Measuring downside risk - realised semivariance

We propose a new measure of risk, based entirely on downward moves measured using high frequency data. Realised semivariances are shown to have important predictive qualities for future market volatility. The theory of these new measures is spelt out, drawing on some new results from probability theory.

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Year of publication:	2008-01-01
Authors:	Shephard, Neil ; Kinnebrock, Silja ; Barndorff-Neilsen, Ole E.
Institutions:	Department of Economics, Oxford University
Subject:	Market Frictions \| Quadratic Variation \| Realised Variance \| Semimartingale \| Semivariance

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Extent:	application/pdf
Series:	Economics Series Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 382
Classification:	C01 - Econometrics ; C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005047802