A Robust Conditional Realized Extended 4-CAPM

43 Pages Posted: 18 Feb 2009 Last revised: 31 Aug 2009

See all articles by Christophe Hurlin

Christophe Hurlin

University of Orleans

Patrick Kouontchou

University of Lorraine - CEREFIGE

Bertrand B. Maillet

EMLyon Business School (Paris Campus)

Date Written: June 15, 2009

Abstract

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 pricing models, such as the Capital Asset Pricing Model (CAPM) of Sharpe (1964) and the Arbitrage Pricing Theory (APT) model by Ross (1976). These extensions include higher-moments asset pricing models (see Jurczenko and Maillet, 2006), conditional asset pricing models (see Bollerslev et al., 1988, and Jondeau and Rockinger, 2004). Estimations are conducted using several methodologies aiming to neutralize data measurement and model misspecification errors (see Ledoit and Wolf, 2003 and 2004), properly dealing with inter-relations between financial assets in term of returns (see Zellner, 1962), but also in terms of higher conditional moments (see Bollerslev, 1988).

Keywords: Realized Betas, CAPM, Multifactor Pricing Models, High Frequency Data, Robust Estimation

JEL Classification: C3, C4, C5, G1

Suggested Citation

Hurlin, Christophe and Kouontchou, Patrick and Maillet, Bertrand B., A Robust Conditional Realized Extended 4-CAPM (June 15, 2009). Available at SSRN: https://ssrn.com/abstract=1343884 or http://dx.doi.org/10.2139/ssrn.1343884

Christophe Hurlin

University of Orleans ( email )

Université d'Orléans
Rue de Blois B.P. 6739 45
France

Patrick Kouontchou (Contact Author)

University of Lorraine - CEREFIGE ( email )

UFR DEA, Ile du Saulcy
Metz, 57045
France
033665778342 (Phone)

Bertrand B. Maillet

EMLyon Business School (Paris Campus) ( email )

23 Avenue Guy de Collongue
Ecully, 69132
France

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