Un MEDAF à plusieurs moments réalisés

Christophe Hurlin, Patrick Kouontchou () and Bertrand Maillet
Additional contact information
Patrick Kouontchou: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 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://shs.hal.science/halshs-00482370
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in 2010

Downloads: (external link)
https://shs.hal.science/halshs-00482370/document (application/pdf)

Related works:
Journal Article: Un MEDAF à plusieurs moments réalisés (2010)
Working Paper: Un MEDAF à plusieurs moments réalisés (2010)
Working Paper: Un MEDAF à plusieurs moments réalisés (2010)
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: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00482370

Access Statistics for this paper

More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Bibliographic data for series maintained by CCSD ().