{"id":"W1559921737","doi":"10.2139/ssrn.1559360","title":"Assessing Misspecifications in Asset Pricing Models with Nonlinear Projections of Pricing Kernels","year":2010,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":2,"is_retracted":false,"has_abstract":false,"ca_institutions":"Université de Montréal","funders":"","keywords":"Capital asset pricing model; Nonlinear pricing; Economics; Financial economics; Econometrics; Consumption-based capital asset pricing model; Nonlinear system; Investment theory; Arbitrage pricing theory; Actuarial science; Physics","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":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.01102135,0.001094347,0.001336827,0.001081316,0.0003923491,0.002260714,0.00119909,0.002256174,0.0009423794],"category_scores_gemma":[0.07553335,0.00125185,0.001064131,0.0008062695,0.001055737,0.004849135,0.003149726,0.002138669,0.0001867906],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0007756345,"about_ca_system_score_gemma":0.001355854,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.003124605,"about_ca_topic_score_gemma":0.001934431,"domain_scores_codex":[0.9969487,0.001800893,0.0002035703,0.0003536553,0.0004928806,0.0002003915],"domain_scores_gemma":[0.9374963,0.05196054,0.005275171,0.002563136,0.001578126,0.001126707],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.0003605548,0.00008692104,0.01707321,0.00005452197,0.000169964,0.0001564094,0.00009220616,0.9650857,0.001190869,0.007169476,0.0001347421,0.008425388],"study_design_scores_gemma":[0.000007202059,0.00004701661,0.002017347,0.000003135434,0.00001480413,0.00003128211,0.00001326864,0.9925691,0.0003141226,0.004950854,0.00002072824,0.00001107387],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.7776965,0.0001444536,0.2211286,0.0002242015,0.00001786388,0.00002763677,0.00007343054,0.0001695903,0.0005177059],"genre_scores_gemma":[0.9891921,0.00007444762,0.01028035,0.00002233693,0.00001510343,0.00001428466,0.0001222829,0.00002865636,0.0002504213],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.01102135,"threshold_uncertainty_score":0.0582872,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02836304312874278,"score_gpt":0.2557828380534493,"score_spread":0.2274197949247065,"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."}}