get_bandwidth

hf.get_bandwidth(n, var_ret, var_noise, kernel)

Compute the optimal bandwidth parameter \(H\) for krvm() according to Barndorff-Nielsen et al. (2011).

Parameters

nint >0

The sample size.

var_retfloat > 0

The variance of the efficient return process.

var_noise :float >=0

The variance of the noise process.

Returns

Hint

The bandwidth parameter.

References

Barndorff-Nielsen, O. E., Hansen, P. R., Lunde, A. and Shephard, N. (2011). Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading, Journal of Econometrics 162(2): 149– 169.