Forecasting the FTSE 100 with high-frequency data: A comparison of realized measures
My dissertation for the MSc in Finance & Economics from Warwick Business School
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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 (2026). 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 .
Acknowledgements
Inspired by: DataTable, regstats2, Multiple-Colon
General Information
- Version 1.3.0.0 (34.3 KB)
MATLAB Release Compatibility
- Compatible with any release
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