Code covered by the BSD License

bp(h,numout,varargin) BP loops function over dataset
fltmedian(data,volume) FLTMEDIAN Compute the median price for time stamps with multiple prices
fltout(dates,price,k,mult) FLTOUT filter outliers from data
fltprice(data,type,scheme,int... FLTPRICE Filter a single intraday time series with a sampling scheme
realized_bpv(data,type,scheme... REALIZED_BPV Estimate Bipower Variation (BPV) and subsampled BPV
realized_semivar(data,type,sc... REALIZED_SEMIVAR Estimate Realized Semi Variance (RSV) and subsampled RSV
realized_tbpv(data,type,schem... REALIZED_TBPV Estimate Threshold Bipower Variation (TBPV) and subsampled TBPV and their corrected versions
realized_tripv(data,type,sche... REALIZED_TRIPV Estimate simple and threshold Tri Power Variation (TriPV) and subsampled TriPV
realized_var(data,type,scheme... REALIZED_VAR Estimate Realized Variance (RV) and subsampled RV
20110916_Dissertation.m
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Forecasting the FTSE 100 with high-frequency data: A comparison of realized measures

16 Sep 2011 (Updated 05 Mar 2012)

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

File Information
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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Everyone's Tags	dissertation, fex, finance, ftse, high frequency, realized, volatility, warwick
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Comments and Ratings (1)
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.