Forecasting Realised Volatility of MICEX index

버전 1.0.0.0 (10.6 KB) 작성자: Alexandr Cecetov
Dissertation code for MSc in Financial Economics in City University London
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다운로드 수: 798
업데이트 날짜: 2014/11/12

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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.

인용 양식

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. 검색 날짜: .

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