Josephine Dufitinema

IQVIA

In the era of digitalization, cryptocurrencies have become an alternative asset for both retail and institutional investors. While the emerging digital ecosystem based on blockchain technology offers numerous advantages, it is important to be aware of potential risks such as hacking incidents. In the 2011–2021 period, approximately 1.7 million unit...

Purpose The purpose of this paper is to compare different models’ performance in modelling and forecasting the Finnish house price returns and volatility. Design/methodology/approach The competing models are the autoregressive moving average (ARMA) model and autoregressive fractional integrated moving average (ARFIMA) model for house price returns...

In this paper we introduce the long-range dependent completely correlated mixed fractional Brownian motion (ccmfBm). This is a process that is driven by a mixture of Brownian motion (Bm) and a long-range dependent completely correlated fractional Brownian motion (fBm, ccfBm) that is constructed from the Brownian motion via the Molchan--Golosov repr...

In the era of digitalization, cryptocurrencies have become an alternative asset for both retail and institutional investors. While the new emerging digital ecosystem based on blockchain technology has been praised for offering plenty of advantages such as decentralization, discretion or increased efficiency in terms of faster settlements among othe...

From an entrepreneurial perspective, Initial Coin Offering (ICO) has become an alternative way for attaining funding for business projects using the new evolving digital financial market for tokens. Unfortunately, the majority of all ICOs are subject to scam which casts doubt on this new innovative tool for acquiring funding. Using a unique intensi...

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 SV model where the latent volatility follows a stationary AR(2) process, the heavy-tailed SV and the SV with leverage effects....

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 the long–range dependence property that financial time series exhibit. This paper examines the problem of deriving simultaneousl...

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 1988:Q1-2018:Q4. These regions are divided geographically into 45 cities and sub-areas according to their postcode numbers. The studied...

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 regions are divided geographically into 45 cities and sub-areas according to their postcode numbers. The studied type of dwellings...