- for MATLAB (@ MATLAB Central):

http://www.mathworks.com/matlabcentral/fileexchange/55335-portfolioeffectestim-high-frequency-price-estimators---models-toolbox

More details in the package manual:

https://cran.r-project.org/web/packages/PortfolioEffectEstim/vignettes/PortfolioEffectEstim.pdf