A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Jin (Ginger) Wu

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:	February 2005
Authors:	Andersen, Torben G.
Other Persons:	Diebold, Francis X. (contributor) ; Wu, Jin (Ginger) (contributor) ; Bollerslev, Tim (contributor)
Institutions:	National Bureau of Economic Research (contributor)
Publisher:	Cambridge, Mass : National Bureau of Economic Research
Subject:	Schätzung \| Estimation \| Volatilität \| Volatility \| Wirkungsanalyse \| Impact assessment \| Betafaktor \| Beta risk

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Extent:	1 Online-Ressource
Series:	NBER working paper series ; no. w11134
Type of publication:	Book / Working Paper
Language:	English
Notes:	Mode of access: World Wide Web System requirements: Adobe [Acrobat] Reader required for PDF files Hardcopy version available to institutional subscribers.
Other identifiers:	10.3386/w11134 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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