Measuring downside risk - realised semivariance

Neil Shephard, Silja Kinnebrock and Ole E. Barndorff-Neilsen

No 382, Economics Series Working Papers from University of Oxford, Department of Economics

Abstract: 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.

Keywords: Market Frictions; Quadratic Variation; Realised Variance; Semimartingale; Semivariance (search for similar items in EconPapers)
JEL-codes: C01 C14 C32 (search for similar items in EconPapers)
Date: 2008-01-01
New Economics Papers: this item is included in nep-mst and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (49)

Downloads: (external link)
https://ora.ox.ac.uk/objects/uuid:4cf122e6-ca16-4faf-897e-ad29e14cd1a2 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oxf:wpaper:382

Access Statistics for this paper

More papers in Economics Series Working Papers from University of Oxford, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Anne Pouliquen ( this e-mail address is bad, please contact ).