listAvailableKernels: Available kernels

In jonathancornelissen/highfrequency: Tools for Highfrequency Data Analysis

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 - x^2.

• Epanechnikov: K(x) = 1 - x^2.

• Cubic: K(x) = 1 - 3 x^2 + 2 x^3.

• Fifth: K(x) = 1 - 10 x^3 + 15 x^4 - 6 x^5.

• Sixth: K(x) = 1 - 15 x^4 + 24 x^5 - 10 x^6

• Seventh: K(x) = 1 - 21 x^5 + 35 x^6 - 15 x^7.

• Eighth: K(x) = 1 - 28 x^6 + 48 x^7 - 21 x^8.

• Parzen: K(x) = 1- 6 x^2 + 6 x^3 if k ≤q 0.5 and K(x) = 2 (1-x)^3 if k > 0.5.

• TukeyHanning: K(x) = 1 + \sin(π/2 - π \cdot 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

jonathancornelissen/highfrequency documentation built on Jan. 10, 2023, 7:29 p.m.