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: Barndorff-Nielsen, O; Kinnebrock, S; Shephard, N

• Publisher: Department of Economics (University of Oxford)
• Series: Discussion paper series
• Publication date: 2008-01-01
• Language: English