Efficient simulation of Brownian semistationary (BSS) processes using the hybrid simulation scheme, as described in Bennedsen, Lunde, Pakkannen (2017) <arXiv:1507.03004v4>, as well as functions to fit BSS processes to data, and functions to estimate the stochastic volatility process of a BSS process.
| Version: | 0.1.0 |
| Imports: | hypergeo, MASS, phangorn |
| Suggests: | testthat |
| Published: | 2020-06-24 |
| Author: | Phillip Murray [aut, cre] |
| Maintainer: | Phillip Murray <phillip.murray18 at imperial.ac.uk> |
| License: | MIT + file LICENSE |
| NeedsCompilation: | no |
| CRAN checks: | BSS results |
| Reference manual: | BSS.pdf |
| Package source: | BSS_0.1.0.tar.gz |
| Windows binaries: | r-devel: BSS_0.1.0.zip, r-release: BSS_0.1.0.zip, r-oldrel: BSS_0.1.0.zip |
| macOS binaries: | r-release: BSS_0.1.0.tgz, r-oldrel: BSS_0.1.0.tgz |
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