Measuring downside risk-realised semivariance.

Measuring downside risk-realised semivariance.

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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 the...

書誌詳細
主要な著者:	Barndorff-Nielsen, O, Kinnebrock, S, Shephard, N
フォーマット:	Working paper
言語:	English
出版事項:	Department of Economics (University of Oxford) 2008

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