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...

By analyzing high frequency data of transactions on the Italian stock index futures, we show that the statistical properties of average volume depend on the size of transactions, defined as the number of contracts transacted in a single operation. In particular, we find that large transactions...

This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly significant impact on future volatility. This result becomes apparent once volatility is correctly separated into its continuous and discontinuous component. To this purpose, we...