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 …

series models, both linear and non-linear, have smaller out-of-sample forecast errors than the random walk model. These two …

In this paper we present a rather general phenomenological theory of tick-by-tick dynamics in financial markets. Many … well-known aspects, such as the Lévy scaling form, follow as particular cases of the theory. The theory fully takes into …

was still the official currency. Parameter estimation is carried out using a battery of time series techniques. Monthly …

and volatility of the Shanghai market were higher. The rates of returns in the two markets were approximately serially … uncorrelated and mutually uncorrelated. Volatility, as measured by the absolute change in the rate of return, has positive serially … correlations in both markets as expected, but the autoregressions are temporarily unstable. Most surprisingly the volatility …

. Estimation and inference where performed through Markov Chain Monte Carlo simulation techniques. Main results show that treating …