[R-SIG-Finance] COGARCH(p, q): Simulation and Inference with Yuima package

stefano iacus stefano.iacus at unimi.it
Wed May 20 14:48:36 CEST 2015

For those interested in trying Kluppelberg's & Brockwell's COGARCH models (Continuous GARCH model with Lévy 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: 


Any comment and/or bug report is welcome.

kind regards
Stefano, Lorenzo and Edit

Per destinare il 5x1000 all'Universita' degli Studi di Milano: indicare nella dichiarazione dei redditi il codice fiscale 80012650158.


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