[英文文献] Measuring downside risk — realised semivariance [推广有奖]

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国际货物运输840 发表于 2004-9-19 11:09:37 |AI写论文

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英文文献：Measuring downside risk — realised semivariance
英文文献作者：Ole E. Barndorff-Nielsen,Silja Kinnebrock,Neil Shephard
英文文献摘要：
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.