Is volatility lognormal? Evidence from Italian futures
type: Item
instance of: scholarly article
title: Is volatility lognormal? Evidence from Italian futures
zbMATH Open document ID: 1017.91025
DOI: 10.1016/S0378-4371(02)02023-X
author: Roberto Renò
author: Rosario Rizza
published in: Physica A
publication date: 2003-04-23T00:00:00Z
Mathematics Subject Classification ID: 91B26
zbMATH DE Number: 1900418
zbMATH Keywords: Fourier analysis
zbMATH Keywords: tick-by-tick transactions
MaRDI profile type: Publication
cites work: The Distribution of Realized Exchange Rate Volatility
cites work: Fourier series method for measurement of multivariate volatilities
cites work: On measuring volatility of diffusion processes with high frequency data
cites work: Volatility in financial markets: Stochastic models and empirical results
full work available at URL: s0378-4371(02)02023-x
OpenAlex ID: W2040002796
description: scientific article; zbMATH DE number 1900418