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.
| Author: | Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Ginger Wu |
|---|---|
| URN: | urn:nbn:de:hebis:30-10803 |
| Parent Title (German): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2005,04 |
| Series (Serial Number): | CFS working paper series (2005, 04) |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2005 |
| Year of first Publication: | 2005 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2005/06/13 |
| Tag: | business cycle; conditional CAPM; realized beta; realized volatility |
| GND Keyword: | Volatilität; Capital-Asset-Pricing-Modell; Konjunkturzyklus |
| Issue: | January 2005 |
| HeBIS-PPN: | 195625390 |
| Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Licence (German): |  Deutsches Urheberrecht |
