7 citations · 14 across the 12 of their papers we have counts for
12 papers
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…
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…
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…
Multi-scale Invariant Fields: Estimation and Prediction
H. Ghasemi, S. Rezakhah, N. Modarresi
Extending the concept of multi-selfsimilar random field we study multi-scale invariant (MSI) fields which have component-wise discrete scale invariant property. Assuming scale para…
Hurst estimation of scale invariant processes with drift and stationary increments
N. Modarresi, S. Rezakhah
The characteristic feature of the discrete scale invariant (DSI) processes is the invariance of their finite dimensional distributions by dilation for certain scaling factor. DSI p…
Modeling credit default swap premiums with stochastic recovery rate
Zahra Sokoot, Navideh Modarresi, Farzaneh Niknejad
There are many studies on development of models for analyzing some derivatives such as credit default swaps .