{"id":"W2119874754","doi":"10.1016/j.eneco.2008.01.011","title":"Comparison of historically simulated VaR: Evidence from oil prices","year":2008,"lang":"en","type":"article","venue":"Energy Economics","topic":"Market Dynamics and Volatility","field":"Economics, Econometrics and Finance","cited_by":59,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Lethbridge; Alberta Energy","funders":"","keywords":"Autoregressive conditional heteroskedasticity; Volatility (finance); Volatility clustering; Econometrics; Futures contract; Economics; Value at risk; Vector autoregression; Parametric statistics; Derivative (finance); Financial economics; Mathematics; Statistics; Risk management; 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":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.00371611,0.0002421737,0.0003828669,0.001133664,0.0003610033,0.001660166,0.0009221209,0.001297807,0.002158192],"category_scores_gemma":[0.02787722,0.0002144219,0.0004109573,0.001138391,0.0007533528,0.002275811,0.0006015776,0.00108518,0.0004608327],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0008581431,"about_ca_system_score_gemma":0.0002845361,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.003233131,"about_ca_topic_score_gemma":0.002971429,"domain_scores_codex":[0.9988675,0.000527818,0.0000887664,0.0002301898,0.0002266736,0.00005910929],"domain_scores_gemma":[0.9721032,0.02165885,0.001642017,0.002014847,0.00232088,0.0002601051],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"observational","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.00621195,0.001641506,0.5066869,0.0004732762,0.001775498,0.0008638811,0.001772828,0.2952963,0.005792981,0.07452613,0.007947118,0.0970118],"study_design_scores_gemma":[0.000531034,0.001326221,0.4766739,0.0002528025,0.0005043908,0.0005642115,0.001290334,0.4514143,0.008777483,0.04601195,0.01243633,0.0002171014],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9909507,0.000490739,0.002896632,0.0003230536,0.00003554649,0.000005202911,0.0003701328,0.00005739876,0.004870552],"genre_scores_gemma":[0.9983607,0.0001825507,0.0004595205,0.00003116855,0.00002466849,0.000002833879,0.0006682739,0.00002525912,0.0002450918],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.00371611,"threshold_uncertainty_score":0.0196529,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.06386633621993008,"score_gpt":0.2479856992317445,"score_spread":0.1841193630118144,"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."}}