semivariance significance in the s&p500 baishi wu, 4/7/08
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DESCRIPTION
Introduction Want to examine predictive regressions for realized variance by using realized semi-variance as a regressor Test significance of realized semi-variance and realized up- variance by correlation with daily open-close returns Regressions are of the HAR-RV form from Corsi (2003) Semi-variance from Barndorff-Nielsen, Kinnebrock, and Shephard (2008)