{"id":"W3123032831","doi":"","title":"Past Market Variance and Asset Prices","year":2011,"lang":"en","type":"preprint","venue":"RePEc: Research Papers in Economics","topic":"Financial Markets and Investment Strategies","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"","funders":"Social Sciences and Humanities Research Council of Canada; Mitacs; University of Chicago","keywords":"Capital asset pricing model; Stochastic discount factor; Economics; Econometrics; Price variance; Variance (accounting); Discounting; Risk premium; Conditional variance; Variance risk premium; Financial economics; Consumption (sociology); Asset (computer security); Systematic risk; Autoregressive conditional heteroskedasticity; Finance; Stochastic volatility; Volatility risk premium; Volatility (finance)","routes":{"ca_aff":false,"ca_fund":true,"ca_venue":false,"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":[0.001642508,0.0002659827,0.000431062,0.000933308,0.0002912612,0.002002166,0.0004321818,0.0008138604,0.002867273],"category_scores_gemma":[0.015601,0.0002443893,0.0003425242,0.0009872231,0.001016318,0.002218858,0.0007131806,0.0009746834,0.0002703518],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0007354445,"about_ca_system_score_gemma":0.0002599511,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001190659,"about_ca_topic_score_gemma":0.0008971154,"domain_scores_codex":[0.9996195,0.0001072448,0.00002076325,0.0001142623,0.00008062773,0.00005761061],"domain_scores_gemma":[0.9939361,0.003644601,0.001213925,0.000611137,0.0003633583,0.0002308336],"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":[0.0001725752,0.0001625205,0.08286131,0.0001305498,0.0002945788,0.000448583,0.000485022,0.09989066,0.0037213,0.7378631,0.002279734,0.07168994],"study_design_scores_gemma":[0.00002013656,0.00006124107,0.06411872,0.00004746821,0.00006192161,0.0003020045,0.00009007256,0.2024172,0.0009633843,0.7291545,0.002712471,0.00005075659],"study_design_candidate":"observational","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.8654954,0.003469459,0.111409,0.002214346,0.00008540816,0.00001500432,0.0003420205,0.0001735769,0.01679565],"genre_scores_gemma":[0.9969589,0.0004791543,0.001282255,0.00004429491,0.00007609507,0.000005578515,0.00008284957,0.00001779731,0.001053209],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.002867273,"threshold_uncertainty_score":0.009591997,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.05278785532115431,"score_gpt":0.2708999726091307,"score_spread":0.2181121172879764,"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."}}