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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…