Forecasting Realised Volatility of MICEX index

版本 1.0.0.0 (10.6 KB) 作者: Alexandr Cecetov
Dissertation code for MSc in Financial Economics in City University London
5.0
(2)
797.0 次下载
更新时间 2014/11/12

查看许可证

Dissertation can be found by the following link http://papers.ssrn.com/abstract=2521545.
Programme calculates realised volatility and applies HAR specification to produce one day ahead volatility forecast.
Special thanks to Dr. Alev Atak, Dr. Fulvio Corsi, Oleg Komarov.

引用格式

Alexandr Cecetov (2024). Forecasting Realised Volatility of MICEX index (https://www.mathworks.com/matlabcentral/fileexchange/48436-forecasting-realised-volatility-of-micex-index), MATLAB Central File Exchange. 检索时间: .

MATLAB 版本兼容性
创建方式 R2014a
兼容任何版本
平台兼容性
Windows macOS Linux
类别
在 Help Center 和 MATLAB Answers 中查找有关 Financial Toolbox 的更多信息

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

版本 已发布 发行说明
1.0.0.0