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Improved calendar time approach for measuring long-run anomalies
(2015-08)
- article
Although a large number of recent studies employ the buy-and-hold abnormal return (BHAR) methodology and the calendar time portfolio approach to investigate the long-run anomalies, each of the methods is a subject to ...
Stochastic volatility forecasting of the Finnish housing market
(Taylor & Francis, 2020-07-26)
- article
The purpose of the article is to assess the in-sample fit and the out-of-sample forecasting performances of four stochastic volatility (SV) models in the Finnish housing market. The competing models are the vanilla SV, the ...
Linear fractional transformations of Nevanlinna functions associated with a nonnegative operator
(Birkhäuser, 2013-04)
- article
In the present paper a subclass of scalar Nevanlinna functions is studied, which coincides with the class of Weyl functions associated to a nonnegative symmetric operator of defect one in a Hilbert space. This class consists ...
The factorization of generalized Nevanlinna functions and the invariant subspace property
(Elsevier, 2019-01-01)
- article
The well-known invariant subspace property of selfadjoint relations (multi-valued operators) in Pontryagin spaces is shown to be equivalent to the factorization property of (scalar) generalized Nevanlinna functions. This ...
Further evidence on long-run abnormal returns after corporate events
(Elsevier, 2020-10-19)
- article
This paper investigates abnormal standardized returns (ASRs) after major corporate events. Dutta, Knif, Kolari, and Pynnonen (2018) have shown that the ASR t-test has superior size and power compared to traditional test ...
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 ...
Divisible skylines : exploring least common multiples and divisibility through visual art
(Tessellations Publishing, 2019)
- conferenceObject
We present an alternative way to consider number theoretic concepts through visual art. Our visualization method, Divisible Skylines, is an artistically motivated study of least common multiples. It demonstrates how beauty ...
Mixed fractional Merton model to evaluate European options with transaction costs
(Scientific Research Publishing, 2018-11)
- article
This paper deals with the problem of discrete-time option pricing by the mixed fractional version of Merton model with transaction costs. By a mean-self-financing delta hedging argument in a discrete-time setting, a European ...
Pricing compound and extendible options under mixed fractional Brownian motion with jumps
(MDPI, 2019-04-03)
- article
This study deals with the problem of pricing compound options when the underlying asset follows a mixed fractional Brownian motion with jumps. An analytic formula for compound options is derived under the risk neutral ...
Infinite-dimensional perturbations, maximally nondensely defined symmetric operators, and some matrix representations
(ElsevierRoyal Netherlands Academy of Arts and Sciences (KNAW), 2012-12)
- article
The notion of a maximally nondensely defined symmetric operator or relation is introduced and characterized. The selfadjoint extensions (including the generalized Friedrichs extension) of a class of maximally nondensely ...