| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11134 |
| 来源ID | Working Paper 11134 |
| A Framework for Exploring the Macroeconomic Determinants of Systematic Risk | |
| Torben G. Andersen; Tim Bollerslev; Francis X. Diebold; Jin (Ginger) Wu | |
| 发表日期 | 2005-02-14 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w11134 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568771 |
| 推荐引用方式 GB/T 7714 | Torben G. Andersen,Tim Bollerslev,Francis X. Diebold,et al. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11134.pdf（497KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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