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:	2005-02
Authors:	Bollerslev, Tim ; Diebold, Francis ; Andersen, Torben G. ; Jin (Ginger) Wu
Institutions:	National Bureau of Economic Research (NBER)

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Extent:	application/pdf
Series:	NBER Working Papers.
Type of publication:	Book / Working Paper
Notes:	AP EFG published as Andersen, Torben G., Tim Bollerslev, Francis X. Diebold and Jin Wu. "A Framework For Exploring The Macroeconomic Determinants Of Systematic Risk," American Economic Review, 2005, v95(2,May), 398-404. Number 11134
Classification:	G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005829393