3 citations · 3 across the 1 of their papers we have counts for
2 papers
q-fin.CP2020
Finite Mixture Approximation of CARMA(p,q) Models
Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji
In this paper we show how to approximate the transition density of a CARMA(p, q) model driven by means of a time changed Brownian Motion based on the Gauss-Laguerre quadrature. We…
stat.CO2015★ 3 cited
Estimation and Simulation of a COGARCH(p,q) model in the YUIMA project
Stefano M. Iacus, Lorenzo Mercuri, Edit Rroji
In this paper we show how to simulate and estimate a COGARCH(p,q) model in the R package yuima. Several routines for simulation and estimation are available. Indeed for the generat…