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...

Full description

Bibliographic Details
Main Authors: Shephard, N, Kinnebrock, S, Barndorff-Neilsen, O
Format: Working paper
Published: University of Oxford 2008