Is volatility lognormal? Evidence from Italian futures

DOI10.1016/S0378-4371(02)02023-XMaRDI QIDQ1867951zbMATH OpenOpenAlexFDO

Authors Roberto Renò, Rosario Rizza

Publication date 23 April 2003

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0378-4371(02)02023-x

zbMATH Keywords

Fourier analysistick-by-tick transactions

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Recommendations

• Volatility of volatility of financial markets
• scientific article; zbMATH DE number 1301873
• Common volatility in major stock index futures markets
• The Volatility of Realized Volatility
• The Distribution of Realized Exchange Rate Volatility

Cites work

• Fourier series method for measurement of multivariate volatilities
• On measuring volatility of diffusion processes with high frequency data
• The Distribution of Realized Exchange Rate Volatility
• Volatility in financial markets: Stochastic models and empirical results

Cited in

(5)

• The Pareto distribution (type III) gives a good first approximation to the transaction intervals of Nikkei 225 futures in the OSE
• Extending the mixed-effects model to consider within-subject variance for ecological momentary assessment data
• Time-to-Expiry Seasonalities in Eurofutures
• An Application of a Mixed-Effects Location Scale Model for Analysis of Ecological Momentary Assessment (EMA) Data
• Science or scientism? On the momentum illusion

This page was built for publication: Is volatility lognormal? Evidence from Italian futures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1867951)