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updated 1 month ago

Forecasting Realised Volatility of MICEX index by Alexandr Cecetov

Dissertation code for MSc in Financial Economics in City University London (micex, high frequency, realized)

Raw RV of normal and log returns.m

Regression 1 HAR-RV.m

Regression 2 HAR-JC.m

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updated almost 3 years ago

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

My dissertation for the MSc in Finance & Economics from Warwick Business School (dissertation, fex, finance)

bp(h,numout,varargin)

fltmedian(data,volume)

fltout(dates,price,k,mult)

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