Measuring downside risk - realised semivariance

Working paper

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 theory.

Authors: Shephard, N; Kinnebrock, S; Barndorff-Neilsen, O

• Publication status: Published
• Publisher: University of Oxford
• Series: Department of Economics Discussion Paper Series
• Publication date: 2008-01-01
• Paper number: 382
• Keywords: market frictions; semimartingale; quadratic variation; realised variance; semivariance