{"id":"W2962721748","doi":"10.1108/sef-06-2018-0170","title":"Behavioral analysis of long-term implied volatilities","year":2019,"lang":"en","type":"article","venue":"Studies in Economics and Finance","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":1,"is_retracted":false,"has_abstract":true,"ca_institutions":"York University; Royal Bank of Canada","funders":"","keywords":"Economics; Interest rate; Econometrics; Implied volatility; Rendleman–Bartter model; Volatility (finance); Interest rate risk; Volatility smile; Stochastic volatility; Financial economics; Actuarial science; Monetary economics","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":[0.001035762,0.0002712987,0.0002276612,0.0005485759,0.0001396767,0.0008700159,0.0003968611,0.0003448448,0.002145403],"category_scores_gemma":[0.00647298,0.0001290646,0.0003555776,0.0004472862,0.000215843,0.001195836,0.0003065109,0.0005125219,0.0002595757],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0003102509,"about_ca_system_score_gemma":0.0002602998,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001063211,"about_ca_topic_score_gemma":0.0008291123,"domain_scores_codex":[0.9995463,0.0001057678,0.00003010739,0.00009329883,0.0001772261,0.00004718213],"domain_scores_gemma":[0.9970539,0.001520521,0.0006687971,0.0002705026,0.0003856824,0.0001005713],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"observational","study_design_gemma":"observational","study_design_scores_codex":[0.0006409256,0.0006357529,0.6274927,0.0003488393,0.0004946487,0.000819353,0.001174038,0.11407,0.05432152,0.0526058,0.001338239,0.1460583],"study_design_scores_gemma":[0.00001274204,0.0003831451,0.3889648,0.00004420359,0.0001223875,0.0005548535,0.0005139919,0.5780525,0.0115779,0.0178751,0.001805301,0.00009313331],"study_design_candidate":"observational","study_design_consensus":"observational","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9369662,0.0002292986,0.05693213,0.0001429523,0.00001278932,0.00004285261,0.0003737567,0.0001245991,0.005175316],"genre_scores_gemma":[0.995557,0.00006067809,0.003496807,0.00001652359,0.000004455776,0.00001495248,0.0001961973,0.000009075922,0.0006443424],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.002145403,"threshold_uncertainty_score":0.007177114,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.04384570389718828,"score_gpt":0.2848069824840284,"score_spread":0.2409612785868401,"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."}}