{"id":"W3123985281","doi":"10.1016/j.jeconom.2017.01.005","title":"Chasing volatility","year":2017,"lang":"en","type":"article","venue":"Journal of Econometrics","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":26,"is_retracted":false,"has_abstract":false,"ca_institutions":"","funders":"Institut Louis Bachelier; European Commission; Global Risk Institute in Financial Services","keywords":"Volatility (finance); Mathematics; Econometrics; Multiplicative function; Jump; Stochastic volatility; Statistics; Applied mathematics; Mathematical analysis","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":[0.003070126,0.0005731431,0.0009086234,0.00141791,0.001087684,0.004890242,0.0009330115,0.001907241,0.00587593],"category_scores_gemma":[0.02769231,0.0005112374,0.0007423519,0.001342278,0.00282982,0.005888631,0.003094723,0.004098082,0.001224686],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0007892983,"about_ca_system_score_gemma":0.001069203,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0009894175,"about_ca_topic_score_gemma":0.0006927113,"domain_scores_codex":[0.9980913,0.0007062851,0.0001043665,0.0002990357,0.0006281213,0.0001709394],"domain_scores_gemma":[0.988231,0.007289562,0.0008409348,0.002054201,0.001096894,0.0004873889],"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":[0.00005844895,0.00004048308,0.00276014,0.00005020852,0.00006227336,0.0001122344,0.0002418057,0.007581488,0.00200214,0.9317928,0.004436695,0.05086142],"study_design_scores_gemma":[0.00001798988,0.000045134,0.001236605,0.00006301676,0.00004649854,0.0001881401,0.0001162872,0.05526275,0.003306137,0.9244273,0.01524876,0.00004145174],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.1976433,0.009838688,0.6084591,0.0370632,0.00389252,0.00005569158,0.0003121851,0.001147538,0.1415879],"genre_scores_gemma":[0.9530259,0.002740592,0.02440259,0.001941568,0.001228483,0.0000369669,0.0001373903,0.0002740648,0.01621256],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.00587593,"threshold_uncertainty_score":0.0196569,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.2978165038185923,"score_gpt":0.2716807228285039,"score_spread":0.0261357809900884,"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."}}