highfrequency (version 1.0.1)

listAvailableKernels: Available kernels

Description

Returns a vector of the available kernels.

Usage

listAvailableKernels()

Value

a character vector.

Author

Scott Payseur.

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 \(k \leq 0.5\) and \(K(x) = 2 (1-x)^3\) if \(k > 0.5\).

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

• ModifiedTukeyHanning: \(K(x) = (1 - \sin(\pi/2 - \pi \ (1 - x)^2 ) / 2\).

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