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Source for Long Run Covariance Estimator #715

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novdanody opened this issue Feb 20, 2024 · 0 comments

novdanody commented Feb 20, 2024

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?

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