The Analysis of the Theoretical Framework on Higher Moments Volatility Modeling and Application*

摘要：

higher moments of variables are defined and higher moments volatility models ,including single variable higher moments modeling and binary variables higher moments modeling are set up by virtue of high-frequency data &realized volatility theory. Based on higher moments volatility model, the theoretical framework on capital asset pricing model of higher moments (CAPM) is put forward .The relationship between higher moments CAPM and traditional CAPM is explained. It is turned out that higher moments CAPM could price financial risk more accurately than traditional CAPM.

关键词： high-frequency data higher moments CAPM

作者: Tang Zhenpeng Tang Yong

作者单位: School of management Fu Zhou University,P.R.China, 350002

会议类型: 国际会议

会议名称: The 15th International Conference on Industrial Engineering and Engineering Management(IE&EM2008)(第十五届工业工程与工程管理国际学术会议暨中国机械工程学会第11次工业工程年会)

会议地点: 郑州

会议语种:英文

在线出版日期: 2008-09-20（万方平台首次上网日期，不代表论文的发表时间）