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BSS (version 0.1.0)

Brownian Semistationary Processes

Description

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.

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Version

Install

install.packages('BSS')

Monthly Downloads

181

Version

0.1.0

License

MIT + file LICENSE

Maintainer

Phillip Murray

Last Published

June 24th, 2020

Functions in BSS (0.1.0)

calculateK

Caclulate K_p for a BSS process for a given value of p
estimateAccumulatedVolatilityCI

Estimate confidence interval for the accumulated volatility processes
estimateAccumulatedVolatility

Estimate accumulated volatility processes
bssAlphaFit

Estimating the smoothness parameter of a Brownian semistationary process
a1Coefficients

Caclulate the coefficients a_1 in the expression for K_1
powerKernelBSS

Simulation of power law kernel Brownian semistationary processes
powerKernelBSSFit

Fitting power law kernel Brownian semistationary processes
a3Coefficients

Caclulate the coefficients a_3 in the expression for K_3
calculateK4

Caclulate K_4 for a BSS process
gammaKernelBSS

Simulation of gamma kernel Brownian semistationary processes
gammaKernelTauAsymptotic

Asymptotic scale factor for the gamma kernel
calculateK3

Caclulate K_3 for a BSS process
hybridSchemeCovarianceMatrix

Hybrid scheme covariance matrix
gammaKernelCorrelation

Autocorrelation function for the gamma kernel
calculateK1

Caclulate K_1 for a BSS process
gammaKernelBSSFit

Fitting gamma kernel Brownian semistationary processes
estimateK

Estimate K_p for a BSS process, for a given power p
exponentiatedOrnsteinUhlenbeck

Simulate an exponentiated OU volatility process
tauNonParametricEstimate

Non-parametric estimate of the scale factor
powerKernelTau

Scale factor for the power law kernel
gammaKernelTau

Scale factor for the gamma kernel
realisedPowerVariation

Realised power variation
powerKernelCorrelation

Autocorrelation function for the power law kernel
calculateK2

Caclulate K_2 for a BSS process
rhoFractionGaussian

Caclulate the correlation of a fractional Gaussian - needed in the calculation of K