Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal*

Vulnerable Growth

Tim Bollerslev

Journal of Financial Econometrics, 2022, vol. 20, issue 2, 219-252

Abstract: I provide a selective review of recent developments in financial econometrics related to measuring, modeling, forecasting, and pricing “good” and “bad” volatilities based on realized variation type measures constructed from high-frequency intraday data. An especially appealing feature of the different measures concerns the ease with which they may be calculated empirically, merely involving cross-products of signed, or thresholded, high-frequency returns. I begin by considering univariate semivariation measures, followed by multivariate semicovariation and semibeta measures, before briefly discussing even richer partial (co)variation measures. I focus my discussion on practical uses of the measures emphasizing what I consider to be the most noteworthy empirical findings to date pertaining to volatility forecasting and asset pricing.

Keywords: : cross-sectional return variation; downside risk; high-frequency data; jumps and co-jumps; partial variation; realized variation; return predictability; semibeta; semi(co)variation; volatility forecasting (search for similar items in EconPapers)
JEL-codes: C22 C51 C53 C58 G11 G12 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (5)

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