3 citations · 17 across the 26 of their papers we have counts for
4 papers · 2 filters
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…