A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Jin (Ginger) Wu

NBER Working Paper No. 11134
Issued in February 2005
NBER Program(s):   AP   EFG

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.

(498 K)

Published: Andersen, Torben G., Tim Bollerslev, Francis X. Diebold and Jin Wu. "A Framework For Exploring The Macroeconomic Determinants Of Systematic Risk," American Economic Review, 2005, v95(2,May), 398-404.

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