activity
20062023
most citedEstimation of Scale and Hurst Parameters of Semi-Selfsimilar Processes

3 citations · 17 across the 26 of their papers we have counts for

collaborators

27 papers

stat.AP2023

Sequential mediation of parasocial relationships for purchase intention: PLS-SEM and machine learning approach

Nora Sharkasi, Saeid Rezakhah

Companies employ social media influencers SMIs due to the compelling evidence of their advertising effectiveness, however, more research is required to identify and compare factors…

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…

math.ST2018

Flexible Cholesky GARCH model with time dependent coefficients

Toktam Valizadeh, Saeid Rezakhah

Study of instantaneous dependence among several variable is important in many of the high-dimensional sciences. Multivariate GARCH models are as a standard approach for modelling t…

math.ST2018

On Time-Varying Amplitude HGARCH Mode

Ferdous Mohammadi Basatini, Saeid Rezakhah

The HGARCH model allows long-memory impact in volatilities. A new HGARCH model with time-varying amplitude is considered in this paper. We show the stability of the model as well.…

math.ST2018

Markov Switch Smooth Transition HYGARCH Model: Stability and Estimation

Ferdous Mohammadi Basatini, Saeid Rezakhah

HYGARCH model is basically used to model long-range dependence in volatility. We propose Markov switch smooth-transition HYGARCH model, where the volatility in each state is a time…