{"id":"W3124460380","doi":"10.1016/j.econlet.2016.12.014","title":"Volatility and expected option returns: A note","year":2016,"lang":"en","type":"article","venue":"Economics Letters","topic":"Financial Markets and Investment Strategies","field":"Economics, Econometrics and Finance","cited_by":9,"is_retracted":false,"has_abstract":false,"ca_institutions":"McGill University","funders":"","keywords":"Moneyness; Volatility (finance); Implied volatility; Economics; Volatility smile; Econometrics; Volatility swap; Financial economics; Valuation of options; Stochastic volatility; Forward volatility","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":[0.0002351498,0.0001408355,0.0002541337,0.0001093739,0.00007681143,0.00007805398,0.0001102691,0.00007281906,0.0001954545],"category_scores_gemma":[0.00005977753,0.0001309139,0.00006217736,0.0000450234,0.0001176508,0.0005147462,0.00004230852,0.00005909369,0.0001660661],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0001270749,"about_ca_system_score_gemma":0.000009474893,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00007111605,"about_ca_topic_score_gemma":0.00002502516,"domain_scores_codex":[0.9989354,0.000009943085,0.0004143383,0.0003974578,0.000009756192,0.0002331161],"domain_scores_gemma":[0.9994135,0.0000483163,0.0002128105,0.0002531685,0.000007539035,0.00006467824],"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":[0.0001050251,0.00004339505,0.06492157,0.00002603817,0.00005250995,0.000003210322,0.0004621229,0.000006799088,0.002776784,0.9214373,0.004344408,0.005820832],"study_design_scores_gemma":[0.002073191,0.0001291026,0.6094796,0.00004902705,0.000009036886,0.00000853659,0.00005198082,0.002844171,0.0006036572,0.2334416,0.1503783,0.0009318355],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9821494,0.0002692748,0.002039381,0.008111488,0.0004106676,0.0001344114,0.00007861161,0.00004344784,0.006763291],"genre_scores_gemma":[0.9963915,0.0004590951,0.0009163399,0.001785552,0.00014964,0.00001896581,0.000005040745,0.00001807671,0.0002558412],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.6879957,"threshold_uncertainty_score":0.5338516,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.01908110190731996,"score_gpt":0.1894159683781316,"score_spread":0.1703348664708116,"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."}}