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Long-range dependence in the returns and volatility of the Finnish housing market
(Emerald, 2019-12-19)
- article
Purpose - The purpose of this paper is to examine the evidence of long-range dependence behaviour in both house price returns and volatility for fifteen main regions in Finland over the period of 1988:Q1 to 2018:Q4. These ...
Volatility clustering, risk-return relationship and asymmetric adjustment in the Finnish housing market
(Emerald, 2020-02-24)
- article
Purpose - The purpose of this paper is to examine whether the house prices in Finland share financial characteristics with assets such as stocks. The studied regions are 15 main regions in Finland over the period of ...
Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets
(Taylor & Francis, 2020-05-30)
- article
Mixed fractional Brownian motion is a linear combination of Brownian motion and independent Fractional Brownian motion that is extensively used for option pricing. The consideration of the mixed process is able to capture ...