Questions tagged [kernel]
The kernel tag has no usage guidance.
4
questions with no upvoted or accepted answers
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Is non-stationarity an issue during copula estimation?
In this paper (1), on page 14 (section 4), the author presents an empirical experiment on the computation of a copula through the use of kernels. To do so, he uses the following stochastic process (...
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Are there any public implementations of realized kernels? (preferably in Python)
looking to implement a realized kernel model to forecast realized variance of around ~140 equities and indices in Python given order book data.
I have read "Realised Kernels in Practice: Trades ...
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Intraday Volatility using Realized Kernels
Since the papers about realized volatility calculate daily volatility out of intraday data, is it also possible to apply same methods to calculate e.g. 10 minutes volatility by smaller sampled data e....
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Pricing binary options with kernel density estimation
Suppose I have a large enough set of prices of an asset, from which I can extract the following function: $f:T\to\mathcal{D}$, where $T$ is a fixed finite set of time intervals (say, 1 minute, 2 ...
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