Un MEDAF à plusieurs moments réalisés
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Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00482370
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Other versions of this item:
- Christophe Hurlin & Patrick Kouontchou & Bertrand Maillet, 2010. "Un MEDAF à plusieurs moments réalisés," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 53(3/4), pages 457-480.
- Christophe Hurlin & Patrick Kouontchou & Bertrand Maillet, 2010. "Un MEDAF à plusieurs moments réalisés," Documents de travail du Centre d'Economie de la Sorbonne 10033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Christophe Hurlin & Patrick Kouontchou & Bertrand Maillet, 2010. "Un MEDAF à plusieurs moments réalisés," Post-Print halshs-00482370, HAL.
References listed on IDEAS
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- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003.
"Modeling and Forecasting Realized Volatility,"
Econometrica, Econometric Society, vol. 71(2), pages 579-625, March.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," Center for Financial Institutions Working Papers 01-01, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Labys, Paul, 2002. "Modeling and Forecasting Realized Volatility," Working Papers 02-12, Duke University, Department of Economics.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, National Bureau of Economic Research, Inc.
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- Richard Mawulawoe Ahadzie & Nagaratnam Jeyasreedharan, 2024. "Higher‐order moments and asset pricing in the Australian stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(1), pages 75-128, March.
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More about this item
Keywords
Realized moments; CAPM; high-frequency data; robust estimation.; Moments réalisés; MEDAF; données de haute fréquence; estimations robustes.;All these keywords.
JEL classification:
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
Statistics
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