Skip to content.

TUD

search  |  internal  |  deutsch
Personal tools
TU Dresden » Faculty of Mechanical Science and Engineering » Institute for Materials Science » Chair of Materials Science and Nanotechnology

For a complete list, check out Google Scholar.

prev/next pubs | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | 1997 | 1996

[back]


10. 


Volatility in the Italian stock market: an empirical study



M. Raberto, E. Scalas, G. Cuniberti, and M. Riani

Physica A 269, 148 (1999)

We study the volatility of the MIB30-stock-index high-frequency data from November 28, 1994 through September 15, 1995. Our aim is to empirically characterize the volatility random walk in the framework of continuous-time finance. To this end, we compute the index volatility by means of the log-return standard deviation. We choose an hourly time window in order to investigate intraday properties of volatility. A periodic component is found for the hourly time window, in agreement with previous observations. Fluctuations are studied by means of detrended fluctuation analysis, and we detect long-range correlations. Volatility values are log-stable distributed. We discuss the implications of these results for stochastic volatility modelling.



online .pdf paper (for personal use only)online .pdf paper (for personal use only)
doi absolute link10.1016/S0378-4371(99)00089-8
online abstract at the publisher site
publisher site
online abstractarXiv preprint: cond-mat/9903221
CiteBaseCiteBase
mpi-pks/9810017
export BibTeX citation (txt file)
export EndNote citation (ris file)


prev/next 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | 1997 | 1996

[back]



















































last modified: 2017.11.15 Mi
author: webadmin

contact
Prof. Dr. Gianaurelio Cuniberti
secretariat:
Ms Sylvi Katzarow
phone: +49 (0)351 463-31420
fax: +49 (0)351 463-31422
office@nano.tu-dresden.de
postal address:
Institute for Materials Science
TU Dresden
01062 Dresden, Germany
visitors and courier address:
HAL building
TU Dresden
Hallwachsstr. 3
01069 Dresden, Germany
Max Bergmann Center
TU Dresden
Budapester Str. 27
01069 Dresden, Germany