Measuring downside risk — realised semivariance

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

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

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: 22
Date: 2008-09-02
New Economics Papers: this item is included in nep-mst and nep-rmg
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Citations: View citations in EconPapers (32)

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https://repec.econ.au.dk/repec/creates/rp/08/rp08_42.pdf (application/pdf)

Related works:
Working Paper: Measuring downside risk-realised semivariance (2008)
Working Paper: Measuring downside risk - realised semivariance (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2008-42

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