Template-type: ReDIF-Paper 1.0
Author-Name: Ole E. Barndorff-Nielsen
Author-Email: oebn@imf.au.dk
Author-Workplace-Name: Dept of Mathematical Sciences, University of Aarhus
Author-Name: Silja Kinnebrock
Author-Email: silja.kinnebrock@oxford-man.ac.uk
Author-Workplace-Name: Oxford-Man Institute and Merton College, University of Oxford
Author-Name: Neil Shephard
Author-Email: neil.shephard@economics.ox.ac.uk
Author-Workplace-Name: Oxford-Man Institute and Dept of Economics, Oxford University
Title: Measuring downside 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 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.
Keywords: Market frictions; Quadratic variation; Realised variance; Semimartingale; Semivariance
Length: 21 pages
Creation-Date: 2008-21-01
Number: 2008-W02
File-URL: http://www.nuffield.ox.ac.uk/economics/papers/2008/w2/downside.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:0802