Measuring downside risk-realised semivariance.

Measuring downside risk-realised semivariance.

Hiển thị phiên bản (2) khác

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...

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Chi tiết về thư mục
Những tác giả chính:	Barndorff-Nielsen, O, Kinnebrock, S, Shephard, N
Định dạng:	Working paper
Ngôn ngữ:	English
Được phát hành:	Department of Economics (University of Oxford) 2008

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