Description Usage Arguments Value Author(s) References See Also Examples
The kernel function that is used for the realized variance kernel estimators.
1 |
x |
Value between [0,1] to calculate kernel weight |
type |
Type of kernel 0-11, or values from rKernel.available() |
Kernel value
Scott Payseur <scott.payseur@gmail.com>
Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde, and Neil Shephard. Regular and modified kernel-based estimators of integrated variance: The case with independent noise. Working Paper, 2004.
rKernel.available
,rv.kernel
,rc.kernel
1 2 3 4 5 6 7 | #
# Plot all available kernels
#
par(mfrow=c(3,4))
x <- (0:100)*.01
for(i in 1:length(rKernel.available()))
plot(x=x,y=sapply(x, FUN="rKernel", type=rKernel.available()[i]), xlab="", ylab="", main=rKernel.available()[i],ylim=c(0,1))
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