{"id":"W3004245008","doi":"10.1017/s0022109018001321","title":"Estimation of Multivariate Asset Models with Jumps","year":2018,"lang":"en","type":"article","venue":"Journal of Financial and Quantitative Analysis","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":18,"is_retracted":false,"has_abstract":true,"ca_institutions":"Wilfrid Laurier University","funders":"","keywords":"Curse of dimensionality; Asset (computer security); Multivariate statistics; Portfolio; Econometrics; Jump; Computation; Value at risk; Estimation; Computer science; Gaussian; Asset management; Sample (material); Risk management; Mathematics; Economics; Finance; Algorithm; Artificial intelligence; Machine learning","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":[0.002409932,0.0006039767,0.000919629,0.0008524789,0.0002079735,0.0009778026,0.001384943,0.001143225,0.001258784],"category_scores_gemma":[0.01013255,0.0007380895,0.0009575234,0.000630546,0.0005359151,0.001400465,0.001565781,0.001645869,0.0002416732],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0003827716,"about_ca_system_score_gemma":0.0009510081,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.002290898,"about_ca_topic_score_gemma":0.00240257,"domain_scores_codex":[0.9992567,0.000407396,0.00003696449,0.000102912,0.0001375001,0.00005862192],"domain_scores_gemma":[0.9959061,0.003153427,0.0003757073,0.0002954762,0.0001705886,0.00009864599],"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":[0.00006432208,0.00005610058,0.003540184,0.00005023834,0.000113519,0.00009290877,0.00003276402,0.9170647,0.00191213,0.03770143,0.000483389,0.03888826],"study_design_scores_gemma":[0.000003583984,0.000006378476,0.0001900409,0.000001766007,0.000002435145,0.000006974853,0.000001162924,0.9940273,0.0001552929,0.005529081,0.00007177606,0.00000420064],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.02366921,0.00009094591,0.9757921,0.00008011931,0.000008619545,0.00001218186,0.00004441311,0.0001364129,0.0001660337],"genre_scores_gemma":[0.6346197,0.0004059317,0.3624295,0.00009723434,0.00008044276,0.0001623828,0.0004284003,0.00009190252,0.001684598],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.002409932,"threshold_uncertainty_score":0.01274508,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.04249905583670423,"score_gpt":0.2813721518423461,"score_spread":0.2388730960056419,"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."}}