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BSS: Brownian Semistationary Processes
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.
Getting started
Browse package contents
Package details |
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| Author | Phillip Murray [aut, cre] |
| Maintainer | Phillip Murray <phillip.murray18@imperial.ac.uk> |
| License | MIT + file LICENSE |
| Version | 0.1.0 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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