{"id":"W3126045287","doi":"","title":"A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations","year":2009,"lang":"en","type":"preprint","venue":"RePEc: Research Papers in Economics","topic":"Complex Systems and Time Series Analysis","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"Booth University College","funders":"Booth School of Business, University of Chicago","keywords":"Econometrics; Copula (linguistics); Multivariate statistics; Autoregressive model; Weighting; Mathematics; Statistics; Covariance; 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":"codex-gemma-dda1882f352a","candidate_categories":["metaepi_narrow"],"consensus_categories":[],"category_scores_codex":[0.001838845,0.0003846459,0.001211011,0.0009844661,0.0003655146,0.0003312081,0.0004389648,0.0004457791,0.0001714382],"category_scores_gemma":[0.0003922298,0.0004916614,0.00036033,0.0001626588,0.0001695009,0.0001998923,0.0004471507,0.0008456307,0.00003140879],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0007876813,"about_ca_system_score_gemma":0.0001803495,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0004815782,"about_ca_topic_score_gemma":0.0005268712,"domain_scores_codex":[0.9964834,0.00006705382,0.001394085,0.001230588,0.00006338055,0.0007614588],"domain_scores_gemma":[0.9978114,0.0004683985,0.0005186169,0.0009148863,0.0001092116,0.0001774835],"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":[0.0005189866,0.0004403196,0.01141169,0.0009103768,0.001033747,0.000009299002,0.00419546,0.8597807,0.00004902279,0.05728139,0.0002203079,0.06414873],"study_design_scores_gemma":[0.0006362612,0.00005321555,0.001953731,0.0001067797,0.00001256249,0.000002175452,0.0001236696,0.9207054,7.485839e-7,0.07334308,0.002634308,0.0004280248],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.6879579,0.0103067,0.02933034,0.003499658,0.001386016,0.01003756,0.008198602,0.0003917491,0.2488914],"genre_scores_gemma":[0.9697783,0.00252699,0.007337454,0.00004964621,0.0000996528,0.0004276656,0.0002970404,0.00009363933,0.0193896],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.2818204,"threshold_uncertainty_score":0.9997535,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.04633708795072451,"score_gpt":0.2925864008520073,"score_spread":0.2462493129012828,"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."}}