Updated realized_threshold_variance.m #5
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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.
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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.