January 21, 2008
By:
Ole E. Barndorff-Nielsen (The T.N. Thiele Centre for Mathematics in Natural Science,
Department of Mathematical Sciences, University of Aarhus, Denmark),
Silja Kinnebrock (Oxford-Man Institute, University of Oxford, UK & Merton College, University of Oxford),
Neil Shephard (Oxford-Man Institute, University of Oxford, UK & Department of Economics, University of Oxford)
Silja Kinnebrock (Oxford-Man Institute, University of Oxford, UK & Merton College, University of Oxford),
Neil Shephard (Oxford-Man Institute, University of Oxford, UK & Department of Economics, University of Oxford)
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
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