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A framework for exploring the macroeconomic determinants of systematic risk

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

No 2005/04, CFS Working Paper Series from Center for Financial Studies (CFS)

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)
Date: 2005
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Related works:
Journal Article: A Framework for Exploring the Macroeconomic Determinants of Systematic Risk (2005) Downloads
Working Paper: A Framework for Exploring the Macroeconomic Determinants of Systematic Risk (2005) Downloads
Working Paper: A Framework for Exploring the Macroeconomic Determinants of Systematic Risk (2005) Downloads
Working Paper: A Framework for Exploring the Macroeconomic Determinants of Systematic Risk (2005) Downloads
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