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math.ST2021★ 1 cited
Portfolio Selection under Multivariate Merton Model with Correlated Jump Risk
Bahareh Afhami, Mohsen Rezapour, Mohsen Madadi +1
Portfolio selection in the periodic investment of securities modeled by a multivariate Merton model with dependent jumps is considered. The optimization framework is designed to ma…
math.ST2013★ 21 cited
Stochastic volatility models with possible extremal clustering
Thomas Mikosch, Mohsen Rezapour
In this paper we consider a heavy-tailed stochastic volatility model, , , where the volatility sequence and the i.i.d. noise sequence ar…