------------------------------------------------------------ ----------------- A v v i s o d i S e m i n a r i o ------------------------------------------------------------ ----------------- Venerdì 20 Aprile 2018, ore 15 ------------------------------------------------------------ -----------------
*Stanza 34Dipartimento di Scienze Statistiche* *Sapienza Università di Roma*
Prof. Lorenzo Mercuri (Università di Milano)
Estimation and Simulation of Higher Order CARMA and COGARCH Models
Abstract: We show how to simulate and estimate Higher Order CARMA and COGARCH Models in the R package yuima. The usage of continuous time models allows us to manage irregularly spaced data (for example in financial time series due to weekends, holidays and breaks during the trading hours) without considering any missing data imputation method. Several routines for simulation and estimation are discussed. The flexibility of the package is due to the fact that the user is allowed to choose several parametric L'evy distributions for the increments.
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Saluti Alessandro De Gregorio