{"id":"W2158547048","doi":"10.2139/ssrn.1567158","title":"Modeling Market Downside Volatility","year":2011,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Market Dynamics and Volatility","field":"Economics, Econometrics and Finance","cited_by":12,"is_retracted":false,"has_abstract":false,"ca_institutions":"Bank of Canada","funders":"","keywords":"Volatility (finance); Downside risk; Financial economics; Econometrics; Business; Economics; Portfolio","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":[0.0005106542,0.0005165155,0.0007128549,0.0004220711,0.0003232112,0.001305243,0.0006634014,0.001335412,0.00176259],"category_scores_gemma":[0.0029092,0.0005229565,0.0006953703,0.0003438498,0.000363016,0.00130585,0.0005126929,0.0008912206,0.0001625095],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0005351979,"about_ca_system_score_gemma":0.0004731411,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.007860789,"about_ca_topic_score_gemma":0.004024108,"domain_scores_codex":[0.9998754,0.0000428221,0.000006334509,0.00002786007,0.00002101677,0.00002663649],"domain_scores_gemma":[0.9992482,0.0004953215,0.00009874332,0.00004455891,0.00005529571,0.00005781583],"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":[0.0000246465,0.00003426115,0.001537844,0.000009524927,0.00002634872,0.0000584441,0.00001435141,0.9862326,0.0008219572,0.008723943,0.0002495309,0.002266443],"study_design_scores_gemma":[0.000002801694,0.000003086988,0.0001042087,4.938892e-7,0.000002824085,0.000003553338,0.000001470672,0.9985397,0.00007265541,0.00122663,0.0000413417,0.000001127263],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.8721879,0.0004608426,0.1149752,0.000750322,0.0001095309,0.00003550515,0.0002118516,0.0002911135,0.01097786],"genre_scores_gemma":[0.9932672,0.0001249665,0.003879648,0.00003492193,0.00003832403,0.00001324693,0.00007696879,0.00003064441,0.002534127],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.007860789,"threshold_uncertainty_score":0.01563007,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02883036049199618,"score_gpt":0.2070227374317941,"score_spread":0.1781923769397979,"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."}}