Working paper icon

Working paper

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.

Actions


Access Document


Files:

Authors


Volume:
382
Series:
Discussion paper series
Publication date:
2008-01-01
URN:
uuid:64e98570-6bdf-4a6a-9067-c8cd5b24d8d5
Local pid:
oai:economics.ouls.ox.ac.uk:12128
Language:
English

Terms of use


Metrics


Views and Downloads






If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP