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A framework for exploring the macroeconomic determinants of systematic risk

Author: Torben G Andersen; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2005.
Series: Working paper series (National Bureau of Economic Research), no. 11134.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
"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  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Torben G Andersen; National Bureau of Economic Research.
OCLC Number: 57671854
Notes: February 2005.
Title from first page of PDF document.
Description: 1 online resource (13 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 11134.
Responsibility: Torben G. Andersen [and others].

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"--National Bureau of Economic Research web site.

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