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Forecasting the FTSE 100 with high-frequency data: A comparison of realized measures

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Forecasting the FTSE 100 with high-frequency data: A comparison of realized measures

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16 Sep 2011 (Updated )

My dissertation for the MSc in Finance & Economics from Warwick Business School

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Description

You can find the .pdf of the dissertation on SSRN: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1933936
 
The description of the submission is available on the forum Answers: http://www.mathworks.com/matlabcentral/answers/17226
 
WARNINGS:
* the mcolon by Bruno Luong is slightly adapted to my needs (no change in the engine).
 
* The script fot the dissertation and bp.m have the path to the data hardcoded. I cannot re-distribute the data, however you're free to add some of your own and change the path accordingly (future releases may be more general).
 
You can post feedback/requests here or on the forum.

Acknowledgements

Data Table, Regstats2, and Multiple Colon inspired this file.

Required Products Statistics Toolbox
MATLAB release MATLAB 7.12 (R2011a)
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Comments and Ratings (2)
12 Nov 2014 Alexandr Cecetov  
22 Apr 2013 Mirko

Oleg, the code is relativ complex. If you want People to have a look and to understand - it would help to add a small Piece of data (e.g. with 2 or 3 entries). This should help to see how the data to input is structureh and how the whole thing works. Regards Mirko

Updates
01 Oct 2011

Edited description and added full package with functions.

05 Mar 2012

Added full suite of files and script of the paper.

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