{"id":"W1850616657","doi":"10.1016/j.jeca.2009.01.005","title":"Common Factors and Causality in the Dynamics of Implied Volatility Surfaces: Evidence from the FX OTC Market","year":2009,"lang":"en","type":"article","venue":"The Journal of Economic Asymmetries","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":false,"ca_institutions":"","funders":"","keywords":"Econometrics; Volatility (finance); Economics; Currency; Financial economics; Monetary economics","routes":{"ca_aff":false,"ca_fund":false,"ca_venue":true,"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":[0.003105571,0.0003289723,0.0007549271,0.001164801,0.0006152185,0.003232902,0.0006563077,0.001419339,0.006984154],"category_scores_gemma":[0.03170323,0.0004727271,0.0005338539,0.00129354,0.001385409,0.003044056,0.0009557934,0.001578665,0.0004401718],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.000727192,"about_ca_system_score_gemma":0.0006204806,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.01211707,"about_ca_topic_score_gemma":0.005672027,"domain_scores_codex":[0.9994202,0.0001608364,0.00007376841,0.0001197945,0.0001345903,0.00009083401],"domain_scores_gemma":[0.9740056,0.01719642,0.005123066,0.001983129,0.001203803,0.0004879977],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"observational","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.002679231,0.0004030701,0.7229201,0.0001934007,0.0005122133,0.001087043,0.00304625,0.04067603,0.003948805,0.1433578,0.004015538,0.07716054],"study_design_scores_gemma":[0.0005022499,0.0002678394,0.6894965,0.00008813108,0.0004717032,0.0004992081,0.001772401,0.1453858,0.002029493,0.1557024,0.003647387,0.0001368001],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9951132,0.0002641875,0.001977752,0.000362914,0.000007119199,0.000007372289,0.0001823562,0.00003236848,0.002052805],"genre_scores_gemma":[0.9993082,0.0001184788,0.000212009,0.000009138087,0.00001014218,0.000001811455,0.0001546762,0.000007552109,0.0001779349],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.01211707,"threshold_uncertainty_score":0.02409303,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.04047146731174657,"score_gpt":0.2593159614861178,"score_spread":0.2188444941743712,"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."}}