{"id":"W2151667938","doi":"10.2139/ssrn.1504109","title":"Forecasting Expected Shortfall with a Generalized Asymmetric Student-T Distribution","year":2009,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":6,"is_retracted":false,"has_abstract":false,"ca_institutions":"McGill University; Center for Interuniversity Research and Analysis on Organizations","funders":"","keywords":"Expected shortfall; Econometrics; Distribution (mathematics); Economics; Mathematics; Actuarial science; 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":[0.002111235,0.000596509,0.001169847,0.0008875867,0.0003139009,0.0008351197,0.00107493,0.001600932,0.001116158],"category_scores_gemma":[0.008578564,0.0004057313,0.0008689844,0.0008737718,0.0004856125,0.001559901,0.0007312305,0.001145053,0.0002860923],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0005833357,"about_ca_system_score_gemma":0.0005050306,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.002628706,"about_ca_topic_score_gemma":0.002032291,"domain_scores_codex":[0.999473,0.0001915712,0.0000313683,0.0001408543,0.0001033542,0.00005990244],"domain_scores_gemma":[0.995533,0.002985136,0.0005496877,0.000238384,0.0004789932,0.0002148334],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.0003811886,0.00006976632,0.007071042,0.00003345092,0.00007241686,0.0001422105,0.00003409445,0.9585885,0.001779217,0.006514842,0.0005903082,0.02472303],"study_design_scores_gemma":[0.000004551988,0.00001052551,0.0002240464,6.925887e-7,0.00000214285,0.00000738991,0.000001397216,0.998589,0.0000961722,0.00104417,0.00001755243,0.000002359251],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.4686718,0.0001885202,0.5296681,0.0002081154,0.00008630795,0.00003982917,0.0001494535,0.0003489803,0.0006389659],"genre_scores_gemma":[0.9737064,0.00008796693,0.02511081,0.00003075495,0.00005771704,0.00002087528,0.0001979045,0.00002460478,0.0007629934],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.002628706,"threshold_uncertainty_score":0.01116544,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02425320361425194,"score_gpt":0.232313791846871,"score_spread":0.208060588232619,"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."}}