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
* 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.
Oleg Komarov (2022). 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 .
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