Post by Sapphire Capital on Sept 15, 2008 23:15:28 GMT 4
Measuring Downside Risk - Realised Semivariance
Ole E. Barndorff-Nielsen
Thiele Centre, Dept. Math. Sciences, Univ. Aarhus
Silja Kinnebrock
Neil Shephard
University of Oxford - Oxford-Man Institute; University of Oxford - Nuffield College ; University of Oxford - Oxford Financial Research Centre
September 2, 2008
CREATES Research Paper No. 2008-42
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.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1262194_code357906.pdf?abstractid=1262194&mirid=1
Ole E. Barndorff-Nielsen
Thiele Centre, Dept. Math. Sciences, Univ. Aarhus
Silja Kinnebrock
Neil Shephard
University of Oxford - Oxford-Man Institute; University of Oxford - Nuffield College ; University of Oxford - Oxford Financial Research Centre
September 2, 2008
CREATES Research Paper No. 2008-42
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.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1262194_code357906.pdf?abstractid=1262194&mirid=1