A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
By Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, J. Wu. 2005
179 citations recorded by the source corpus.
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.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/f34f0479fab461b85713309b34f7b25e9a224859
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In Economics and Econometrics
- Stavros Degiannakis *
- George Filis
- Renatas Kizys
- Vipin Arora
- D. Broadstock
- Ioannis Chatziantoniou
- Perry Sadorsky
- Nikolaos Antonakakis
In Finance
Citations in the corpus
- Expected Returns, Yield Spreads, and Asset Pricing Tests (2005, unknown): “Then (9)Subsequent studies that use different econometric techniques but reach similar conclusion include Ang and Chen (2004), Jostova and Philipov (2004), Petkova and Zhang (2004), and Anderson et al.”
- Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks (2010, unknown): “In particular, Andersen et al. (2005), Andersen et al. 1For additional references on the estimation of time-varying betas based on more sophisticated data-driven filters and explicit parametric models see, e.g., Ghysels and Jacquier (2006).”
- The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data (2014, background): “This is a very interesting finding considering that several aforementioned studies have concluded that implied volatility indices provide superior information (see Xekalaki and Degiannakis, 2010; Becker et al., 2007; Andersen et al., 2005a; Andersen et al., 2001 and Bollerslev et al., 1992).”
- Bootstrapping realized multivariate volatility measures (2010, unknown): “For θ = ρ, θ̂ = ρ̂, and V̂θ = V̂ρ = (∑1/h i=1 y 2 1i ∑1/h i=1 y 2 2i )−1 h−1ĝρ, where ĝρ is defined in (6).”