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
Authors:	Andersen, Torben G. ; Bollerslev, Tim ; Diebold, Francis X. ; Wu, Jin
Publisher:	Frankfurt a. M. : Goethe University Frankfurt, Center for Financial Studies (CFS)
Subject:	Realized volatility \| realized beta \| conditional CAPM \| business cycle

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Series:	CFS Working Paper ; 2005/04
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	515220140 [GVK] hdl:10419/25449 [Handle] RePEc:zbw:cfswop:200504 [RePEc]
Classification:	G12 - Asset Pricing
Source:	EconStor

Persistent link: https://www.econbiz.de/10010298297