{"id":"W3024356944","doi":"10.1017/s002210902000023x","title":"Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk","year":2020,"lang":"en","type":"article","venue":"Journal of Financial and Quantitative Analysis","topic":"Financial Markets and Investment Strategies","field":"Economics, Econometrics and Finance","cited_by":29,"is_retracted":false,"has_abstract":true,"ca_institutions":"HEC Montréal","funders":"","keywords":"Variance risk premium; Economics; Econometrics; Risk premium; Market risk; Skewness; Estimation; Variance (accounting); Index (typography); Volatility risk premium; Computer science","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":[0.004083892,0.0008424328,0.001044264,0.001543565,0.0002828815,0.001853445,0.001188247,0.001078083,0.002278745],"category_scores_gemma":[0.03143097,0.0004953214,0.0006069177,0.001055274,0.001119607,0.003391237,0.001382418,0.001616024,0.0002314398],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0008989191,"about_ca_system_score_gemma":0.0007709501,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00465342,"about_ca_topic_score_gemma":0.00278775,"domain_scores_codex":[0.9987225,0.000676377,0.00006553942,0.0001570262,0.000303989,0.00007459383],"domain_scores_gemma":[0.9888213,0.008741641,0.000910075,0.000488426,0.0007851569,0.0002533831],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.0001879294,0.00007431212,0.01044141,0.00007788422,0.0001566672,0.0001981207,0.00008074616,0.8639139,0.002232447,0.09863522,0.0004169673,0.02358444],"study_design_scores_gemma":[0.000004478544,0.00001172019,0.001127155,0.000006970617,0.000006399172,0.00002310846,0.000005938009,0.9847605,0.0003556551,0.01362004,0.00006170423,0.00001633257],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.3349528,0.0004686845,0.6609981,0.0002988219,0.00004377788,0.0000362293,0.0001230211,0.0001774204,0.002901183],"genre_scores_gemma":[0.9643211,0.0002479992,0.03398024,0.00002681743,0.0000273696,0.00002447803,0.0001401765,0.00003199913,0.001199847],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.00465342,"threshold_uncertainty_score":0.02159792,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.03236733355392263,"score_gpt":0.2390880630420281,"score_spread":0.2067207294881054,"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."}}