parzen_kernel¶
-
hf.
parzen_kernel
(x)[source]¶ The Parzen weighting function used in the kernel realized volatility matrix estimator (
krvm()
) of Barndorff-Nielsen et al. (2011).- Parameters
- xfloat
- Returns
- yfloat
The weight.
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.