Measuring downside risk - realised semivariance
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 t...
| Autors principals: | , , |
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| Format: | Working paper |
| Publicat: |
University of Oxford
2008
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