{"id":"W3121462754","doi":"","title":"Spot and Forward Volatility in Foreign Exchange","year":2010,"lang":"en","type":"article","venue":"RePEc: Research Papers in Economics","topic":"Monetary Policy and Economic Impact","field":"Economics, Econometrics and Finance","cited_by":15,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Guelph","funders":"","keywords":"Implied volatility; Volatility (finance); Forward volatility; Volatility risk premium; Volatility swap; Volatility smile; Economics; Variance swap; Speculation; Econometrics; Currency; Foreign exchange; Spot contract; Financial economics; Stochastic volatility; Monetary economics; Finance; Futures contract","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":[0.001084902,0.0002156149,0.0003392824,0.0007473464,0.0001398433,0.001026703,0.0001973581,0.0004404358,0.001624272],"category_scores_gemma":[0.008211526,0.0001120005,0.0002091567,0.0007097039,0.0003054701,0.0009674121,0.0005322298,0.0005385315,0.0003161345],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0002539798,"about_ca_system_score_gemma":0.0001663726,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001973782,"about_ca_topic_score_gemma":0.001112185,"domain_scores_codex":[0.9997421,0.00007430351,0.00002066534,0.00004570988,0.000083724,0.00003345422],"domain_scores_gemma":[0.9959921,0.001954611,0.001307261,0.0002324921,0.0003173677,0.0001961966],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"observational","study_design_gemma":"observational","study_design_scores_codex":[0.0006989048,0.000112286,0.9380666,0.00005969171,0.0002175089,0.0005212974,0.0006753663,0.01928206,0.00504443,0.01035433,0.0009450802,0.02402248],"study_design_scores_gemma":[0.0000289281,0.0001514378,0.9495479,0.00004156535,0.00006346597,0.0005417123,0.0004884074,0.03639088,0.002864486,0.008156174,0.001686746,0.0000382688],"study_design_candidate":"observational","study_design_consensus":"observational","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9980727,0.0002403556,0.0005848229,0.00008483531,0.000009672521,0.000001467153,0.0001431676,0.00001148635,0.000851397],"genre_scores_gemma":[0.9990571,0.0001001032,0.0001382415,0.000009254383,0.00002457612,0.000001446565,0.0003211794,0.000005324684,0.000342776],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.001973782,"threshold_uncertainty_score":0.005737603,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.06731481033144109,"score_gpt":0.2850575445725109,"score_spread":0.2177427342410698,"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."}}