Package net.finmath.timeseries

Provides classes related to time series modeling and estimation, e.g. maximum likelihood estimation of GARCH models.

See: Description

Interface Summary

Interface	Description
HistoricalSimulationModel	A parametric time series model based on a given times series.
TimeSeriesInterface
TimeSeriesModelParametric	A parametric time series model

Class Summary

Class	Description
MarketData	A set of raw data associated with a given date.
TimeSeries
TimeSeriesView

Package net.finmath.timeseries Description

Provides classes related to time series modeling and estimation, e.g. maximum likelihood estimation of GARCH models. Contains some aspects of estimating risk distribution from historical changes.