{"id":"W3110073765","doi":"10.1016/j.jeconom.2020.09.004","title":"Efficient estimation and filtering for multivariate jump–diffusions","year":2020,"lang":"en","type":"article","venue":"Journal of Econometrics","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":3,"is_retracted":false,"has_abstract":false,"ca_institutions":"Bank of Canada","funders":"","keywords":"Estimator; Jump; Mathematics; Applied mathematics; Jump diffusion; Econometrics; Multivariate statistics; Volatility (finance); Affine transformation; Kalman filter; Statistics","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":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.0002869458,0.00008374022,0.0003042662,0.0003561662,0.00009636148,0.00005532764,0.0001350412,0.00005059386,0.00002380638],"category_scores_gemma":[0.001233632,0.0000910047,0.00009279173,0.0005107861,0.00002128969,0.00008803461,0.00004227743,0.00009308824,0.000021339],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00004225334,"about_ca_system_score_gemma":0.00002151575,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00000575916,"about_ca_topic_score_gemma":2.765133e-7,"domain_scores_codex":[0.9990168,0.000001219289,0.0006691309,0.0001593731,0.00002207064,0.0001314689],"domain_scores_gemma":[0.9988448,0.0001706665,0.0006967241,0.00007281348,0.00007809364,0.0001369197],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.0000785224,0.0002012587,0.001785522,0.0001804522,0.00008191771,0.000002107888,0.001197356,0.02186211,0.0001838292,0.9498436,0.0003822816,0.02420105],"study_design_scores_gemma":[0.001573148,0.0003954412,0.01321716,0.00002238872,0.00002767943,0.00001652947,0.00009945171,0.8662335,0.00005484279,0.1039954,0.01410211,0.0002623406],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.0644031,0.001233566,0.9319803,0.001567008,0.0001863831,0.0001537992,0.0001126875,0.000007324481,0.0003558997],"genre_scores_gemma":[0.9376522,0.00006368752,0.06180951,0.0002523875,0.0001843287,0.00001162433,0.000002649006,0.00001269764,0.00001093013],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.8732491,"threshold_uncertainty_score":0.3711064,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.1440897735886323,"score_gpt":0.2505410813674899,"score_spread":0.1064513077788576,"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."}}