EconPapers    
Economics at your fingertips  
 

Un MEDAF à plusieurs moments réalisés

Christophe Hurlin (), Patrick Kouontchou () and Bertrand Maillet
Additional contact information
Patrick Kouontchou: Variances et Centre d'Economie de la Sorbonne, http://centredeconomiesorbonne.univ-paris1.fr

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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 (search for similar items in EconPapers)
JEL-codes: C3 C4 C5 G1 (search for similar items in EconPapers)
Date: 2010-04
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
ftp://mse.univ-paris1.fr/pub/mse/CES2010/10033.pdf (application/pdf)

Related works:
Journal Article: Un MEDAF à plusieurs moments réalisés (2010) Downloads
Working Paper: Un MEDAF à plusieurs moments réalisés (2010) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:mse:cesdoc:10033

Access Statistics for this paper

More papers in Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Contact information at EDIRC.
Series data maintained by Lucie Label ().

 
Page updated 2017-09-22
Handle: RePEc:mse:cesdoc:10033