Realized Semivariance is a high-frequency financial econometric measure that belongs to the class of realized variation statistics, specifically designed to capture the integrated variance of negative (downward) price jumps by summing the squared negative intraday returns over a fixed time period.
31
Publications
2.1K
Citations
74
Authors
73
Institutions
Publications per year
2017–2026
20
Parents
Publications
31
Realized range-based estimation of integrated variance
Kim Christensen, Mark Podolskij · Journal of Econometrics · 2006 · 248 citations · Full text
Forecasting realized volatility of oil futures market: A new insight
Feng Ma, Yu Wei, Li Liu et al. · Journal of Forecasting · 2018 · 90 citations
1–5 of 31
Authors
74
- TB
3
h-index
- EK
2
h-index
- GL
2
h-index
- JY
2
h-index
- PC
2
h-index
1–5 of 74
Institutions
73
Aarhus University
Aarhus, Denmark
3 h-index
3 publications
715 citations
Duke University
Durham, United States
3 h-index
3 publications
94 citations
Montpellier Business School
Montpellier, France
2 h-index
2 publications
34 citations
Singapore Management University
Singapore, Singapore
2 h-index
3 publications
76 citations
Ruhr University Bochum
Bochum, Germany
2 h-index
3 publications
280 citations
National Bureau of Economic Research
Cambridge, United States
2 h-index
3 publications
113 citations
Czech Academy of Sciences, Institute of Information Theory and Automation
Prague, Czechia
2 h-index
4 publications
176 citations
Scuola Normale Superiore
Pisa, Italy
2 h-index
5 publications
107 citations
1–8 of 73
Venues
- SSRN Electronic Journal
Repository · 4 publications · 107 citations
4
h-index
- Journal of Empirical Finance
2 publications · 24 citations
2
h-index
- Journal of Forecasting
2 publications · 101 citations
2
h-index
- International Review of Economics & Finance
2 publications · 243 citations
2
h-index
- Resources Policy
1 publications · 40 citations
1
h-index
1–5