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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...
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a finite-sample distributional theory, robustness to the presence of weak instruments, and robustness to the … sur la possibilité de fournir une théorie distributionnelle à distance finie, sur la robustesse par rapport à la présence …
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