r-BSS

Description

Brownian Semistationary Processes.

Description

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.

Metadata

Version

0.1.0

License

Unknown

Platforms (75)

Darwin

FreeBSD

Genode

GHCJS

Linux

MMIXware

NetBSD

none

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aarch64-darwin
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aarch64-netbsd
aarch64-none
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arm-none
armv5tel-linux
armv6l-linux
armv6l-netbsd
armv6l-none
armv7a-darwin
armv7a-linux
armv7a-netbsd
armv7l-linux
armv7l-netbsd
avr-none
i686-cygwin
i686-darwin
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i686-none
i686-openbsd
i686-windows
javascript-ghcjs
loongarch64-linux
m68k-linux
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microblaze-linux
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Source

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Platforms75 (75)

Platforms (75)