Efficient simulation of Brownian semistationary (BSS) processes using the hybrid simulation scheme, as described in Bennedsen, Lunde, Pakkannen (2017) <doi:10.48550/arXiv.1507.03004>, 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 |
DOI: | 10.32614/CRAN.package.BSS |
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 (arm64): BSS_0.1.0.tgz, r-oldrel (arm64): BSS_0.1.0.tgz, r-release (x86_64): BSS_0.1.0.tgz, r-oldrel (x86_64): BSS_0.1.0.tgz |
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