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A Framework for Exploring the Macroeconomic Determinants of Systematic Risk, American Economic Review

Abstract

In this paper we selectively survey, unify and extend that literature on asset return "realized" volatility and correlation dynamics. Rather than focusing exclusively on characterization of 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.

Type

Article

Author(s)

Torben Andersen, Tim Bollerslev, Francis X Diebold, Jin Wu

Date Published

2005

Citations

Andersen, Torben, Tim Bollerslev, Francis X Diebold, and Jin Wu. 2005. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk. American Economic Review. 95(2): 398-404.

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