Is volatility lognormal? Evidence from Italian futures

DOI10.1016/S0378-4371(02)02023-XzbMath1017.91025OpenAlexW2040002796MaRDI QIDQ1867951

Rosario Rizza, Roberto Renò

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)

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Cites Work

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