Measuring Downside Risk Using High-Frequency Data: Realized Downside Risk Measure |
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Authors: | Tao Bi Bo Zhang Huishan Wu |
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Affiliation: | 1. CNCERT/CC , Beijing , China;2. Center for Applied Statistics, School of Statistics , Renmin University of China , Beijing , China |
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Abstract: | In this article, we propose a general downside risk measure based on high-frequency downward moves below minimum acceptable target in asset prices. We derive the central limit theorem of this measure, and Monte Carlo simulation experiments support our theoretical results. We also investigate the distributional properties of this measure in China’s stock market. The theoretical and empirical works on realized downside risk measure shed light on the potential of this measure in measuring and modeling financial risk. |
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Keywords: | Central limit theorem Downside risk High-frequency data Semimartingale |
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