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Un MEDAF à plusieurs moments réalisés

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Author Info

  • Christophe Hurlin
  • Patrick Kouontchou
  • Bertrand Maillet

Abstract

Cet article généralise l'approche de Bollerslev et Zhang (2003) qui consiste à utiliser des mesures et co-mesures de risque « réalisées » pour l'estimation des sensibilités dans les modèles d'évaluation des actifs financiers. Nous proposons ici d'étendre cette approche en introduisant les moments d'ordre supérieur et développons des méthodologies d'estimation visant à neutraliser les erreurs de spécification et de modèle. A partir d'une base de données des prix de haute fréquence du marché français des actions, nous établissons que le recours à des mesures réalisées d'ordre supérieur contribue à améliorer l'ajustement global aux données de marché. / 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, explicitly 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.

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File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/81164/1/8ARTICLE%20HURLIN-KOUONTCHOU-MAILLER.pdf
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Bibliographic Info

Article provided by ULB -- Universite Libre de Bruxelles in its journal Brussels economic review.

Volume (Year): 53 (2010)
Issue (Month): 3/4 ()
Pages: 457-480

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Handle: RePEc:bxr:bxrceb:2013/81164

Note: Special Issue "26th Symposium on Money, Banking and Finance" Guest Editors :Sébastien Galanti and Grégory Levieuge
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Related research

Keywords: Moments réalisés/Realized Moments; MEDAF/CAPM; Données de haute fréquence/High-frequency Data; Estimations robustes/Robust Estimation;

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