Stochastic Correlation Modelling via Circular Diffusion
Bootstrap for stochcorr
Simulate von Mises process
2020 EUR/USD and S&P500 data
Bootstrap for circdiff
Estimation of circular diffusion models
Probability transition density function for Circular Brownian Motion
Probability transition density function for von Mises process
Simulate circular Brownian motion
Estimate a stochastic correlation model
Simulate stochastic correlation model
Performs simulation and inference of diffusion processes on circle. Stochastic correlation models based on circular diffusion models are provided. For details see Majumdar, S. and Laha, A.K. (2024) "Diffusion on the circle and a stochastic correlation model" <doi:10.48550/arXiv.2412.06343>.