Man pages for BSS
Brownian Semistationary Processes
| a1Coefficients | Caclulate the coefficients a_1 in the expression for K_1 |
| a3Coefficients | Caclulate the coefficients a_3 in the expression for K_3 |
| bssAlphaFit | Estimating the smoothness parameter of a Brownian... |
| calculateK | Caclulate K_p for a BSS process for a given value of p |
| calculateK1 | Caclulate K_1 for a BSS process |
| calculateK2 | Caclulate K_2 for a BSS process |
| calculateK3 | Caclulate K_3 for a BSS process |
| calculateK4 | Caclulate K_4 for a BSS process |
| estimateAccumulatedVolatility | Estimate accumulated volatility processes |
| estimateAccumulatedVolatilityCI | Estimate confidence interval for the accumulated volatility... |
| estimateK | Estimate K_p for a BSS process, for a given power p |
| exponentiatedOrnsteinUhlenbeck | Simulate an exponentiated OU volatility process |
| gammaKernelBSS | Simulation of gamma kernel Brownian semistationary processes |
| gammaKernelBSSFit | Fitting gamma kernel Brownian semistationary processes |
| gammaKernelCorrelation | Autocorrelation function for the gamma kernel |
| gammaKernelTau | Scale factor for the gamma kernel |
| gammaKernelTauAsymptotic | Asymptotic scale factor for the gamma kernel |
| hybridSchemeCovarianceMatrix | Hybrid scheme covariance matrix |
| powerKernelBSS | Simulation of power law kernel Brownian semistationary... |
| powerKernelBSSFit | Fitting power law kernel Brownian semistationary processes |
| powerKernelCorrelation | Autocorrelation function for the power law kernel |
| powerKernelTau | Scale factor for the power law kernel |
| realisedPowerVariation | Realised power variation |
| rhoFractionGaussian | Caclulate the correlation of a fractional Gaussian - needed... |
| tauNonParametricEstimate | Non-parametric estimate of the scale factor |
