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Updated realized_threshold_variance.m

Open cincinque opened this issue 1 year ago • 0 comments

Update adjacent observations filter for local variance following appendix B of Corsi, Pirino and Renò (2010). Previous indices excluded i=-2, -1, 0 instead of i=-1, 0, 1.

cincinque avatar Mar 02 '25 02:03 cincinque