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http://hdl.handle.net/10419/25449
  
Title:A framework for exploring the macroeconomic determinants of systematic risk PDF Logo
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
Persistent Identifier of the first edition:urn:nbn:de:hebis:30-10803
Document Type:Working Paper
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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