Working Paper: NBER ID: w11134
Authors: Torben G. Andersen; Tim Bollerslev; Francis X. Diebold; Jin Ginger Wu
Abstract: 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.
Keywords: realized volatility; systematic risk; macroeconomic determinants; realized betas
JEL Codes: G12
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| realized variance (C29) | realized beta (C46) |
| realized covariance (C10) | realized beta (C46) |
| macroeconomic fundamentals (E66) | realized beta (C46) |
| macroeconomic fundamentals (E66) | realized variance (C29) |
| macroeconomic fundamentals (E66) | realized covariance (C10) |
| realized variance (C29) | realized volatility dynamics (C69) |
| realized covariance (C10) | realized volatility dynamics (C69) |
| macroeconomic fundamentals (E66) | realized volatility dynamics (C69) |