An edition of A framework for exploring the macroeconomic determinants of systematic risk
(2005)
A framework for exploring the macroeconomic determinants of systematic risk
by Torben G. Andersen
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"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.
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Subjects
Risk, Mathematical models, Rate of return, Investments| Edition | Availability |
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A framework for exploring the macroeconomic determinants of systematic risk
2005, National Bureau of Economic Research
Electronic resource
in English
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Book Details
Edition 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.
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The Physical Object
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| December 13, 2020 | Created by MARC Bot | import existing book |