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Measuring downside risk - realised semivariance

Author

Listed:
  • 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.

Suggested Citation

  • Neil Shephard & Silja Kinnebrock & Ole E. Barndorff-Neilsen, 2008. "Measuring downside risk - realised semivariance," Economics Series Working Papers 382, University of Oxford, Department of Economics.
    • Handle: RePEc:oxf:wpaper:382
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    References listed on IDEAS

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    More about this item

    Keywords

    Market Frictions; Quadratic Variation; Realised Variance; Semimartingale; Semivariance;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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