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.

Version:	0.1.0
Imports:	hypergeo, MASS, phangorn
Suggests:	testthat
Published:	2020-06-24
Author:	Phillip Murray [aut, cre]
Maintainer:	Phillip Murray <phillip.murray18 at imperial.ac.uk>
License:	MIT + file LICENSE
NeedsCompilation:	no
CRAN checks:	BSS results

Documentation:

Reference manual:

BSS.pdf

Downloads:

Package source:	BSS_0.1.0.tar.gz
Windows binaries:	r-devel: BSS_0.1.0.zip, r-release: BSS_0.1.0.zip, r-oldrel: BSS_0.1.0.zip
macOS binaries:	r-release (arm64): BSS_0.1.0.tgz, r-oldrel (arm64): BSS_0.1.0.tgz, r-release (x86_64): BSS_0.1.0.tgz, r-oldrel (x86_64): BSS_0.1.0.tgz

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