Measuring downside risk - realised semivariance

Ole Barndorff-Nielsen, Silja Kinnebrock () and Neil Shephard ()

OFRC Working Papers Series from Oxford Financial Research Centre

Abstract: 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.

Keywords: Market frictions; Quadratic variation; Realised variance; Semimartingale; Semivariance (search for similar items in EconPapers)
Pages: 21
Date: 2008
New Economics Papers: this item is included in nep-mst and nep-rmg
References: Add references at CitEc
Citations: View citations in EconPapers (49)

Downloads: (external link)
http://www.finance.ox.ac.uk/file_links/finecon_papers/2008fe01.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.finance.ox.ac.uk:80 (No such host is known. )

Related works:
Working Paper: Measuring downside risk — realised semivariance (2008)
Working Paper: Measuring downside risk-realised semivariance (2008)
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:sbs:wpsefe:2008fe01

Access Statistics for this paper

More papers in OFRC Working Papers Series from Oxford Financial Research Centre Contact information at EDIRC.
Bibliographic data for series maintained by Maxine Collett ().