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Un MEDAF à plusieurs moments réalisés

Christophe Hurlin (), Patrick Kouontchou () and Bertrand Maillet
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Patrick Kouontchou: CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: This paper generalizes the Bollerslev and Zhang (2003) approach for the estimation of loadings of asset pricing models using "realized" measures and co-measures of risk. We propose here to extend this approach by including higher-moments in asset pricing models. Estimations are conducted using several methodologies aiming to neutralize data measurement and model misspecification errors, explicity dealing with the inter-relations between financial asset returns. An empirical application performed on a high- frequency French stock price database shows that realized higher-moment measures contribute to improve the global adjustment of the extended model with market data.

Keywords: Realized moments; CAPM; high-frequency data; robust estimation.; Moments réalisés; MEDAF; données de haute fréquence; estimations robustes. (search for similar items in EconPapers)
Date: 2010-04
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00482370
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Published in Documents de travail du Centre d'Economie de la Sorbonne 2010.33 - ISSN : 1955-611X. 2010

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Journal Article: Un MEDAF à plusieurs moments réalisés (2010) Downloads
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