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Articles 1 - 5 of 5
Full-Text Articles in Physical Sciences and Mathematics
On Numerical Solution For Optimal Allocation Of Investment Funds In Portfolio Selection Problem, Yahaya Abubakar
On Numerical Solution For Optimal Allocation Of Investment Funds In Portfolio Selection Problem, Yahaya Abubakar
CBN Journal of Applied Statistics (JAS)
In this article, we present a procedure for obtaining an optimal solution to the Markowitz’s mean-variance portfolio selection problem based on the analytical solution developed in a previous research that lead to the emergence of an important model known as the Black Model. The procedure is well presented, illustrated and validated by a numerical example from real stocks dataset obtainable from a popular European stock market.
On The Development Of Residential Property Price Indices For Nigeria, Olowofeso E. Olorunsola, Abiodun S. Bada, Mohammed A. Bamanga
On The Development Of Residential Property Price Indices For Nigeria, Olowofeso E. Olorunsola, Abiodun S. Bada, Mohammed A. Bamanga
CBN Journal of Applied Statistics (JAS)
This work focuses on the development of house price indices for Nigeria, and the estimates of the Nigerian Residential Property Price Indices on housing characteristics are presented. Four main methods of index construction were considered, these are hedonic regression, repeat-sales, stratification and central price tendency methods. It was discovered that econometric methods like hedonic and repeat sales were constraints in constructing residential property price indices for Nigeria by the nature of the data available. Hence, the central price tendency and the sale-based stratification methods which are internationally used measures were applied to the available zonal-level dataset from a survey of …
Analysis Of Crime Data Using Principal Component Analysis: A Case Study Of Katsina State, Shehu U. Gulumbe, Dikko H. .G., Bello Yusuf
Analysis Of Crime Data Using Principal Component Analysis: A Case Study Of Katsina State, Shehu U. Gulumbe, Dikko H. .G., Bello Yusuf
CBN Journal of Applied Statistics (JAS)
This paper analyses Katsina State crime data which consists of the averages of eight major crimes reported to the police for the period 2006 – 2008. The crimes consist of robbery, auto theft, house and store breakings, theft/stealing, grievous hurt and wounding, murder, rape, and assault. Correlation analysis and principal component analysis (PCA) were employed to explain the correlation between the crimes and to determine the distribution of the crimes over the local government areas of the state. The result has shown a significant correlation between robbery, theft and vehicle theft. While MSW local government area has the lowest crime …
Inflation And Economic Growth In Nigeria: Detecting The Threshold Level, Sani I. Doguwa
Inflation And Economic Growth In Nigeria: Detecting The Threshold Level, Sani I. Doguwa
CBN Journal of Applied Statistics (JAS)
This paper re-examines the issue of the existence and the level of inflation threshold in the relationship between inflation and growth in Nigeria, using three different approaches that provide appropriate procedures for estimating the threshold level and inference. While Sarel’s (1996) approach provides a threshold point estimate of 9.9 per cent that was not well identified by the data, the technique of Khan and Senhadji (2001) identifies a 10.5 per cent inflation threshold as statistically significant to explain the inflation-growth nexus in Nigeria. Also, the approach of Drukker et al (2005) suggests a two threshold point model with 11.2 and …
Understanding The Dynamics Of Inflation Volatility In Nigeria: A Garch Perspective, Babatunde S. Omotosho, Sani I. Doguwa
Understanding The Dynamics Of Inflation Volatility In Nigeria: A Garch Perspective, Babatunde S. Omotosho, Sani I. Doguwa
CBN Journal of Applied Statistics (JAS)
The estimation of inflation volatility is important to Central Banks as it guides their policy initiatives for achieving and maintaining price stability. This paper employs three models from the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) family with a view to providing a parsimonious approximation to the dynamics of Nigeria’s inflation volatility between 1996 and 2011. Of the competing models, the asymmetric TGARCH (1,1) provides an appropriate paradigm for explaining the dynamics of headline and core CPI volatilities in Nigeria, while the symmetric GARCH (1,1) was found to be adequate for food CPI. The results are quite revealing. Firstly, model outcomes indicate …