{"id":"W2810632803","doi":"10.1007/s10479-018-2941-9","title":"Closed-form variance swap prices under general affine GARCH models and their continuous-time limits","year":2018,"lang":"en","type":"article","venue":"Annals of Operations Research","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":42,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Calgary","funders":"Natural Sciences and Engineering Research Council of Canada","keywords":"Variance swap; Autoregressive conditional heteroskedasticity; Mathematics; Gaussian; Econometrics; Stochastic volatility; Affine transformation; Variance (accounting); Applied mathematics; Volatility (finance); Economics; Forward volatility","routes":{"ca_aff":true,"ca_fund":true,"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":[0.006822323,0.001383139,0.002425813,0.001722013,0.000689217,0.00524458,0.002494344,0.003159815,0.005425857],"category_scores_gemma":[0.03827227,0.001433645,0.001943021,0.002189712,0.00369705,0.01098681,0.002293053,0.003818327,0.0006979613],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001435322,"about_ca_system_score_gemma":0.001934894,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001703612,"about_ca_topic_score_gemma":0.001301638,"domain_scores_codex":[0.9977609,0.0008357367,0.000147188,0.0004744919,0.0004394803,0.0003422048],"domain_scores_gemma":[0.9790809,0.01543217,0.002331576,0.000872222,0.001638421,0.0006446535],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.0001463365,0.0001423,0.00182963,0.0002542818,0.0001398825,0.0005515672,0.0003725881,0.3014551,0.001509422,0.6745693,0.001939,0.01709058],"study_design_scores_gemma":[0.00001727832,0.00002593207,0.0005050481,0.00002560688,0.00003091819,0.000152048,0.00004896586,0.6958856,0.00028624,0.3026669,0.0003194489,0.00003601657],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.1825355,0.002718635,0.8018947,0.001415387,0.0001789324,0.00005843936,0.0002987683,0.000467259,0.01043242],"genre_scores_gemma":[0.9634001,0.001934433,0.0252291,0.00018699,0.0002560242,0.0001147346,0.0003821033,0.0001788998,0.008317618],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.006822323,"threshold_uncertainty_score":0.0360803,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.2830431286606594,"score_gpt":0.3861320112043833,"score_spread":0.1030888825437239,"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."}}