BSS

Brownian Semistationary Processes

CRAN Package

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.

  • Version0.1.0
  • R versionunknown
  • LicenseMIT
  • Needs compilation?No
  • Last release06/24/2020

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  • Imports3 packages
  • Suggests1 package