{"id":"W2092567227","doi":"10.1080/09603100802360032","title":"Extreme dependence in the NASDAQ and S&P 500 composite indexes","year":2008,"lang":"en","type":"article","venue":"Applied Financial Economics","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":9,"is_retracted":false,"has_abstract":true,"ca_institutions":"McGill University","funders":"","keywords":"Extreme value theory; Autoregressive conditional heteroskedasticity; Econometrics; Equity (law); Economics; Moment (physics); Tail dependence; Volatility clustering; Statistics; Mathematics; Physics; Volatility (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":["metaepi_narrow"],"consensus_categories":[],"category_scores_codex":[0.0006945309,0.0002426748,0.0005073357,0.0001888383,0.0003332455,0.0000655495,0.0004047535,0.0002228117,0.00002650031],"category_scores_gemma":[0.00008105877,0.0002637354,0.00008507662,0.0002129217,0.0001840426,0.0002342217,0.0001077344,0.0003889668,0.0002158137],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00009252598,"about_ca_system_score_gemma":0.00006523704,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.000666014,"about_ca_topic_score_gemma":0.001193328,"domain_scores_codex":[0.9981382,0.00001288597,0.0007981843,0.0005871583,0.0000338695,0.0004296568],"domain_scores_gemma":[0.9991013,0.0001262128,0.0002628491,0.0004293017,0.00001413696,0.00006612916],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"observational","study_design_scores_codex":[0.00008726709,0.0001196644,0.1765665,0.00001984003,0.000009269567,0.000007673103,0.003522313,0.0007271322,0.0000364733,0.8128824,0.0002725683,0.005748838],"study_design_scores_gemma":[0.001543403,0.00005932694,0.6154288,0.00001913117,0.000007560031,0.00005213637,0.0001122455,0.005516801,0.00006933913,0.2719106,0.1043735,0.0009070793],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9811979,0.001092596,0.003863087,0.0002783522,0.0002201923,0.0003367162,0.00006284562,0.00002869083,0.01291966],"genre_scores_gemma":[0.9951789,0.001744683,0.001840611,0.0008686743,0.0001757492,0.00006090254,0.00001682176,0.00002538678,0.00008823289],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.5409718,"threshold_uncertainty_score":0.9999815,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.06697249856016531,"score_gpt":0.2108681776092814,"score_spread":0.1438956790491161,"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."}}