3 citations · 17 across the 26 of their papers we have counts for
5 papers · 1 filter
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…
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…