Economics at your fingertips  

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 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:
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Published in Documents de travail du Centre d'Economie de la Sorbonne 2010.33 - ISSN : 1955-611X. 2010

Downloads: (external link) (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:

Access Statistics for this paper

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

Page updated 2017-11-21
Handle: RePEc:hal:cesptp:halshs-00482370