Measuring downside risk - realised semivariance

Publikation: Working paperForskning

  • Ole Barndorff-Nielsen
  • Silja Kinnebrock, University of Oxford, Storbritannien
  • Neil Shephard, University of Oxford, Storbritannien
  • Institut for Økonomi
  • Institut for Matematiske Fag
We propose a new measure of risk, based entirely on downwards 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.
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider22
StatusUdgivet - 2008

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