Measuring downside risk: realised semivariance
Publication information:
Barndorff-Nielsen, Ole E., Silvia Kinnebrouk, and Neil Shephard. 2010. “Measuring Downside Risk: Realised Semivariance”. In Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle, (Edited by T. Bollerslev, J. Russell and M. Watson), 117-36. Oxford University Press.