R Code for calculating standard errors(p-values) in COGARCH

To determine p-values and or standard errors for estimates, we combine the estimation method for COGARCH in yuima with the bootstrap methodology. Here you can find an example of the code tha we used in our work "Discrete‐Time Approximation of a…

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Simulation and Inference for Stochastic Processes with YUIMA

Contains both theory and code with step-by-step examples and figures. Uses YUIMA package to implement the latest techniques available in the literature of inference for stochastic processes. Shows how to create the description of very abstract models in…

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