Raberto, Marco; Scalas, Enrico; Cuniberti, Gianaurelio; … - arXiv.org - 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...