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Abstract：
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.
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PROCEEDINGS OF THE 15TH INTERNATIONAL CONFERENCE ON INDUSTRIAL ENGINEERING AND ENGINEERING MANAGEMENT, VOLS A-C
Year： 2008
Page： 2157-2160
Language： English
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ESI Highly Cited Papers on the List： 0 Unfold All
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30 Days PV： 1
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