A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

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

No 11134, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-bec, nep-fin and nep-mac
Date: 2005-02
Note: AP EFG
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Related works:
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)
Journal Article: A Framework for Exploring the Macroeconomic Determinants of Systematic Risk (2005)
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