Brownian Semistationary Processes
Caclulate the coefficients a_1 in the expression for K_1
Caclulate the coefficients a_3 in the expression for K_3
Estimating the smoothness parameter of a Brownian semistationary proce...
Caclulate K_p for a BSS process for a given value of p
Caclulate K_1 for a BSS process
Caclulate K_2 for a BSS process
Caclulate K_3 for a BSS process
Caclulate K_4 for a BSS process
Estimate accumulated volatility processes
Estimate confidence interval for the accumulated volatility processes
Estimate K_p for a BSS process, for a given power p
Simulate an exponentiated OU volatility process
Simulation of gamma kernel Brownian semistationary processes
Fitting gamma kernel Brownian semistationary processes
Autocorrelation function for the gamma kernel
Scale factor for the gamma kernel
Asymptotic scale factor for the gamma kernel
Hybrid scheme covariance matrix
Simulation of power law kernel Brownian semistationary processes
Fitting power law kernel Brownian semistationary processes
Autocorrelation function for the power law kernel
Scale factor for the power law kernel
Realised power variation
Caclulate the correlation of a fractional Gaussian - needed in the cal...
Non-parametric estimate of the scale factor
Efficient simulation of Brownian semistationary (BSS) processes using the hybrid simulation scheme, as described in Bennedsen, Lunde, Pakkannen (2017) <arXiv:1507.03004v4>, as well as functions to fit BSS processes to data, and functions to estimate the stochastic volatility process of a BSS process.