A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

We selectively survey, unify and extend the literature on realized volatility of financial asset returns. Rather than focusing exclusively on characterizing the properties of realized volatility, we progress by examining economically interesting functions of realized volatility, namely realized betas for equity portfolios, relating them both to their underlying realized variance and covariance parts and to underlying macroeconomic fundamentals.

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Year of publication:	2005-01-01
Authors:	Andersen, Torben G. ; Bollerslev, Tim ; Diebold, Francis X. ; Jin (Ginger) Wu
Institutions:	Department of Economics, University of Pennsylvania
Subject:	Realized volatility \| realized beta \| conditional CAPM \| business cycle

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Extent:	application/pdf
Series:	PIER Working Paper Archive.
Type of publication:	Book / Working Paper
Notes:	18 pages
Classification:	G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005150219