Financial time series analysis has focused on data related to market trading activity. Next to the modeling of the conditional variance of returns within the GARCH family of models, recent attention has been devoted to other variables: first, and foremost, volatility measured on the basis of...

In this paper we investigate the existence of the economies of scale and density in the Italian water sector, in the period 2005-2007. For this purpose, given the current developments of the reform introduced by the Galli Law, we review the main studies on the cost variables and on the evidence...

We analyze several measures of volatility (realized variance, bipower variation and squared daily returns) as estimators of integrated variance of a continuous time stochastic process for an asset price. We use a Multiplicative Error Model to describe the evolution of each measure as the product...