Open novdanody opened 5 months ago
Hi,
Thanks for the amazing package! I was looking at the parzen estimator and noticed some differences in constant for optimal bandwidth estimator from this paper by Nielsen, Hansen, Lunde and Shephard https://public.econ.duke.edu/~get/browse/courses/201/spr09/DOWNLOADS/MicroStructureNoise/bhls_kernels_practice_08.pdf. I am just wondering if there is a source / paper that the implementation in arch library is based on?
Hi,
Thanks for the amazing package! I was looking at the parzen estimator and noticed some differences in constant for optimal bandwidth estimator from this paper by Nielsen, Hansen, Lunde and Shephard https://public.econ.duke.edu/~get/browse/courses/201/spr09/DOWNLOADS/MicroStructureNoise/bhls_kernels_practice_08.pdf. I am just wondering if there is a source / paper that the implementation in arch library is based on?