Amaefula, Chibuzo G.
Department Of Mathematical, Computer And Physical Science, Faculty Of Science, Federal University Otuoke, P.m.b 126
Time Varying Correlation Between Stock Market Movement And Interest Rate Dynamics:a Nigerian Situation
This paper investigates the nature of time varying correlation between stock market movement and interest rate dynamics using empirical data from Nigeria. The data sets on yearly transactions at the Nigerian Stock Exchange (NSE) and deposit rate used cover the period of 1961 to 2012. The Diagonal BEKK parameterization of a bi-variate GARCH(1, 1) model was employed to capture the

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