"Measuring downside risk - realised semivariance"

OLE E. BARNDORFF-NIELSEN
	The T.N. Thiele Centre for Mathematics in Natural Science,
	Dept of Mathematical Sciences, University of Aarhus

SILJA KINNEBROCK
	Oxford-Man Institute, University of Oxford and
	Merton College, University of Oxford
	
NEIL SHEPHARD
	Oxford-Man Institute, University of Oxford and
	Dept 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