Measuring downside risk-realised semivariance

Ole Barndorff-Nielsen, Silja Kinnebrock () and Neil Shephard ()
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Silja Kinnebrock: Oxford-Man Institute and Merton College, University of Oxford

No 2008-W02, Economics Papers from Economics Group, Nuffield College, University of Oxford

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 pages
Date: 2008
New Economics Papers: this item is included in nep-fmk, nep-mst and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (49)

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http://www.nuffield.ox.ac.uk/economics/papers/2008/w2/downside.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:nuf:econwp:0802

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