Description Usage Arguments Value References Examples
Simulate stochastic volatility model (np jump) with given length and other parameters
1 2 |
M |
number of interverals to be simulated |
m |
number of time points within each interval |
p0 |
start price |
mu |
drift |
v0 |
starting volatility |
b |
volatility parameter |
alpha |
volatility parameter |
sigma |
volatility parameter |
simulated time series
Yen, Y.-M. (2013). "Testing Jumps via False Discovery Rate Control." PloS one 8(4): e58365.
1 | SV(390,1200)
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