{"id":"W3035430950","doi":"10.3390/jrfm13060123","title":"Robust Inference in the Capital Asset Pricing Model Using the Multivariate t-distribution","year":2020,"lang":"en","type":"article","venue":"Journal of risk and financial management","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":11,"is_retracted":false,"has_abstract":true,"ca_institutions":"","funders":"","keywords":"Capital asset pricing model; Arbitrage pricing theory; Econometrics; Consumption-based capital asset pricing model; Kurtosis; Multivariate statistics; Statistical inference; Wald test; Mathematics; Statistical hypothesis testing; Statistics","routes":{"ca_aff":false,"ca_fund":false,"ca_venue":true,"about_ca":false,"invisible_to_affiliation_only":true},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.01095997,0.0009987125,0.001746188,0.001782193,0.0005133325,0.002376786,0.001816493,0.001376945,0.002228169],"category_scores_gemma":[0.04668329,0.0005697081,0.001886572,0.001960434,0.002216242,0.004218944,0.001731296,0.00222889,0.0004332274],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001117443,"about_ca_system_score_gemma":0.001745499,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.007906888,"about_ca_topic_score_gemma":0.003333067,"domain_scores_codex":[0.9952065,0.003070137,0.0001739082,0.0007486104,0.000545817,0.0002549062],"domain_scores_gemma":[0.9715038,0.02470978,0.001607873,0.001186225,0.0007207827,0.0002715987],"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":[0.0001301522,0.00007806197,0.004181697,0.0001318107,0.0002553741,0.000333,0.000101239,0.7703475,0.0009796072,0.1787299,0.001064794,0.04366682],"study_design_scores_gemma":[0.000009882374,0.00001878461,0.0003728598,0.000006869407,0.00001017216,0.00003169857,0.000008781095,0.9483423,0.0001652486,0.05087996,0.0001395682,0.00001390914],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.01731884,0.0001823607,0.9816704,0.0001643128,0.00001629284,0.00001990998,0.00006839099,0.0001775967,0.0003820064],"genre_scores_gemma":[0.7328839,0.001074233,0.2625369,0.0002493679,0.0002301528,0.000225329,0.0006295603,0.0001717025,0.001998875],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.01095997,"threshold_uncertainty_score":0.05796254,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.06826180554279263,"score_gpt":0.2451203712378184,"score_spread":0.1768585656950258,"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."}}