TY  - UNPD
A1  - Andersen, Torben G.
A1  - Bollerslev, Tim
A1  - Diebold, Francis X.
A1  - Wu, Ginger
T1  - A framework for exploring the macroeconomic determinants of systematic risk
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2005,04
N2  - 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.
T3  - CFS working paper series - 2005, 04 
KW  - realized volatility
KW  - realized beta
KW  - conditional CAPM
KW  - business cycle
KW  - Volatilität
KW  - Capital-Asset-Pricing-Modell
KW  - Konjunkturzyklus
Y1  - 2005
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4421
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-10803
IS  - January 2005
ER  -