A framework for exploring the macroeconomic determinants of systematic risk
By: Torben G. Andersen ... [et al.].
Contributors: Andersen, Torben G.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 11134; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 11134.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Risk -- Mathematical models.; Rate of return -- Mathematical models.; Investments -- Mathematical models
Description: "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.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 2/25/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.