A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

18 Pages Posted: 8 Feb 2005

See all articles by Torben G. Andersen

Torben G. Andersen

Northwestern University - Kellogg School of Management; National Bureau of Economic Research (NBER); Aarhus University - CREATES

Tim Bollerslev

Duke University - Finance; Duke University - Department of Economics; National Bureau of Economic Research (NBER)

Francis X. Diebold

University of Pennsylvania - Department of Economics; National Bureau of Economic Research (NBER)

Jin (Ginger) Wu

University of Georgia - Department of Banking and Finance

Multiple version iconThere are 2 versions of this paper

Date Written: January 2005

Abstract

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

Andersen, Torben G. and Bollerslev, Tim and Diebold, Francis X. and Wu, Jin (Ginger), A Framework for Exploring the Macroeconomic Determinants of Systematic Risk (January 2005). PIER Working Paper No. 05-009; CFS Working Paper No. 2005/04. Available at SSRN: https://ssrn.com/abstract=654506 or http://dx.doi.org/10.2139/ssrn.654506

Torben G. Andersen

Northwestern University - Kellogg School of Management ( email )

2001 Sheridan Road
Evanston, IL 60208
United States

National Bureau of Economic Research (NBER) ( email )

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Aarhus University - CREATES ( email )

School of Economics and Management
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DK-8000 Aarhus C
Denmark

Tim Bollerslev

Duke University - Finance ( email )

Durham, NC 27708-0120
United States
919-660-1846 (Phone)
919-684-8974 (Fax)

Duke University - Department of Economics

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United States

National Bureau of Economic Research (NBER)

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Francis X. Diebold (Contact Author)

University of Pennsylvania - Department of Economics ( email )

Ronald O. Perelman Center for Political Science
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Philadelphia, PA 19104-6297
United States
215-898-1507 (Phone)
215-573-4217 (Fax)

HOME PAGE: http://www.ssc.upenn.edu/~fdiebold/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Jin (Ginger) Wu

University of Georgia - Department of Banking and Finance ( email )

Terry College of Business
Athens, GA 30602-6253
United States

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