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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

3 Downloads

Updated 05 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 (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)

Alexandr Cecetov

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

MATLAB Release Compatibility
Created with R2011a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Acknowledgements

Inspired by: DataTable, regstats2, Multiple-Colon

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