{"id":"W2100412328","doi":"10.17016/feds.2015.020","title":"Downside Variance Risk Premium","year":2015,"lang":"en","type":"article","venue":"Finance and Economics Discussion Series","topic":"Financial Markets and Investment Strategies","field":"Economics, Econometrics and Finance","cited_by":48,"is_retracted":false,"has_abstract":true,"ca_institutions":"Université du Québec à Montréal; Bank of Canada","funders":"","keywords":"Variance risk premium; Downside risk; Risk premium; Skewness; Equity premium puzzle; Economics; Volatility risk premium; Liquidity premium; Econometrics; Capital asset pricing model; Variance (accounting); Equity risk; Financial economics; Volatility (finance); Portfolio; Implied volatility; Valuation (finance); Liquidity risk; Monetary economics; Market liquidity; 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":[],"consensus_categories":[],"category_scores_codex":[0.0004907959,0.0002422423,0.0004687822,0.0001004143,0.0002210445,0.0001914451,0.0001892591,0.0001333236,0.00008957901],"category_scores_gemma":[0.0001110029,0.0001936018,0.00007767892,0.0001126084,0.0001813602,0.001339831,0.0001296339,0.0001578702,0.0002676523],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00006917104,"about_ca_system_score_gemma":0.00005888615,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0001760788,"about_ca_topic_score_gemma":0.00007263752,"domain_scores_codex":[0.9984592,0.00001722703,0.0005932938,0.0005488871,0.00002262855,0.0003587493],"domain_scores_gemma":[0.9990104,0.00001752075,0.0004325226,0.0003791206,0.00002638887,0.0001340585],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"not_applicable","study_design_scores_codex":[0.0001224005,0.00005145774,0.05574355,0.00002150107,0.0000230639,0.000003172958,0.0009177425,0.0002188812,0.000002248884,0.9319586,0.008398713,0.002538724],"study_design_scores_gemma":[0.0006982105,0.0001503952,0.05346707,0.0000213004,0.000005119883,0.000009270579,0.0003775281,0.0004955567,0.00005845483,0.4069334,0.537412,0.000371656],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.8772639,0.003575288,0.0004763705,0.004221154,0.001532413,0.0003146217,0.0005540092,0.00009749176,0.1119648],"genre_scores_gemma":[0.976868,0.009726848,0.002261004,0.0004299348,0.0002642475,0.00006504733,0.00003430398,0.00003956058,0.01031101],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.5290133,"threshold_uncertainty_score":0.7894852,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02917756411747068,"score_gpt":0.202978230027743,"score_spread":0.1738006659102724,"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."}}