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
Other Persons:	Bollerslev, Tim (contributor) ; Diebold, Francis X. (contributor) ; Wu, Jin (Ginger) (contributor)
Publisher:	[2005]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (18 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 2005 erstellt
Other identifiers:	10.2139/ssrn.654506 [DOI]
Classification:	G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012736970