{"id":"W3122442391","doi":"10.2139/ssrn.1595905","title":"Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash","year":2010,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Economic Policies and Impacts","field":"Economics, Econometrics and Finance","cited_by":6,"is_retracted":false,"has_abstract":false,"ca_institutions":"Trinity College","funders":"","keywords":"Econometrics; Economics; Stock market crash; Multivariate statistics; Financial crisis; Financial economics; Portfolio; Volatility (finance); Futures contract; Value at risk; Financial market; Capital asset pricing model; Risk management; Stock market; Finance; Mathematics; 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":[0.00190598,0.00008858991,0.0004040706,0.0002473645,0.0001298604,0.00002816592,0.0001248419,0.00007030432,0.0003904503],"category_scores_gemma":[0.0002175215,0.00007517529,0.0001422208,0.0002094823,0.0002854938,0.0001693482,0.00003142933,0.0006974635,0.000001741559],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00006993669,"about_ca_system_score_gemma":0.0001795136,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0003904877,"about_ca_topic_score_gemma":0.00206839,"domain_scores_codex":[0.9987766,0.00002618938,0.0005583782,0.0001320527,0.00003064086,0.0004761463],"domain_scores_gemma":[0.9989244,0.0001978956,0.0006015299,0.0001688985,0.00004383025,0.00006339021],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"observational","study_design_scores_codex":[0.00004187559,0.00003166022,0.3321278,0.000004575389,0.0009217466,6.243069e-8,0.0002588367,0.00003704036,0.00002524048,0.6659912,0.0003423231,0.0002176239],"study_design_scores_gemma":[0.0008730229,0.00006690199,0.6484087,0.00000206601,0.0001481933,0.00003491264,0.0002277396,0.0235362,0.000004073024,0.3259512,0.0006655816,0.00008143522],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9912996,0.001780428,0.001503668,0.001108719,0.00008957072,0.00008402801,0.0002441351,0.000002675548,0.003887167],"genre_scores_gemma":[0.9970307,0.002021142,0.00004550557,0.00005834215,0.00005203157,0.000001694651,0.000008231655,0.000006509422,0.0007757907],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.34004,"threshold_uncertainty_score":0.4275157,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.009357756612779862,"score_gpt":0.2121496022400055,"score_spread":0.2027918456272257,"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."}}