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.