{"id":"W2015082670","doi":"10.1007/s10687-012-0159-9","title":"Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process","year":2012,"lang":"en","type":"article","venue":"Extremes","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":13,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Ottawa","funders":"Agence Nationale de la Recherche","keywords":"Asymptotic distribution; Estimator; Mathematics; Volatility (finance); Extreme value theory; Stochastic volatility; Econometrics; Limiting; Long memory; Conditional probability distribution; Heavy-tailed distribution; Weak convergence; Statistics; Applied mathematics; Statistical physics; Probability distribution; Computer science","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":[0.006129528,0.0007180226,0.001275869,0.001684734,0.0005585129,0.002145499,0.002134525,0.001460035,0.002659146],"category_scores_gemma":[0.03589053,0.0009136617,0.001170717,0.001005061,0.001634563,0.00271887,0.002149357,0.002201178,0.0004011987],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001099666,"about_ca_system_score_gemma":0.001463644,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.005744293,"about_ca_topic_score_gemma":0.003750259,"domain_scores_codex":[0.9991654,0.0004558044,0.00004406344,0.0001278304,0.0001235486,0.00008334552],"domain_scores_gemma":[0.9827815,0.01440415,0.001008362,0.000755957,0.0006025601,0.0004474948],"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":[0.0001362592,0.0001006108,0.007273332,0.00009647115,0.0001314538,0.0002069747,0.0002127893,0.8298786,0.001562864,0.1341752,0.000962943,0.02526246],"study_design_scores_gemma":[0.000005625888,0.000005080894,0.0003716824,0.000009517888,0.000006462864,0.00002734933,0.00001195668,0.9705432,0.000264435,0.02864694,0.00009650357,0.00001113852],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.09209117,0.0001749327,0.9060881,0.0002261616,0.00001273824,0.00003062394,0.0001254288,0.000349568,0.0009013672],"genre_scores_gemma":[0.8918338,0.0005864748,0.1038489,0.0000827386,0.00006871134,0.0001417645,0.0008147578,0.0001755251,0.00244741],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.006129528,"threshold_uncertainty_score":0.03241646,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.0595850019024599,"score_gpt":0.2793660395107017,"score_spread":0.2197810376082417,"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."}}