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Center for Financial Studies (CFS), Universität Frankfurt a. M. >
CFS Working Paper Series, Universität Frankfurt a. M. >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/25449
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| Title: | | A framework for exploring the macroeconomic determinants of systematic risk  |
| Authors: | | Andersen, Torben G. Bollerslev, Tim Diebold, Francis X. Wu, Jin |
| Issue Date: | | 2005 |
| Series/Report no.: | | CFS Working Paper 2005/04 |
| Abstract: | | 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. |
| Subjects: | | Realized volatility realized beta conditional CAPM business cycle |
| JEL: | | G12 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CFS Working Paper Series, Universität Frankfurt a. M.
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