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).