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dc.contributor.author Bollerslev, Tim en_US
dc.contributor.author Andersen, T.G. en_US
dc.contributor.author Diebold, F.X. en_US
dc.date.accessioned 2010-03-09T15:24:01Z
dc.date.available 2010-03-09T15:24:01Z
dc.date.issued 2005 en_US
dc.identifier.uri http://hdl.handle.net/10161/1850
dc.description.abstract The increasing availability of high-frequency asset return data has had a fundamental impact on empirical financial economics, focusing attention on asset return volatility and correlation dynamics, with key applications in portfolio and risk management. So-called "realized" volatilities and correlations have featured prominently in the recent literature, and numerous studies have provided direct characterizations of the unconditional and conditional distributions of realized volatilities and correlations across different assets, asset classes, countries, and sample periods. For overviews see Andersen et al. (2005a, b). In this paper we selectively survey, unify and extend that literature. Rather than focusing exclusively on characterization of 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. en_US
dc.format.extent 323166 bytes
dc.format.extent 323166 bytes
dc.format.mimetype application/pdf
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.publisher American Economic Review en_US
dc.subject Financial economics, Marcoeconomic determinants, Econometrics en_US
dc.title A Framework for Exploring the Macroeconomic Determinants of Systematic Risk en_US
dc.type Journal Article en_US
dc.department Economics

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