{"id":"W1496599184","doi":"10.2139/ssrn.2495779","title":"Factor Structure in Commodity Futures Return and Volatility","year":2014,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Market Dynamics and Volatility","field":"Economics, Econometrics and Finance","cited_by":22,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Toronto","funders":"","keywords":"Volatility (finance); Economics; Futures contract; Commodity market; Financialization; Financial economics; Stylized fact; Volatility swap; Volatility smile; Contango; Equity (law); Commodity swap; Implied volatility; Monetary economics; Macroeconomics; Finance","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.002003552,0.0001525386,0.0003396454,0.0001330108,0.0001541768,0.00007858096,0.0002013743,0.0001375751,0.0001595524],"category_scores_gemma":[0.0001950199,0.0001514721,0.00007078506,0.0001195358,0.00004725017,0.000183677,0.00004760476,0.001642153,0.000001778492],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0004183113,"about_ca_system_score_gemma":0.0001091325,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0002863062,"about_ca_topic_score_gemma":0.00914168,"domain_scores_codex":[0.9980744,0.00006834909,0.0004715334,0.0002849969,0.0000437323,0.001057019],"domain_scores_gemma":[0.9993507,0.00006135221,0.0002500083,0.00023085,0.00002363896,0.0000834699],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"observational","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.00003007889,0.0000222823,0.8693224,0.000009656454,0.00002345061,2.867745e-7,0.000110168,0.000001062598,0.000009496342,0.1250018,0.00001797661,0.005451307],"study_design_scores_gemma":[0.0003901959,0.00006066822,0.2973443,0.000003600464,0.000001704703,0.00001976262,0.00004419478,0.05622846,0.000001749427,0.643912,0.001864676,0.0001287931],"study_design_candidate":"observational","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.992473,0.002051815,0.003527218,0.0004212649,0.0002146499,0.00008768809,0.00007667043,0.00001113441,0.00113656],"genre_scores_gemma":[0.9988394,0.0006820776,0.00006573222,0.00007746358,0.0001581505,0.000001048306,0.000006659216,0.00001309591,0.0001563302],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.5719782,"threshold_uncertainty_score":0.7134431,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.009223196797388197,"score_gpt":0.2052409990748963,"score_spread":0.1960178022775081,"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."}}