Hi all! We're studying Barndorff-Nielsen, Hansen, Lunde and Shephard (2009) [1] in depth. In particular, as a first step we aim at replicating the estimation based on Parzen's kernel. After attempting to use highfrequency's rKernelCov, which is based on Barndorff-Nielsen, Hansen, Lunde and Shephard (2004) [2], we've got a few questions.
In equation 1.2 [3], H works as a bandwidth for the kernel and a covariance lag. Equation 1.3 shows how to find the optimum bandwidth, which depends on a constant that changes for each density function. We're trying to find their counterparts in highfrequency: 1. Is rKernelCov's kernel.param argument related to the bandwidth H in Equation 1.2? 2. Is rKernelCov's kernel.dofadj argument related to h / (H + 1), the inner expression in Equation 1.2? 3. When using spotvol's kernel method, setting the est parameter to cv or quarticity makes the function estimate the optimum bandwidth. Is any of the two methods related to Equation 1.3? If spotvol computes the optimum bandwidth, we're considering modifying kernelk [4] to allow for Parzen's kernel. We are very thankful for your support and sorry if any of the questions makes little sense, we may be a bit confused! [1] https://ideas.repec.org/a/ect/emjrnl/v12y2009i3pc1-c32.html [2] https://ideas.repec.org/a/ect/emjrnl/v12y2009i3pc1-c32.html [3] http://onlinelibrary.wiley.com/doi/10.1111/j.1368-423X.2008.00275.x/full [4] https://github.com/jonathancornelissen/highfrequency/blob/master/R/ spotvol.r [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.