TY  - JOUR
AU  - Andersen,Torben G.
AU  - Bollerslev,Tim
AU  - Diebold,Francis X.
AU  - Wu,Jin (Ginger)
TI  - A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 11134
PY  - 2005
Y2  - February 2005
UR  - http://www.nber.org/papers/w11134
L1  - http://www.nber.org/papers/w11134.pdf
N1  - Author contact info:
Torben G. Andersen
Kellogg School of Management
Northwestern University
2001 Sheridan Road
Evanston, IL  60208
Tel: 847/467-1285
Fax: 847/491-5719
E-Mail: t-andersen@kellogg.northwestern.edu

Tim Bollerslev
Department of Economics
Duke University
Box 90097
Durham, NC 27708-0097
Tel: 919/660-1846
Fax: 919/684-8974
E-Mail: boller@econ.duke.edu

Francis X. Diebold
Department of Economics
University of Pennsylvania
3718 Locust Walk
Philadelphia, PA  19104-6297
Tel: 215/898-1507
Fax: 212/573-4217
E-Mail: fdiebold@sas.upenn.edu
AB  - 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.
ER  -