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

[stefano iacus]

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: 

http://arxiv.org/abs/1505.03914

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.

http://www.unimi.it/13084.htm?utm_source=firmaMail&utm_medium=email&utm_content=linkFirmaEmail&utm_campaign=5xmille