COGARCH(p, q): Simulation and Inference with Yuima package

Wed, May 20, 2015 5:48 AM

For those interested in trying Kluppelberg's & Brockwell's COGARCH models (Continuous GARCH model with L?vy noise), here is a paper which explains the new class of COGARCH(p,q) models available in R through the yuima package (http://cran.r-project.org/web/packages/yuima/) with several examples: 

http://arxiv.org/abs/1505.03914

Any comment and/or bug report is welcome.

kind regards
Stefano, Lorenzo and Edit




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