Raheem, Maruf A.; Ezepue, Patrick O. - In: CBN Journal of Applied Statistics 07 (2016) 2, pp. 77-99
We present in this paper an alternative approach to determining and predicting the fluctuations in the daily prices and stock returns of a first-generation bank in the Nigerian Stock Market (NSM). The approach uses a three-state Markov to estimate the expected duration of the asset returns in...