listAvailableKernels {highfrequency} | R Documentation |
Available kernels
Description
Returns a vector of the available kernels.
Usage
listAvailableKernels()
Details
The available kernels are:
Rectangular: K(x)=1
.
Bartlett: K(x)=1−x
.
Second-order: K(x)=1−2x−x2
.
Epanechnikov: K(x)=1−x2
.
Cubic: K(x)=1−3x2+2x3
.
Fifth: K(x)=1−10x3+15x4−6x5
.
Sixth: K(x)=1−15x4+24x5−10x6
Seventh: K(x)=1−21x5+35x6−15x7
.
Eighth: K(x)=1−28x6+48x7−21x8
.
Parzen: K(x)=1−6x2+6x3
if k≤0.5
and K(x)=2(1−x)3
if k>0.5
.
TukeyHanning: K(x)=1+sin(π/2−π⋅x))/2
.
ModifiedTukeyHanning: K(x)=(1−sin(π/2−π (1−x)2)/2
.
Value
a character vector.
Author(s)
Scott Payseur.
References
Barndorff-Nielsen, O. E., Hansen, P. R., Lunde, A., and Shephard, N. (2008). Designing realized kernels to measure the ex post variation of equity prices in the presence of noise. Econometrica, 76, 1481-1536.
Examples
listAvailableKernels
[Package
highfrequency version 1.0.1
Index]