{"id":"W3122955988","doi":"","title":"Parametric Inference and Dynamic State Recovery from Option Panels","year":2012,"lang":"en","type":"article","venue":"RePEc: Research Papers in Economics","topic":"Market Dynamics and Volatility","field":"Economics, Econometrics and Finance","cited_by":4,"is_retracted":false,"has_abstract":true,"ca_institutions":"Kellogg's (Canada)","funders":"National Research Foundation; Danmarks Grundforskningsfond; National Science Foundation","keywords":"Estimator; Stochastic volatility; Econometrics; Moneyness; Parametric statistics; Volatility (finance); Valuation of options; 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":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.006248476,0.0008025476,0.001196058,0.001642656,0.0005324,0.001419413,0.002068707,0.001543872,0.004025071],"category_scores_gemma":[0.05076747,0.0008380905,0.001509662,0.001476558,0.001536999,0.002382374,0.002582705,0.003007441,0.0007354695],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00056851,"about_ca_system_score_gemma":0.0009808658,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.002888688,"about_ca_topic_score_gemma":0.003071818,"domain_scores_codex":[0.9975847,0.00120978,0.0001289858,0.0004608053,0.0004710209,0.0001445843],"domain_scores_gemma":[0.9752803,0.01837019,0.001838072,0.003468418,0.0008277241,0.0002152949],"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":[0.00008519294,0.0001317129,0.007839556,0.000100096,0.0002344311,0.0002755805,0.0002475845,0.6554797,0.002963425,0.1909088,0.001284533,0.1404493],"study_design_scores_gemma":[0.000007928778,0.00001858173,0.0008516066,0.0000134372,0.00001258232,0.00004224979,0.000009062119,0.9417927,0.0006825384,0.05614746,0.0003969567,0.00002487815],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.005647196,0.00002972321,0.9937556,0.00005818018,0.000007879366,0.00001610831,0.00006156919,0.000128577,0.0002951412],"genre_scores_gemma":[0.4710357,0.0002849974,0.5229505,0.0001873731,0.0001258774,0.0004160965,0.001313016,0.0001726002,0.003513827],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.006248476,"threshold_uncertainty_score":0.03304547,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.04184802062795058,"score_gpt":0.2940052615364363,"score_spread":0.2521572409084857,"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."}}