511 citations · 1.2k across the 12 of their papers we have counts for
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cond-mat.stat-mech1999★ 42 cited
Volatility in the Italian Stock Market: an Empirical Study
Marco Raberto, Enrico Scalas, Gianaurelio Cuniberti +1
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…
cond-mat.stat-mech1999
Correlations in the Bond-Future Market
Gianaurelio Cuniberti, Marco Raberto, Enrico Scalas
We analyze the time series of overnight returns for the bund and btp futures exchanged at LIFFE (London). The overnight returns of both assets are mapped onto a one-dimensional sym…