Arbeitspapier
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: CFS Working Paper ; No. 2005/04
- Classification
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
-
Realized volatility
realized beta
conditional CAPM
business cycle
- Event
-
Geistige Schöpfung
- (who)
-
Andersen, Torben G.
Bollerslev, Tim
Diebold, Francis X.
Wu, Jin
- Event
-
Veröffentlichung
- (who)
-
Goethe University Frankfurt, Center for Financial Studies (CFS)
- (where)
-
Frankfurt a. M.
- (when)
-
2005
- Handle
- URN
-
urn:nbn:de:hebis:30-10803
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Andersen, Torben G.
- Bollerslev, Tim
- Diebold, Francis X.
- Wu, Jin
- Goethe University Frankfurt, Center for Financial Studies (CFS)
Time of origin
- 2005
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