Brownian Semistationary Processes

Efficient simulation of Brownian semistationary (BSS) processes using the hybrid simulation scheme, as described in Bennedsen, Lunde, Pakkannen (2017) , as well as functions to fit BSS processes to data, and functions to estimate the stochastic volatility process of a BSS process.


Reference manual

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0.1.0 by Phillip Murray, 2 years ago

Browse source code at

Authors: Phillip Murray [aut, cre]

Documentation:   PDF Manual  

MIT + file LICENSE license

Imports hypergeo, MASS, phangorn

Suggests testthat

See at CRAN