Message-ID: <B0E6D3B6-C821-4DDD-A25C-9ED0AA367384@unimi.it>
Date: 2015-05-20T12:48:36Z
From: stefano iacus
Subject: COGARCH(p, q): Simulation and Inference with Yuima package
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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