institutional reforms responsible? Structural Change and Economic Dynamics, 61: 265-277. Elsevier.
  • Yaya, O. S., Vo, X. V., Ogbonna, A. E. and Adewuyi, A. O. (2022). Modelling Cryptocurrency High-Low Prices using Fractional Cointegrating VAR. International Journal of Finance and Economics, 27: 489–505. Wiley, UK.
  • Akinsomi, O., Coskun, Y., Gil-Alana, L. A. and Yaya, O. S. (2021). Is there convergence between BRICS Listed Property Stocks and International REITs? Journal of Real Estate Portfolio Management, 27:1, 29-42. Taylors & Francis.
  • Olubusoye, O. E., Akintande, O. J., Yaya, O. S., Ogbonna, E. A. and Adenikinju, A. F. (2021). Energy pricing during the COVID-19 Pandemic: Predictive Information-Based Uncertainty Indexes with Machine Learning Algorithm. Intelligent Systems with Applications, 12 (200050): 1-10. Elsevier.
  • Yaya, O. S., Gil-Alana, L. A., Vo, X. V. and Adekoya, O. B. (2021). How fearful are Commodities and US stocks in response to Global fear? Persistence and Cointegration analyses. Resources Policy, Volume 74, 102273. Elsevier.
  • Awolaja, O. G., Yaya, O. S., Vo, X. V., Ogbonna, A. E. and Joseph, S. O. (2021). Unemployment Hysteresis in Middle East and North Africa Countries: Panel SUR-based Unit root test with a Fourier function. Middle East Development Journal, 13 (2), 318-334. Taylors & Francis.
  • Adejumo, P., Ojo, I., Abiona, M., Kolawole, O., Ani, O., Yaya, O. S., Akinyemi, K., Ajayi, O., Adeyoola, O., Aniagwu, T., Adigun, A., Ogundeji, M, Oni, A., Afun, E., Adefolaju, A., Ogunjo, M. and Adewuyi, J. (2021). Final Year Nursing Students’ Knowledge of Genomic Concepts and Readiness for Use in Practice in Selected Federal Institutions in Southwest Nigeria. Annals of Nursing Practice, 8(1): 1120.
  • Babatunde, O. T., Ojo, O. O. and Yaya, O. S. (2021). Modelling Volatility of Bitcoin Prices: Classical or Fractional Integrated GARCH Variants? International Journal of Mathematics and Statistics, 22(2): 21-30.
  • Yaya, O. S., Vo, X. V. and Olayinka, H. A. (2021). Gold and Silver prices, their stocks and market fear gauges: Testing fractional cointegration using a robust approach. Resources Policy, 72, August 2021, 102045 Elsevier.
  • Yaya, O. S., Otekunrin, O. A. and Ogbonna, A. E. (2021). Life Expectancy in West African countries: Evidence of Convergence and Catching up with the North. Statistics in Transition new series, 22(1): 75-88. Scopus.
  • Olubusoye, O. E., Ogbonna, A. E., Yaya, O. S. and Umolo, D. (2021). An Information-Based Index of Uncertainty and the predictability of Energy Prices. International Journal of Energy Research, 45(7): 10235-10249. Wiley UK.
  • Ojo, O. O., Adepoju, A. A. and Yaya, O. S. (2021). Modelling Nigerian exchange rates with asymmetric GARCH models. Estudios de Economia Aplicada, 2021, 39(2): 1–13. Scopus
  • Yaya, O. S., Ogbonna, A. E., Furuoka, R. and Gil-Alana, L. A. (2021). A new unit root test for unemployment hysteresis based on the autoregressive neural network. Oxford Bulletin of Economics and Statistics, 83(4): 960-981. Wiley UK.
  • Gil-Alana, L. A. and Yaya, O. S. (2021). Testing Fractional Unit Roots with Non-linear Smooth Break Approximations using Fourier functions. Journal of Applied Statistics, 48 (13-15), 2542-2559, Taylors & Francis.
  • Gil-Alana, L. A., Mudida, R., Yaya, O. S., Osuolale, K. A. and Ogbonna, A. E. (2021). Mapping US Presidential terms with S&P500 Index: Time Series Analysis approach. International Journal of Finance and Economics, 26:1938–1954. Wiley, UK.
  • Yaya, O. S., Ogbonna, A. E., Mudida, R. and Abu, N. (2021). Market Efficiency and Volatility Persistence of Cryptocurrency during Pre- and Post-Crash Periods of Bitcoin: Evidence based on Fractional Integration. International Journal of Finance and Economics, 26: 1318–1335. Wiley, UK.
  • Yaya, O. S., Abu, N. and Ogundunmade, T. P. (2021). Economic Policy Uncertainty in G7 countries: Evidence of Long-range dependence and Cointegration. Economic Change and Restructuring, 54(2): 541-556 Springer.
  • Babatunde, O. T., Yaya, O. S. and Oladugba, A. V. (2020). Investigating the Specification of the Distributional Assumption of the Innovations of Generalized Autoregressive Score model with its Variants. International Journal of Applied Mathematics and Statistics, 59(4): 118-128.
  • Yaya, O. S., Awolaja, O. G., Okedina, I. M. and Vo, X. V. (2020). Air quality level in California US state: Persistence and Seasonality. Theoretical and Applied Climatology, 142: 1471–1479. Springer.
  • Yaya, O. S. and Gil-Alana, L. A. (2020). Modelling Long range dependence and Non-linearity in the Infant Mortality Rates of Africa countries. International Advances of Economic Research, 26 (3): 303–315. Springer.
  • Gil-Alana, L. A., Yaya, O. S., Awolaja, O. and Cristofaro, L. (2020). Long memory and Time trends in Particulate Matter Pollution (PM2.5 and PM10) in the US States. Journal of Applied Meteorology and Climatology, 59 (8): 1351–1367. Wiley, UK.
  • Yaya, O. S. and Vo, X. V. (2020). Statistical Analysis of Rainfall and Temperature (1901-2016) in South-East Asian Region. Theoretical and Applied Climatology, 142: 287–303 Springer.
  • Gil-Alana, L. A., Yaya, O. S. and Carmona-González, N. (2020). Air Quality in London: Evidence of Persistence, Seasonality and Trends. Theoretical and Applied Climatology, 142: 103–115. Springer.
  • Gil-Alana, L. A., Yaya, O. S. Akinsomi, O. and Coskun, Y. (2020). How do Stocks in BRICS co-move with Real Estate stocks? International Review of Economics and Finance, 69: 93–101. Elsevier.
  • Yaya, O. S., Furuoka, F., Ling, P. K., Jacob, R. I. and Ezeoke, C. M. R. (2020). Investigating Asian Regional Income Convergence using Fourier Unit Root test with Break. International Economics, 161: 120–129. Elsevier.
  • Yaya, O. S., Ogbonna, A. E. and Olubusoye, O. E. (2019). 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, Volume 531, 121732. Elsevier.
  • Yaya, O. S., Ogbonna, A. E. and Atoi, N. V. (2019). Are inflation rates in OECD countries actually stationary during 2011-2018? Evidence based on Fourier Nonlinear Unit root tests with Break. The Empirical Economics Review, 9(4): 309-325.
  • Ogunsola, O. E. and Yaya, O. S. (2019). Maximum and Minimum Temperatures in South-Western Nigeria: Time trends, Seasonality and Persistence. Journal of Physics: Conference Series, Volume: 1299. 2019. Scopus.
  • Yaya, O. S., Ogbonna, A. E. and Mudida, R. (2019). Hysteresis of Unemployment rate in Africa: New Findings from Fourier ADF test. Quality and Quantity International Journal of Methodology, 53(6): 2781-2795. Springer.
  • Yaya, O. S., Gil-Alana, L. A. and Amoateng, A. Y. (2019). Under 5 Mortality Rates in G7 countries: Analysis of Fractional persistence, Structural Breaks and Nonlinear Time trends in the Time Series. European Journal of Population, 35(4): 675-694. Springer.
  • Tumala, M. M., Olubusoye, O. E., Yaaba, B. N., Yaya, O. S. and Akanbi, O. B. (2019). Forecasting Nigerian Inflation using Model Averaging methods: Modelling Frameworks to Central Banks. The Empirical Economics Review, 9 (1): 47-72. Bangladesh.
  • Yaya, O. S., Ogbonna, A. E. Akintande, O. J. and Hammed, M. A. (2019). CPI inflation in Africa: Fractional persistence, Mean reversion and Nonlinearity. Statistics in Transition new series, 20(3): 119-132. Portugal.
  • Yaya, O. S., Ling, P. K., Furuoka, F., Ezeoke, C. M. R. and Jacob, R.I. (2019). Can Western African countries catch up with Nigeria? Evidence from Smooth Nonlinearity method in Fractional Unit root framework. International Economics, 158: 51-63. Elsevier.
  • Babatunde, O. T., Yaya, O. S. and Akinlana, D. M. (2019). Misspecification of Generalized Autoregressive Score Models: Monte Carlo Simulations and Applications. International Journal of Mathematics Trends and Technology, 65(3): 72-80.
  • Yaya, O. S., Saka, L. and Akanbi, O. B. (2019). Assessing Market Efficiency and Volatility of Exchange rates in South Africa and United Kingdom: Analysis using Hurst exponent. Journal of Developing Areas, 53(1): 127-145. USA.
  • Yaya, O. S. and Akintande, O. J. (2019). Long range dependence, Nonlinear trend and Breaks in historical Sea-surface and Land-air-surface Global and Regional Temperature anomalies. Theoretical and Applied Climatology, 137: 177-185. Springer.
  • Gil-Alana, L. A., Yaya, O. S. and Fagbamigbe, A. F. (2019). Time Series Analysis of Quarterly Rainfall and Temperature (1900-2012) in sub-Saharan African Countries. Theoretical and Applied Climatology, 137: 61-76. Springer.
  • Yaya, O. S. (2018). Is there Day-of-the-week effects in Returns and Volatility of Cryptocurrency? Journal of Science Research, 17: 77-80. Nigeria.
  • Onianwa, P. O., Yaya, O. S., Akanbi, F. O. M., Adubi, I. O., Ayorinde, M. O., Are, O. O., Nkom, A. T., John, O. E. (2018). Nurses’ Perception of Practice-based Learning Approach of Continuing Education Programme as a Tool for Quality Service Delivery in University College Hospital, Ibadan. Prime Medics Journal, 1(1): 39-45.
  • Shittu, O. I., Oyinloye, A. and Yaya, O. S. (2018). Autoregressive time series modelling with asymmetric error innovations. Transactions of the Nigerian Association of Mathematical Physics, 6: 190-199. Nigeria.
  • Yaya, O. S., Shittu, O. I., Ayoola, F. J. and Olutayo, O. G. (2018). Median Realized Variation as a Robust Volatility Measure for estimating Heterogeneous Autoregressive model in the presence of Asymmetry, Jumps and Structural breaks. Nigerian Journal of Securities Market, 3(2): 12-28. Nigeria.
  • Yaya, O. S. (2018). 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, 19(3): 477-492 Portugal.
  • Onianwa, P. O., Adubi, I. O., Alonge, T. O., Otegbayo, A. J., Yaya, O. S., Ojo, O. V., Ola, F. T., Layemo, B. O, Emiola, O. R., Mosebolatan, A. O. (2018). Super LED Lamps and Compact Fluorescent Lamps in the Management of Neonatal Jaundice. African Journal of Nursing and Midwifery, 20(2): 1-15. South Africa.
  • Yaya, O. S., Osanyintupin, O. D. and Akintande, O. J. (2018). Determinants of Desired and Actual Number of Children and the Risk of having more than Two Children in Ghana and Nigeria. African Journal of Applied Statistics, 5(2): 403-418. Togo.
  • Gil-Alana, L. A., Gupta, R., Shittu, O. I. and Yaya, O. S. (2018). Market Efficiency of Baltic Stock Markets: A Fractional Integration Approach. Physica A, Statistical Mechanics and its Applications, 511: 251-262. (Elsevier USA).
  • Awe, O. O., Akinlana, D. M., Yaya, O. S. and Aromolaran, O. (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-Online Papers in Economics and Informatics, 10(2): 15-22.
  • Tumala, M. M., Olubusoye, O. E., Yaaba, B. N., Yaya, O. S. and Akanbi, O. B. (2018). Investigating Predictors of Inflation in Nigeria: BMA and WALS Techniques. African Journal of Applied Statistics, 5(1): 301-321. Togo.
  • Yaya, O. S., Akinlana, D. M. and Ogbonna, A. E. (2017). Investigating Structural break-GARCH-based Unit root test in US exchange rates. Journal of Science Research, 16: 80-96. Nigeria.
  • Amoateng, A.Y., Setlalentoa, M.B. and Yaya, O. S. (2017). Socio-Demographic Correlates of Volunteerism among Undergraduate Students at North-West University, South Africa. South African Review of Sociology, 48(3): 21-45. (Taylor & Francis).
  • Yaya, O. S., Saka, L., Tumala, M. M., Akinlana, O. A. and Ogbonna, A. E. (2017). Oil Price-US Dollar Exchange Returns and Volatility Spillovers in OPEC Member Countries: Post Global Crisis Period’s Analysis. African Journal of Applied Statistics, 4(1): 191-208. Togo.
  • 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. USA.
  • 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. Elsevier.
  • Yaya, O. S. (2016). Volatility persistence in Naira exchange rates returns: A pre- and post-global financial crisis. Journal of Science Research, 15: 49-58. Nigeria.
  • 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. Nigeria.
  • 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. Nigeria.
  • 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 (USA).
  • 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 Wiley UK.
  • 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 Wiley, UK.
  • 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. (Elsevier USA).
  • 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. (USA).
  • 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. Elsevier USA.
  • 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 Association, 27: 1-17 (Nigeria).
  • 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. Nigeria.
  • 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. (Elsevier USA).
  • 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 (Nigeria).
  • 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 (Nigeria).
  • 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 Wiley UK.
  • 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 (Elsevier USA).
  • 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 (Springer).
  • Gupta, R., Gil-Alana, L. A. and Yaya, O. S. (2015). Do Sunspot Numbers Cause Global Temperatures? Evidence from Frequency Domain Causality Test. Applied Economics, 47(8): 798-808 (Taylor & Francis).
  • Yaya, O. S. and Shittu, O. I. (2014). Naira Exchange Rate Volatility: Linear or Nonlinear GARCH Specifications? Journal of the Nigerian Statistical Association, 26: 78-87 (Nigeria).
  • Yaya, O. S., Olubusoye, O. E. and Ojo, O. O. (2014). Estimates and Forecasts of GARCH Model under Misspecified Probability Distributions: A Monte Carlo Simulation Approach. Journal of Modern Applied Statistical Methods Vol. 13(2): 479-492 (United States of America).
  • Gil-Alana, L. A. and Yaya, O. S. (2014). The Relationship between Oil Prices and the Nigerian Stock Market: An Analysis based on Fractional integration and cointegration. Energy Economics, 46: 328-333 (Elsevier USA).
  • 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. (USA).
  • 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 (Elsevier USA).
  • Olawuyi, O. J., Jonathan, S. G., Babatunde, F. E., Babalola, B. J., Yaya, O. S., Agbolade, J. O., Aina, D. A. and Egun, C. J. (2014). Accession x treatment interaction, variability and correlation studies of pepper (Capsium spp.) under the influence of arbuscular Mycorrhiza Fungus (Glomus clarum) and Cow Dung. American Journal of Plant Science, 5: 683-690   
  • Akanmu, A. O., Olawuyi, O. J, Abiala, M. A., Yaya, O. S. and Odebode, A. C. (2014). Interactive Effects of Some Botanicals and Fusarium spp. on the Growth of Millet Seedlings. Research in Plant Biology, 4(1): 1-11.
  • Gil-Alana, L.A., Yaya, O. S. and Shittu, O. I. (2014). Global Temperatures and Sunspot numbers. Are they related? Physica A, Statistical Mechanics and its Applications, 396: 42–50 (Elsevier USA).
  • 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 (Elsevier USA).
  • 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 (Nigeria).
  • 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 (USA).
  • 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. (USA)    
  • Shittu, O. I., Adepoju, K. A. and Yaya, O. S. (2012). On the Convoluted Beta-Exponential Distribution. Journal of Modern Mathematics and Statistics, 6(3-6): 14-22 (India).
  • 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 (India).
  • 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 (USA).
  • 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 (Nairobi and Nigeria)
  • 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. (Pennsylvania, USA).
  • Shittu, O. I. and Yaya, O. S. (2010). On Fractionally Integrated Logistic Smooth Transitions in Time Series. American Journal of Scientific and Industrial Research, 1(3): 439-447 (America).
  • 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. (Ghana)
  • 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. (America)
  • 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. (India)
  • 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. (India).

         (c)       Articles that have already appeared in Refereed Conference Proceedings

  • Yaya, O. S. and Ogbonna, A. E. (2019). Modelling Crude oil-Petroleum products’ price nexus using Dynamic Conditional Correlation GARCH models. Proceedings of the 12th Annual NAEE/IAEE Conference on Energy Efficiency and Access for Sustainable Development in Emerging Economies.
  • Akinsomi, O., Coskun, Y., Gil-Alana, L. A. and Yaya, O. S. (2018). Is there Convergence between The BRICS and International Securitized Property Markets? Proceedings of the 18th African Real Estate Society (AfRES) Conference on Integrating the African Real Estate Market.
  • Shittu, O. I., Adeyemo, E. A., Yaya, O. S., Ayoola, F. J., Shittu, T. I. (2017). Development of New Information Criterion for Model Order Determination in Time Series Modelling. Proceeding of 1st International Conference of the Nigerian Statistical Society, volume 1, 78-82.
  • Olubusoye, O. E., Yaya, O. S. and Ogbonna, A. E. (2014). Modelling Nigerian Electricity Demand using Structural Time Series Approach. Proceedings of the 7th Annual NAEE/IAEE Conference on Energy Access for Economic Development: Policy, Institutional Frameworks and Strategic Options, edited by Adenikinju, A., Iwayemi, A. and Iledare, W. Chapter 37: 664-677.
  • Yaya, O. S. and Shittu, O. I. (2011). On Misspecification of Exponential Transition Models with GARCH Error Terms: The Monte Carlo Evidence. In: Cameron M., et al. (Eds.). Bulletin of the International Statistical Institute Proceedings of the 58th World Statistical Congress 2011. Dublin, Ireland. Poster Spotlight Section CPS001: 5907-5912 pp. ISBN: 978-90-73592-33-9.

(d).    Chapters in Books already Published

                     

  • Yaya, O. S. and Gil-Alana, L. A. (2020). High and Low Intraday Commodity Prices: A Fractional Integration and Cointegration approach. In Advances in Investment Analysis and Portfolio Management New series, volume 10, Chapter 1, pp 1-27., pp 1-27. Edited by C.-F. Lee.  ISBN: 9866286762.
  • Caporale, G. M., Gil-Alana, L. A., Solarin, S. A. and Yaya, O. S. (2026). Testing for persistence in German green and brown stock prices. To appear in Handbook of Climate Change and Financial Markets. Edited by Caporale, G. M. Published by Edward Elgar.

             (e).   Books already Published

                          

  • Olubusoye, O. E., Adenikinju, A., Yaya, O. S. and Akintande, O. J. (2025). Big Data and Machine Learning Tools for Monetary Policy. Stirling – Horden Publishers, Ibadan, Nigeria. ISBN: 978-978-032-953-2.
  • Yaya, O. S. and Apantaku, F.S. (2024). Introduction to Time Series Modelling. 1st Fasco Publisher, Ibadan, Nigeria. vii+103 pp. ISBN: 978-978-60961-1-7.
  • Yaya, O. S. (2024). Practice Questions and Answers in Time Series Analysis. 1st Fasco Publishers, Ibadan, Nigeria. ISBN: 978-978-935-889-2.
  • Yaya, O. S. (2022). Compendium of Time Series Econometrics with Applications. 1st Ibadan University Printery, Ibadan, Nigeria. xi+215 pp. ISBN 978-978-57874-3-9.

(f).    MPRA Archive/SSRN Journals 

      

  • Yaya, O. S., Olayinka, A., Adebiyi, A and Atoi, N. V. (2024). Rural and Urban price inflation components in Nigeria: Persistence, Connectedness and Spillovers (August 14, 2024). Available at SSRN: https://ssrn.com/abstract=4956280
  • Yaya O. S., Ogbonna, A. E., Furuoka, R., Gil-Alana, L. A. and Vo, X. V. (2022). Testing Unemployment Hysteresis in European countries: Argument based on three-generation Unit root tests. Available at SSRN: https://ssrn.com/abstract=4158893
  • Adekoya, O. B., Yaya O. S. and Oduyemi, G. (2022). Saudi Arabia’s “Vision 2030”. Will she likely catch up with any of the 18 countries ahead of her, and when? Available at SSRN: http://ssrn.com/abstract=4158891
  • Yaya, O. S. and Adekoya, O. and Babatunde, O. (2021). Testing Fractional Persistence and Nonlinearity in Infant Mortality Rates of Asia Countries. Available at

SSRN: https://ssrn.com/abstract=3909628 or http://dx.doi.org/10.2139/ssrn.3909628

  • Yaya, O. S. and Ojo, O. and Awolaja, O. (2021). Unemployment Hysteresis in Asian Countries: Findings Based on Flexible Fourier Form and Structural Break Unit Root Tests. Available at SSRN: https://ssrn.com/abstract=3909640.
  • Yaya, O. S. and Vo, X.V. and Adekoya, O. (2021). Convergence among themselves and Middle-income trap of South-East Asian Nations: Findings from a New approach. Available at SSRN: https://ssrn.com/abstract=3909634
  • Yaya, O. S., Mohammed, L, and Adekoya, O. and Adesiyan, F. (2020). The Persistence of Stock Market Returns During the Presidential Elections in Nigeria. Available at SSRN: https://ssrn.com/abstract=3565120

             (g)      Teaching Manuals, Technical Reports and Monographs:                                    

 

  • Salisu, A. A. and Yaya, O. S. (2022). Bayesian Dynamic Stochastic General Equilibrium (DSGE) Models using STATA. West African Institute for Financial and Economic Management (WAIFEM) Lecture notes.
  • Salisu, A. A. and Yaya, O. S. (2021) Dynamic Stochastic General Equilibrium (DSGE) Models using STATA. West African Institute for Financial and Economic Management (WAIFEM) Lecture notes.
  • Adebayo, B. B., Yaya, O. S., and Ojo, A. K. (2019). Supervised and Unsupervised Topic Modelling in Political Online-Community Forum: Analysis of Forum Post trends in Nigerian Online Community Website. LAP Lambert Academic Publishers, AV Akademikerverlag GmbH & Co, Germany. ISBN978-620-0-09268-7. vii+92.
  • Tumala, M. M., Olubusoye, O. E., Yaaba, B. N., Yaya, O. S. and Akanbi, O. B. (2017). Forecasting and Determining the Predictors of Inflation in Nigeria: A Bayesian Model Averaging approach. A Technical Report Submitted to the Department of Statistics, Central Bank of Nigeria, Abuja. 78pp. Nigeria.
  • Tumala, M. M., Yaya, O. S., Falade, B. S. and Abubakar, M. (2015). Estimating bull and bear betas for the Nigerian stock market: an application of logistic smooth transition model. A Technical Report Submitted to the Department of Statistics, Central Bank of Nigeria, Abuja. 28pp. Nigeria.
  • Yaya, O. S. and Shittu, O. I. (2012). STA 331 Lecture Note: Statistical Computing III. 1st Published by Distance Learning Centre, University of Ibadan, Nigeria. 

               (h).     Articles submitted to journals for peer review (with submission dates)

  • Yaya, O. S., Adesina, A. O., Ogbonna, A. E. and Vo, X. V. Risks transmission between US stocks and precious metals: Frequency TVP-VAR connectedness, asymmetry and investment strategies. Submitted to Resources Policy. 13.09.2022.
  • Shittu, O.I., Ajao, I. O., Yaya, O. S., Olayinka, H. A. and Al-Faryan, M. A. S. Impact of Oil shocks on US dollar Exchange rate volatility: GARCH-MIDAS touch. Submitted to Resources Policy. 05.10.2022. 
  • Yaya, O. S., Gil-Alana, L. A., Adesina, A. O. and Al-Faryan, M. A. S. Cointegration and Dynamic Connectedness of Volatility in Cryptocurrency pairs. Submitted to Journal of Applied Statistics. 20.12.2022.
  • Yaya, O. S., Ohida, D. I. and Alobaloke, K. A. (2024). Seasonal ARIMA modelling of inflation rates in Nigeria. Submitted to Statistics in Transition new series. 11.08.2024.

          

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