Closed travis-leith closed 1 year ago
Hi travis-leith, thanks a lot for your feedback. I will look into it but June is really busy so it might take a while for my final response. Best, Onno
Hi travis-leith, sorry for the late reply: The implementation is fine as is in my opinion. as we are not submitting any number larger than one as you can see in line 98 of realizedMeasures.cpp. @kboudt Can you close this issue?
I am reading through "Analyzing intraday financial data in R: The highfrequency package". There are many new concepts and in the interests of time, I am limiting myself to go 1 reference deep.
I see the definition of the parzen kernel according to Barndorff-Nielsen et al (2008) is
and according to
Barndorff-Nielsen et al (2009)
Note that the function is $0$ for $x>1$.
Your implementation is not consistent with this
but I don't know if the domain of this function is restricted in some other part of the code, such that this is not a problem.