Department of Economics and Business Economics

Measuring downside risk - realised semivariance

Research output: Working paperResearch

  • Ole Barndorff-Nielsen
  • Silja Kinnebrock, University of Oxford , United Kingdom
  • Neil Shephard, University of Oxford , United Kingdom
  • School of Economics and Management
  • Department of Mathematical Sciences
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.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages22
Publication statusPublished - 2008

    Research areas

  • Market frictions, Quadratic variation, Realised variance, Semimartingale, Semivariance

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ID: 12330657