Mardi | 2009-05-05

Patrick KOUONTCHOU – Bertrand MAILLET – Sessi TOKPAVI

In this paper we present and extend the approach of Bollerslev and Zhang (2003)for “realized” measures and co-measures of risk in some classical asset pricingmodels, such as the Capital Asset Pricing Model (CAPM) of Sharpe (1964) andthe Arbitrage Pricing Theory (APT) model by Ross (1976). These extensionsinclude higher-moments asset pricing models (see Jurczenko and Maillet, 2006),conditional asset pricing models (see Bollerslev et al., 1988, and Jondeau andRockinger, 2004). Estimations are conducted using several methodologies aimingto neutralize data measurement and model misspecification errors (see Ledoitand Wolf, 2003 and 2004), properly dealing with inter-relations between financialassets in term of returns (see Zellner, 1962), but also in terms of higher conditionalmoments (see Bollerslev, 1988).