{"id":"W3125356077","doi":"10.3390/econometrics3040864","title":"Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality","year":2015,"lang":"en","type":"article","venue":"Econometrics","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":9,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Toronto","funders":"National Science Foundation","keywords":"Heteroscedasticity; Seasonality; Econometrics; Volatility (finance); Estimator; Parametric statistics; Spot contract; Economics; Mathematics; Statistics; Financial economics","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":[0.002386815,0.0003324039,0.0005650082,0.0006247304,0.0001636085,0.0007995512,0.0006754349,0.0005072796,0.00059361],"category_scores_gemma":[0.01701858,0.0002885459,0.0004410236,0.0006169151,0.0003816716,0.001542157,0.0009482034,0.001031997,0.0001034444],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0001514431,"about_ca_system_score_gemma":0.0004382985,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001820686,"about_ca_topic_score_gemma":0.002324948,"domain_scores_codex":[0.9994385,0.0002802914,0.00003848051,0.00009116736,0.0001163586,0.00003522741],"domain_scores_gemma":[0.993985,0.004685952,0.000509508,0.0005589253,0.0001999157,0.00006071983],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.0001202421,0.000126368,0.0315045,0.0001130139,0.0002521149,0.0002838714,0.0002459356,0.7132637,0.007384187,0.044353,0.0005789213,0.2017741],"study_design_scores_gemma":[0.000003575616,0.00002374584,0.003839327,0.000007066979,0.00001128931,0.00003626558,0.00001479384,0.9860755,0.0006606292,0.009019976,0.0002983838,0.000009502796],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"methods","genre_scores_codex":[0.1883285,0.0003111405,0.8098776,0.0002488919,0.00001982486,0.00001376069,0.0000680983,0.00009940689,0.001032815],"genre_scores_gemma":[0.9321881,0.0002459687,0.06640298,0.00003920365,0.00005076349,0.00002026376,0.0001481559,0.00002817731,0.0008763165],"genre_candidate":"methods","genre_consensus":"methods","teacher_disagreement_score":0.002386815,"threshold_uncertainty_score":0.01262277,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.07085584415197826,"score_gpt":0.2444144918895224,"score_spread":0.1735586477375441,"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."}}