A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
复制标题
探索系统性风险的宏观经济决定因素的框架
DOI：
--
复制
发表时间：
2005
期刊：
影响因子：
--
通讯作者：
Jin Wu
中科院分区：
文献类型：
--
作者：
T. Andersen;Tim Bollerslev;F. Diebold;Jin Wu
我们有选择地对金融资产收益已实现波动率的文献进行了调查、统一和拓展。我们不是只专注于描述已实现波动率的特性，而是通过研究已实现波动率的经济上有趣的函数，即股票投资组合的已实现贝塔，将它们与潜在的已实现方差和协方差部分以及潜在的宏观经济基本面联系起来。
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.