Brownian Semistationary Processes


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Documentation for package ‘BSS’ version 0.1.0

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bssAlphaFit Estimating the smoothness parameter of a Brownian semistationary process
estimateAccumulatedVolatility Estimate accumulated volatility processes
estimateAccumulatedVolatilityCI Estimate confidence interval for the accumulated volatility processes
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 processes
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
tauNonParametricEstimate Non-parametric estimate of the scale factor