Measuring downside risk using high-frequency data: realized downside risk measure
From MaRDI portal
Statistics of extreme values; tail inference (62G32) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Probabilistic models, generic numerical methods in probability and statistics (65C20) Statistical methods; risk measures (91G70)
Recommendations
- Measuring downside risk -- realized semivariance
- Drawdown risk measures for asset portfolios with high frequency data
- Downside risk measurement in regime switching stochastic volatility
- Comparing downside risk measures for heavy tailed distributions
- A method of calculating the downside risk by multivariate nonnormal distributions
Cites work
- A note on the central limit theorem for bipower variation of general functions
- A Tale of Two Time Scales
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Microstructure noise in the continuous case: the pre-averaging approach
- Optimal portfolio of safety-first models
- Risky asset pricing based on safety first fund management
- Safety First and the Holding of Assets
- The Distribution of Realized Exchange Rate Volatility
Cited in
(7)- Downside risk measurement in regime switching stochastic volatility
- A measure of downside risk in multivariate setup with application in measuring financial stress
- Measuring downside risk -- realized semivariance
- Preparing for the Worst
- Intraday Serial Correlation,Volatility, and Jump: Evidence from China's Stock Market
- Drawdown risk measures for asset portfolios with high frequency data
- ESG risk exposure: a tale of two tails
This page was built for publication: Measuring downside risk using high-frequency data: realized downside risk measure
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4921595)
