{"id":"W1891055026","doi":"10.1198/073500102288618504","title":"Rolling-Sample Volatility Estimators","year":2002,"lang":"en","type":"article","venue":"Journal of Business and Economic Statistics","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":193,"is_retracted":false,"has_abstract":true,"ca_institutions":"Center for Interuniversity Research and Analysis on Organizations","funders":"","keywords":"Estimator; Quadratic variation; Volatility (finance); Stochastic volatility; Realized variance; Econometrics; Weighting; Monte Carlo method; Quadratic equation; Mathematics; Statistics","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":[0.007004512,0.0006958068,0.001226562,0.001576475,0.000332932,0.001750774,0.002866759,0.00101703,0.005010546],"category_scores_gemma":[0.03268378,0.0005209834,0.001134092,0.001816948,0.0006726775,0.003202552,0.001636884,0.001746147,0.001130047],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0005185738,"about_ca_system_score_gemma":0.0007827045,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0008921373,"about_ca_topic_score_gemma":0.001025015,"domain_scores_codex":[0.9960607,0.001820132,0.0002104939,0.0005811837,0.001144958,0.0001824556],"domain_scores_gemma":[0.9905219,0.00536493,0.0008391726,0.001694669,0.00142856,0.0001508146],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.0001416317,0.0001207082,0.004299275,0.0002679805,0.0002858599,0.0001374374,0.0001646891,0.201415,0.005047541,0.3924871,0.003564438,0.3920684],"study_design_scores_gemma":[0.00003762167,0.0001245443,0.001846741,0.00005018574,0.00007033099,0.0001451213,0.00002605629,0.8472841,0.002723826,0.1401813,0.007454527,0.00005563198],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"methods","genre_scores_codex":[0.00304943,0.0002377739,0.9952774,0.00006369737,0.00003864104,0.00002717301,0.00004989076,0.0002131753,0.001042847],"genre_scores_gemma":[0.2524989,0.001031527,0.7406369,0.0002999945,0.0003240078,0.0002712968,0.0005143427,0.000242159,0.004180755],"genre_candidate":"methods","genre_consensus":"methods","teacher_disagreement_score":0.007004512,"threshold_uncertainty_score":0.03704387,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.04771525444104942,"score_gpt":0.2244993395939549,"score_spread":0.1767840851529054,"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."}}