Semivariance Significance in the S&P500 Baishi Wu, 4/7/08

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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)