A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
18 Pages Posted: 8 Feb 2005
Date Written: January 2005
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.
Keywords: Realized volatility, realized beta, conditional CAPM, business cycle
JEL Classification: G12
Suggested Citation: Suggested Citation