rKernel: Kernel Function

In realized: Realized

Description

The kernel function that is used for the realized variance kernel estimators.

Usage

rKernel(x, type = 0)

Arguments

x	Value between [0,1] to calculate kernel weight
type	Type of kernel 0-11, or values from rKernel.available()

Value

Kernel value

Author(s)

Scott Payseur <[e-mail]>

References

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.

See Also

rKernel.available,rv.kernel,rc.kernel

Examples

#
# 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))

realized documentation built on May 2, 2019, 6:47 p.m.