Hurlin, Christophe; Kouontchou, Patrick; Maillet, Bertrand - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
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...
