{"id":"W3030930914","doi":"10.1016/j.frl.2020.101610","title":"Volatility spillover around price limits in an emerging market","year":2020,"lang":"en","type":"article","venue":"Finance research letters","topic":"Market Dynamics and Volatility","field":"Economics, Econometrics and Finance","cited_by":12,"is_retracted":false,"has_abstract":false,"ca_institutions":"Trent University; Concordia University; Brock University","funders":"Social Sciences and Humanities Research Council of Canada; Concordia University","keywords":"Volatility (finance); Economics; Spillover effect; Financial economics; Econometrics; Price discovery; Limit (mathematics); Monetary economics; Microeconomics; Mathematics","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":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.003371795,0.0001944101,0.0004215154,0.0002799263,0.0001583669,0.0001556066,0.0005955171,0.000111118,0.0008929789],"category_scores_gemma":[0.0008535095,0.0002392255,0.00009504356,0.00113609,0.0001473753,0.0006643771,0.0001651439,0.0008111649,0.0001263751],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0002639966,"about_ca_system_score_gemma":0.000043661,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0004111129,"about_ca_topic_score_gemma":0.000129886,"domain_scores_codex":[0.9971821,0.0001715872,0.000665749,0.0009224389,0.0001772874,0.0008808254],"domain_scores_gemma":[0.9987909,0.0001914887,0.0001570799,0.0005975899,0.00006614783,0.0001968303],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"observational","study_design_gemma":"observational","study_design_scores_codex":[0.0001840722,0.0001330781,0.9782023,0.000118917,0.0000133967,0.00004373593,0.0006440585,0.00007479526,0.0002666228,0.005542547,0.01293256,0.001843909],"study_design_scores_gemma":[0.0004233969,0.00008217653,0.4910067,0.00002112987,6.152765e-7,5.547084e-7,0.00004644435,0.4276191,0.00001010373,0.00233206,0.07820333,0.0002543438],"study_design_candidate":"observational","study_design_consensus":"observational","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9620122,0.0003777776,0.001878465,0.0135877,0.0001361165,0.0004191131,0.0001062922,0.00003443853,0.02144795],"genre_scores_gemma":[0.996791,0.0001817547,0.000780015,0.001540385,0.0001749344,0.00004108206,0.00001656442,0.00003144582,0.000442823],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.4871956,"threshold_uncertainty_score":0.9777493,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.1145328778657721,"score_gpt":0.3200288173114299,"score_spread":0.2054959394456578,"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."}}