{"id":"W4283076390","doi":"10.1080/00036846.2022.2081663","title":"Does the US stock market information matter for European equity market volatility: a multivariate perspective?","year":2022,"lang":"en","type":"article","venue":"Applied Economics","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":2,"is_retracted":false,"has_abstract":true,"ca_institutions":"Toronto Metropolitan University","funders":"","keywords":"Econometrics; Economics; Volatility (finance); Univariate; Implied volatility; Multivariate statistics; Forward volatility; Stock market; Stock market index; Realized variance; Volatility smile; Autoregressive model; Financial economics; Autoregressive conditional heteroskedasticity; Equity (law); Statistics; Mathematics","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":["insufficient_payload"],"consensus_categories":[],"category_scores_codex":[0.002491645,0.000226814,0.0003710984,0.0001424033,0.00077954,0.0002018554,0.0005477018,0.00005908253,0.00195948],"category_scores_gemma":[0.00007641901,0.0001981481,0.0001866858,0.0001139469,0.00006272389,0.0004222179,0.0005929465,0.0003059888,0.0002207397],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0005472569,"about_ca_system_score_gemma":0.00004161899,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0004328374,"about_ca_topic_score_gemma":0.00006695498,"domain_scores_codex":[0.9981779,0.00004264147,0.0008564486,0.0004663131,0.0000355185,0.0004211107],"domain_scores_gemma":[0.9986283,0.0001507774,0.0005353447,0.0005837502,0.00003773658,0.00006415097],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"not_applicable","study_design_scores_codex":[0.002027784,0.0003740958,0.1050106,0.0002065065,0.00039709,7.082575e-7,0.01297523,0.01449587,0.00001166206,0.7850523,0.05196698,0.0274812],"study_design_scores_gemma":[0.001283838,0.00004631535,0.1305231,0.000002378433,0.00001911837,0.000001783064,0.001057862,0.3375641,0.000005996946,0.1705231,0.3584702,0.0005022875],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.6098619,0.0001327709,0.03495675,0.002665996,0.001363116,0.002215411,0.002913187,0.0001065587,0.3457843],"genre_scores_gemma":[0.9953714,0.00002975288,0.001247447,0.001586482,0.0001709015,0.0003636159,0.00006045243,0.00004307194,0.001126858],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.6145292,"threshold_uncertainty_score":0.9989529,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02334412188881943,"score_gpt":0.2309408871340824,"score_spread":0.207596765245263,"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."}}