{"id":"W1028820950","doi":"10.71781/21016","title":"Asymmetry risk, state variables and stochastic discount factor specification in asset pricing models","year":2004,"lang":"en","type":"dissertation","venue":"Papyrus : Institutional Repository (Université de Montréal)","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":false,"ca_institutions":"","funders":"Mitacs; Bank of Canada","keywords":"Stochastic discount factor; Capital asset pricing model; Economics; Discounting; Asymmetry; Econometrics; Actuarial science; Financial economics; Finance; Physics","routes":{"ca_aff":false,"ca_fund":true,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":true},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.004957884,0.0009182649,0.001635489,0.0009476132,0.0005397762,0.00384106,0.001511136,0.00189775,0.003345523],"category_scores_gemma":[0.02693876,0.001100196,0.001305282,0.001515481,0.001420969,0.004639062,0.001246621,0.003479611,0.0004923905],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001626286,"about_ca_system_score_gemma":0.002355287,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.01370603,"about_ca_topic_score_gemma":0.008742086,"domain_scores_codex":[0.9989575,0.0005502151,0.00008148758,0.0001293437,0.000160035,0.0001213756],"domain_scores_gemma":[0.9884632,0.00944311,0.0007635407,0.0005850435,0.00048362,0.0002614817],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.000087245,0.00008457091,0.003015909,0.000078546,0.0001102865,0.0001525318,0.0002469414,0.2917553,0.0003740633,0.6829522,0.002544438,0.01859784],"study_design_scores_gemma":[0.00002033317,0.00001301927,0.00073338,0.00002654285,0.00004539762,0.00003471124,0.00002863987,0.6593366,0.0001324926,0.3387986,0.0008026171,0.00002771777],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.1474478,0.002256964,0.836876,0.002598493,0.0001869454,0.00007089804,0.0005029157,0.0002046446,0.009855289],"genre_scores_gemma":[0.9363583,0.003107025,0.0449463,0.0001358051,0.0003177247,0.0001379531,0.0008298142,0.0001843082,0.01398286],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.01370603,"threshold_uncertainty_score":0.0272525,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.009854828008771448,"score_gpt":0.1715396118631676,"score_spread":0.1616847838543962,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}