3 citations · 17 across the 26 of their papers we have counts for
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math.ST2016
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…
stat.ME2016★ 3 cited
Discretization of Continuous Time Discrete Scale Invariant Processes: Estimation and Spectra
S. Rezakhah, Y. Maleki
Imposing some flexible sampling scheme we provide some discretization of continuous time discrete scale invariant (DSI) processes which is a subsidiary discrete time DSI process. T…