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 the...
| Main Authors: | , , |
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| פורמט: | Working paper |
| שפה: | English |
| יצא לאור: |
Department of Economics (University of Oxford)
2008
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