A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
综述并扩展了关于已实现波动率的研究，通过分析股票组合的已实现贝塔值，将其与宏观经济基本面联系起来，对资产组合和风险管理有参考价值。
The increasing availability of high-frequency asset return data has had a fundamental impact\non empirical financial economics, focusing attention on asset return volatility and correlation\ndynamics, with key applications in portfolio and risk management. So-called "realized" volatilities\nand correlations have featured prominently in the recent literature, and numerous studies\nhave provided direct characterizations of the\nunconditional and conditional distributions of realized volatilities and correlations across different\nassets, asset classes, countries, and sample periods. For overviews see Andersen et al. (2005a, b).\nIn this paper we selectively survey, unify and extend that literature. Rather than focusing\nexclusively on characterization of the properties of realized volatility, we progress by examining economically interesting functions\nof realized volatility, namely, realized betas for equity portfolios, relating them both to their underlying realized variance and covariance parts and to underlying macroeconomic\nfundamentals.