3 citations · 17 across the 26 of their papers we have counts for
10 papers · 1 filter
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…
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.…
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…
Continuous-time GARCH process driven by semi-Lévy process
M. Mohammadi, S. Rezakhah, N. Modarresi
In this paper we study the simple semi-Lévy driven continuous-time generalized autoregressive conditionally heteroscedastic (SS-COGARCH) process. The statistical properties of this…
Markov Switching Smooth Transition GARCH Model
N. AleMohammad, S. Rezakhah, H. Hoseinalizadeh
A Markov switching asymmetric GARCH model which imposes more leverage effect of the negative shocks is considered. The asymptotic behavior of the second moment is investigated and…
Two New Estimators of Entropy for Testing Normality
A. Kohansal, S. Rezakhah
We present two new estimators for estimating the entropy of absolutely continuous random variables. Some properties of them are considered, specifically consistency of the first is…