Model-based fault detection in powerline networking

Arora, Anish; Jagannathan, R.; Wang, Yimin

doi:10.1109/ipdps.2002.1015478

Cited by 4 publications

(1 citation statement)

References 9 publications

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“…Nos testes realizados, observaram dois problemas potenciais na metodologia SDF quando os retornos dos ativos são gerados por um modelo fatorial linear: (1) nãoé confiável quando se trata da estimação do prêmio de risco e (2) as especificações dos testes sob esta abordagem têm baixo poder em detectar modelos mal especificados. Cochrane (2001) mostrou, com base na observação de Arora et al (2001), que a estimação realizada por Kan and Zhou (1999) parte de pressupostos incomuns. Eles estimaram a Market Line (ML) já contendo informações referentes ao retorno médio do mercado exante pelo modelo CAPM, enquanto o GMM do SDF estima esses parâmetros.…”

Section: Revisão Empíricaunclassified

Comparação CAPM x Modelos Lower Partial Moments nos Mercados Brasileiro e Americano

Herrera

Perobelli

2018

Braz. Rev. Fin.

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This article empirically test the lower partial moments models, Sortino, Upside Potential Ratio, Omega and Kappa, comparing them with the traditional CAPM, for listed shares of Ibovespa and Dow Jones index. These two classes of models are distinguished in terms of investors' profile assumptions and risk measurement. While the CAPM considers only the first two moments of the returns distribution, assuming investor's quadratic utility function (defined in terms of mean/expected returns and variance/risk), the other measures take into account higher moments of returns distributions (assimetry and curtosis). The Hansen-Jagannathan distance, which estimates the Stochastic Discount Factor (SDF) measurement error generated by each model, showed a distinction of the models in the two markets. While the CAPM performed better for Dow Jones shares, the lower partial moments models presented better results for Ibovespa, suggesting an advantage in the use of such models in markets with lower liquidity, fat tails (greater probability of extreme events) and greater asymmetry.

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Section: Revisão Empíricaunclassified