We will review the econometrics of non-parametric estimation of the components of the variation of asset prices. This very active literature has been stimulated by the recent advent of complete records of transaction prices, quote data and order books. In our view the interaction of the new data...

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...