Measuring down-side risk-realised semivariance.

Measuring down-side risk-realised semivariance.

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We propose a new measure of risk, based entirely on downwards moves measured using high frequency data. Realised semivariances are shown ato have important predictive qualitites for future market volatility. The theory of these new measures is spelt out, drawing on some new results from probability...

Podrobná bibliografie
Hlavní autoři:	Barndorff-Nielsen, O, Kinnebrock, S, Shephard, N
Médium:	Working paper
Jazyk:	English
Vydáno:	Oxford-Man Institute of Quantitative Finance 2008

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