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Measuring downside risk - realised semivariance

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  • Neil Shephard
  • Silja Kinnebrock
  • Ole E. Barndorff-Neilsen

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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Bibliographic Info

Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 382.

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Date of creation: 01 Jan 2008
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Handle: RePEc:oxf:wpaper:382

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Keywords: Market Frictions; Quadratic Variation; Realised Variance; Semimartingale; Semivariance;

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References

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Cited by:
  1. Chevallier, Julien & Sévi, Benoît, 2012. "On the volatility-volume relationship in energy futures markets using intraday data," Economics Papers from University Paris Dauphine 123456789/6887, Paris Dauphine University.

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