{"id":"W2108170084","doi":"10.1017/s0022109000002180","title":"An International Examination of Affine Term Structure Models and the Expectations Hypothesis","year":2007,"lang":"en","type":"article","venue":"Journal of Financial and Quantitative Analysis","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":44,"is_retracted":false,"has_abstract":true,"ca_institutions":"","funders":"","keywords":"Yield curve; Affine term structure model; Affine transformation; Predictability; Econometrics; Volatility (finance); Forward rate; Short rate; Economics; Government bond; Term (time); Yield (engineering); Bond; Mathematics; Interest rate; Statistics; Monetary economics; Geometry; Physics; Finance","routes":{"ca_aff":false,"ca_fund":false,"ca_venue":false,"about_ca":true,"invisible_to_affiliation_only":true},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.0006914733,0.00008322613,0.0003845404,0.0004956099,0.0001065021,0.00003287778,0.0001509784,0.00005104952,0.0000173863],"category_scores_gemma":[0.0003666389,0.00006431944,0.0001205335,0.0005940046,0.0001717875,0.0003728335,0.00001710977,0.00009170363,5.690199e-7],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00001753057,"about_ca_system_score_gemma":0.00001730875,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00005309547,"about_ca_topic_score_gemma":0.0001048113,"domain_scores_codex":[0.9990482,0.00001010415,0.0006523195,0.000135494,0.0000670364,0.00008679818],"domain_scores_gemma":[0.9985074,0.0002563718,0.000852359,0.0000940544,0.0002469078,0.00004284411],"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":[0.0001133921,0.00005904228,0.003226862,0.000006821791,0.0002089578,9.828782e-7,0.003443926,0.0002147816,0.0001820668,0.9829096,0.000001751132,0.00963187],"study_design_scores_gemma":[0.0008503099,0.0001585024,0.6403179,0.00001070152,0.0002576125,0.000006726935,0.001026769,0.01155837,0.000114355,0.3455184,0.00006485042,0.0001155297],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.5389096,0.0009830863,0.4594281,0.0001683763,0.00004128296,0.00004676512,0.00007553826,0.000001496453,0.000345796],"genre_scores_gemma":[0.9895778,0.0002571478,0.01002366,0.00003448668,0.00008217351,0.000002335047,0.000005068249,0.000004556355,0.00001273902],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.6373912,"threshold_uncertainty_score":0.2622871,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.03494560138759416,"score_gpt":0.2720436333569046,"score_spread":0.2370980319693105,"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."}}