From aeddbd351de68087b9dc078b6a77ed01d18b8553 Mon Sep 17 00:00:00 2001
From: cincinque <162613234+cincinque@users.noreply.github.com>
Date: Sun, 2 Mar 2025 02:37:01 +0000
Subject: [PATCH] Updated realized_threshold_variance.m
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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.
---
 realized/realized_threshold_variance.m | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

diff --git a/realized/realized_threshold_variance.m b/realized/realized_threshold_variance.m
index 36d20ef..d36c26f 100644
--- a/realized/realized_threshold_variance.m
+++ b/realized/realized_threshold_variance.m
@@ -185,7 +185,7 @@
     V = inf*ones(size(returns));
     K = -L:L;
     K = 1/sqrt(2*pi)*exp(-(K/L).^2/2);
-    K(L+(-1:1)) = 0;
+    K(L+(0:2)) = 0;
     returns2 = returns.^2;
     
     finished = false;
@@ -238,7 +238,7 @@
     V = inf*ones(size(returns));
     K = -L:L;
     K = 1/sqrt(2*pi)*exp(-(K/L).^2/2);
-    K(L+(-subsamples:subsamples)) = 0;
+    K(L+(-subsamples+1:subsamples+1)) = 0;
     m = size(returns,1);
     returns2 = returns.^2;