quadratic_spectral_kernel

hf.quadratic_spectral_kernel(x)

The Quadratic Spectral 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.