43 citations
- Amirkabir University of TechnologyIR3 papers
- University of TehranIR3 papers
- Magyar Agrár- és Élettudományi EgyetemHU2 papers
- Budapest University of Economics and BusinessHU1 paper
- Iran University of Medical SciencesIR1 paper
- Iran University of Science and TechnologyIR1 paper
- Norwegian University of Life SciencesNO1 paper
- Obuda UniversityHU1 paper
- Shahid Beheshti UniversityIR1 paper
- Suwon Research InstituteKR1 paper
- Technische Universität DresdenDE1 paper
- University of GuelphCA1 paper
Showing math.PRShow all
2 papers · 1 filter
math.PR2019
Certain Semi-Lévy Driven CARMA Processes: Estimation and Forecasting
N. Modarresi, S. Rezakhah, M. Mohammadi
Continuous-time autoregressive moving average (CARMA) process driven by simple semi-Lévy process has periodically correlated property with many potential application in finance. In…
math.PR2018
Semi-Levy driven continuous-time GARCH process
M. Mohammadi, S. Rezakhah, N. Modarresi
We study the class of semi-Levy driven continuous-time GARCH, denoted by SLD-COGARCH, process. The statistical properties of this process are characterized. We show that the state…