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20122019
most citedEstimation of Scale and Hurst Parameters of Semi-Selfsimilar Processes

3 citations · 3 across the 5 of their papers we have counts for

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math.PR2019

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…

math.PR2018

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…