Is volatility lognormal? Evidence from Italian futures

DOI10.1016/S0378-4371(02)02023-XzbMATH Open1017.91025OpenAlexW2040002796MaRDI QIDQ1867951FDOQ1867951

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

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zbMATH Keywords

Fourier analysistick-by-tick transactions

Mathematics Subject Classification ID

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

Cites Work

• The Distribution of Realized Exchange Rate Volatility
• Fourier series method for measurement of multivariate volatilities
• On measuring volatility of diffusion processes with high frequency data
• 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

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