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Realized measures extract information about the current levels of volatilities and correlations from high\u2010frequency data, which is particularly useful for modeling financial returns during periods of rapid changes in the underlying covariance structure. When applied to market returns in conjunction with returns on an individual asset, the model yields a dynamic model specification of the conditional regression coefficient that is known as the <jats:italic>beta<\/jats:italic>. We apply the model to a large set of assets and find the conditional betas to be far more variable than usually found with rolling\u2010window regressions based exclusively on daily returns. In the empirical part of the paper, we examine the cross\u2010sectional as well as the time variation of the conditional beta series during the financial crises. Copyright \u00a9 2014 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.2389","type":"journal-article","created":{"date-parts":[[2014,4,14]],"date-time":"2014-04-14T05:36:38Z","timestamp":1397453798000},"page":"774-799","source":"Crossref","is-referenced-by-count":131,"title":["REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY"],"prefix":"10.1002","volume":"29","author":[{"given":"Peter Reinhard","family":"Hansen","sequence":"first","affiliation":[{"name":"European University Institute  Florence Italy"},{"name":"CREATES  Aarhus Denmark"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Asger","family":"Lunde","sequence":"additional","affiliation":[{"name":"CREATES  Aarhus Denmark"},{"name":"Department of Economics and Business Aarhus University  Denmark"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Valeri","family":"Voev","sequence":"additional","affiliation":[{"name":"Department of Economics and Business Aarhus University  Denmark"},{"name":"Siemens Wind Power A\/S  Brande Denmark"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2014,4,14]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527343"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214501750332965"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00055-1"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0731-9053(05)20020-8"},{"key":"e_1_2_9_7_1","volume-title":"Realized Covariation, Realized Beta, and Microstructure Noise","author":"Bandi FM","year":"2005"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00336"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2004.00515.x"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbh001"},{"key":"e_1_2_9_11_1","series-title":"Econometric Society Monographs","first-page":"328","volume-title":"Advances in Economics and Econometrics: Theory and Applications\u2014Ninth World Congress","author":"Barndorff\u2010Nielsen OE","year":"2007"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA6495"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2008.00275.x"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.07.009"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.1.1"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(03)00004-5"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05189.x"},{"key":"e_1_2_9_18_1","doi-asserted-by":"crossref","unstructured":"ChenX GhyselsE WangF.2011.HYBRID\u2010GARCH a generic class of models for volatility predictions using mixed frequency data. 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