Renò, Roberto; Rizza, Rosario - In: Physica A: Statistical Mechanics and its Applications 322 (2003) C, pp. 620-628
We study the unconditional volatility distribution of the Italian futures market, measuring it via Fourier analysis. Our data set consists of all tick-by-tick transactions in 2000 and 2001, a period characterized by unusually high volatility levels in its final part, because of the dramatic...