Forecasting the FTSE 100 with high-frequency data: A comparison of realized measures
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.
Cite As
Oleg Komarov (2021). Forecasting the FTSE 100 with high-frequency data: A comparison of realized measures (https://www.mathworks.com/matlabcentral/fileexchange/32922-forecasting-the-ftse-100-with-high-frequency-data-a-comparison-of-realized-measures), MATLAB Central File Exchange. Retrieved .
Comments and Ratings (2)
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Inspired by: DataTable, regstats2, Multiple-Colon
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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