#05-02
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, and Jin (Ginger) Wu
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 classifications : G12
