Measuring downside risk — realised semivariance
Year of publication: |
2008-09-02
|
---|---|
Authors: | Barndorff-Nielsen, Ole E. ; Kinnebrock, Silja ; Shephard, Neil |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Market frictions | Quadratic variation | Realised variance | Semimartingale | Semivariance |
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