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

5.0 | 1 rating Rate this file 8 Downloads (last 30 days) File Size: 34.3 KB File ID: #32922 Version: 1.3

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


Oleg Komarov (view profile)


16 Sep 2011 (Updated )

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

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You can find the .pdf of the dissertation on SSRN:
The description of the submission is available on the forum Answers:
* 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.


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

Required Products Statistics and Machine Learning Toolbox
MATLAB release MATLAB 7.12 (R2011a)
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Comments and Ratings (2)
12 Nov 2014 Alexandr Cecetov

22 Apr 2013 Mirko

Mirko (view profile)

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

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01 Oct 2011 1.1

Edited description and added full package with functions.

05 Mar 2012 1.3

Added full suite of files and script of the paper.

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