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Measuring downside risk-realised semivariance.

Abstract:
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.

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Authors


Ole E. Barndorff-Nielsen More by this author
Silja Kinnebrock More by this author
Neil Shephard More by this author
Volume:
382
Series:
Discussion paper series
Publication date:
2008
URN:
uuid:64e98570-6bdf-4a6a-9067-c8cd5b24d8d5
Local pid:
oai:economics.ouls.ox.ac.uk:12128
Language:
English

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