A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Torben G. Andersen (), Tim Bollerslev (), Francis Diebold () and Jin Wu ()
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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)
New Economics Papers: this item is included in nep-fin, nep-mac and nep-mon
Date: 2005-01-01
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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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Persistent link: http://EconPapers.repec.org/RePEc:pen:papers:05-009

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