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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.1.0 |
2026-04-09 windows/windows R-4.5 | BSS_0.1.0.zip |
79.7 KiB |