This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Measuring downside risk - realised semivariance

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Ole E. Barndorff-Nielsen ()
Silja Kinnebrock ()
Neil Shephard ()

Additional information is available for the following registered author(s):

Abstract

We propose a new measure of risk, based entirely on downwards 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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.finance.ox.ac.uk/file_links/finecon_papers/2008fe01.pdf
Our checks indicate that this address may not be valid because: 404 Not Found. If this is indeed the case, please notify (Maxine Collett)
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Oxford Financial Research Centre in its series OFRC Working Papers Series with number 2008fe01.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 21
Date of creation: 2008
Date of revision:
Handle: RePEc:sbs:wpsefe:2008fe01

Contact details of provider:
Email:
Web page: http://www.finance.ox.ac.uk
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Maxine Collett).

Related research
Keywords: Market frictions; Quadratic variation; Realised variance; Semimartingale; Semivariance;

Other versions of this item:

This paper has been announced in the following NEP Reports: References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Zhou, Bin, 1996. "High-Frequency Data and Volatility in Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 45-52, January.
  2. Babsiri, Mohamed El & Zakoian, Jean-Michel, 2001. "Contemporaneous asymmetry in GARCH processes," Journal of Econometrics, Elsevier, vol. 101(2), pages 257-294, April. [Downloadable!] (restricted)
    Other versions:
  3. Ole E Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," OFRC Working Papers Series 2006fe05, Oxford Financial Research Centre. [Downloadable!]
    Other versions:
  4. Silja Kinnebrock & Mark Podolskij, 2007. "A Note on the Central Limit Theorem for Bipower Variation of General Functions," OFRC Working Papers Series 2007fe03, Oxford Financial Research Centre. [Downloadable!]
  5. Ole E. Barndorff-Nielsen & Neil Shephard, 2006. "Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation," Journal of Financial Econometrics, Oxford University Press, vol. 4(1), pages 1-30. [Downloadable!] (restricted)
    Other versions:
  6. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December. [Downloadable!] (restricted)
    Other versions:
  7. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2004. "Analytical Evaluation Of Volatility Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(4), pages 1079-1110, November. [Downloadable!] (restricted)
    Other versions:
  8. Suzanne S. Lee & Per A. Mykland, 2008. "Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 21(6), pages 2535-2563, November. [Downloadable!] (restricted)
  9. Zhang, Lan & Mykland, Per A. & Ait-Sahalia, Yacine, 2005. "A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1394-1411, December. [Downloadable!] (restricted)
    Other versions:
  10. Laurent, Sebastien & Peters, Jean-Philippe, 2002. " G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models," Journal of Economic Surveys, Blackwell Publishing, vol. 16(3), pages 447-85, July. [Downloadable!] (restricted)
    Other versions:
  11. Tim Bollerslev & Jeffrey Wooldridge, 1992. "Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances," Econometric Reviews, Taylor and Francis Journals, vol. 11(2), pages 143-172. [Downloadable!] (restricted)
  12. Engle, Robert F. & Gallo, Giampiero M., 2006. "A multiple indicators model for volatility using intra-daily data," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 3-27. [Downloadable!] (restricted)
    Other versions:
  13. Ole E. Barndorff-Nielsen, 2004. "Power and Bipower Variation with Stochastic Volatility and Jumps," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 1-37. [Downloadable!] (restricted)
    Other versions:
  14. Mao, James C T, 1970. "Survey of Capital Budgeting: Theory and Practice," Journal of Finance, American Finance Association, vol. 25(2), pages 349-60, May. [Downloadable!] (restricted)
  15. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," CREATES Research Papers 2007-18, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:
  16. Ole BARNDORFF-NIELSEN & Svend Erik GRAVERSEN & Jean JACOD & Mark PODOLSKIJ & Neil SHEPHARD, 2004. "A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales," OFRC Working Papers Series 2004fe21, Oxford Financial Research Centre. [Downloadable!]
    Other versions:
  17. Jean Jacod & Yingying Li & Per A. Mykland & Mark Podolskij & Mathias Vetter, 2007. "Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9," CREATES Research Papers 2007-43, School of Economics and Management, University of Aarhus. [Downloadable!]
  18. Andrew Ang & Joseph Chen & Yuhang Xing, 2006. "Downside Risk," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 19(4), pages 1191-1239. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? A few items listed on IDEAS are over 2000 years old!

This page was last updated on 2009-11-8.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.