Working paper
Measuring down-side risk-realised semivariance.
- Abstract:
- 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 theory.
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- Files:
-
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(Preview, pdf, 322.3KB, Terms of use)
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- Publisher copy:
- 10.2139/ssrn.1262194
Authors
- Publisher:
- Oxford-Man Institute of Quantitative Finance
- Series:
- Working Papers
- Publication date:
- 2008-01-21
- DOI:
- ISSN:
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1556-5068
- Language:
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English
- UUID:
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uuid:f1db2eee-4f89-4f8a-b79d-704615e2c3e8
- Local pid:
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oai:economics.ouls.ox.ac.uk:13029
- Deposit date:
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2011-08-16
- ARK identifier:
Terms of use
- Copyright date:
- 2008
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