A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Torben Andersen, Tim Bollerslev, Francis Diebold and Jin Wu ()
Additional contact information
Jin Wu: Department of Economics, University of Pennsylvania

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

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.

Keywords: Realized volatility; realized beta; conditional CAPM; business cycle (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2005-01-01
New Economics Papers: this item is included in nep-fin, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (95)

Downloads: (external link)
https://economics.sas.upenn.edu/sites/default/file ... ng-papers/05-009.pdf (application/pdf)

Related works:
Journal Article: A Framework for Exploring the Macroeconomic Determinants of Systematic Risk (2005)
Working Paper: A Framework for Exploring the Macroeconomic Determinants of Systematic Risk (2005)
Working Paper: A framework for exploring the macroeconomic determinants of systematic risk (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pen:papers:05-009

Access Statistics for this paper

More papers in PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania 133 South 36th Street, Philadelphia, PA 19104. Contact information at EDIRC.
Bibliographic data for series maintained by Administrator ().