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math.ST2018
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…
math.ST2012★ 3 cited
Estimation of Scale and Hurst Parameters of Semi-Selfsimilar Processes
Saeid Rezakhah, Anne Philippe, Navideh Modarresi
The characteristic feature of semi-selfsimilar process is the invariance of its finite dimensional distributions by certain dilation for specific scaling factor. Estimating the sca…