R package COGARCH.rm: Portfolio selection with multivariate COGARCH(p,q) models. Portfolio selection with ICA-COGARCH based homogeneous on risk measures and its further development.
References in zbMATH (referenced in 1 article )
Showing result 1 of 1.
- Iacus, Stefano M.; Yoshida, Nakahiro: Simulation and inference for stochastic processes with YUIMA. A comprehensive R framework for SDEs and other stochastic processes (2018)