{"id":"W3213463895","doi":"10.2139/ssrn.3941678","title":"Improving the Asymmetric Stochastic Volatility Model with Ex-Post Volatility: The Identification of the Return-Volatility Correlation","year":2021,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":false,"ca_institutions":"McMaster University","funders":"","keywords":"Volatility (finance); Forward volatility; Stochastic volatility; Volatility swap; Econometrics; Volatility smile; Implied volatility; Variance swap; Volatility risk premium; Economics; SABR volatility model; Financial models with long-tailed distributions and volatility clustering; 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":[0.005328112,0.001488484,0.002239234,0.001041215,0.0005389423,0.00242222,0.002493475,0.002438616,0.001602251],"category_scores_gemma":[0.01975997,0.001167288,0.001663728,0.001107009,0.001317474,0.004527016,0.00310153,0.003293739,0.0004992313],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0005803423,"about_ca_system_score_gemma":0.00204214,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.002968215,"about_ca_topic_score_gemma":0.001802688,"domain_scores_codex":[0.9981747,0.0008612942,0.00009932234,0.000409304,0.000277742,0.0001775995],"domain_scores_gemma":[0.9927216,0.004097648,0.00123765,0.001035714,0.0006375367,0.0002698301],"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":[0.0001118464,0.0001223905,0.00432911,0.00009132915,0.0001955766,0.0002614672,0.0000897662,0.8749558,0.002036602,0.09836406,0.001026091,0.01841591],"study_design_scores_gemma":[0.000006224838,0.00001032346,0.0002445974,0.00000425106,0.0000116225,0.00001989909,0.000002725202,0.9894448,0.0001708706,0.00995883,0.000116628,0.000009142523],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.1100799,0.000390381,0.8860637,0.0007606447,0.0001063307,0.00003152471,0.0001393668,0.000227129,0.002200976],"genre_scores_gemma":[0.954717,0.0006165453,0.04022684,0.0001881812,0.0002666935,0.00005983235,0.0003493495,0.0001549401,0.003420543],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.005328112,"threshold_uncertainty_score":0.0281781,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.01109501580356761,"score_gpt":0.2002834614815942,"score_spread":0.1891884456780266,"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."}}