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

Version 1.3.0.0 (34.3 KB) by Oleg Komarov
My dissertation for the MSc in Finance & Economics from Warwick Business School
5.0
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1.4K Downloads

Updated 5 Mar 2012

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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 (2023). 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 .

MATLAB Release Compatibility
Created with R2011a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Find more on Financial Toolbox in Help Center and MATLAB Answers
Acknowledgements

Inspired by: DataTable, regstats2, Multiple-Colon

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Version Published Release Notes
1.3.0.0

Added full suite of files and script of the paper.
1.1.0.0

Edited description and added full package with functions.
1.0.0.0