{"id":"W4393868764","doi":"10.1002/for.3123","title":"An infinite hidden Markov model with stochastic volatility","year":2024,"lang":"en","type":"article","venue":"Journal of Forecasting","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":4,"is_retracted":false,"has_abstract":true,"ca_institutions":"McMaster University","funders":"Philosophy and Social Science Foundation of Hunan Province; Social Sciences and Humanities Research Council of Canada; National Natural Science Foundation of China","keywords":"Stochastic volatility; Econometrics; Volatility (finance); Markov chain; Hidden Markov model; Economics; Mathematics; Financial economics; Statistical physics; Computer science; Statistics; Artificial intelligence; Physics","routes":{"ca_aff":true,"ca_fund":true,"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":[0.003342403,0.0006901175,0.001612259,0.001191343,0.0006710709,0.002415454,0.002506203,0.002307117,0.006231856],"category_scores_gemma":[0.01024392,0.0008613458,0.001259039,0.00107261,0.001644712,0.002741219,0.001538335,0.002454695,0.0007431163],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001588982,"about_ca_system_score_gemma":0.001220592,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.01199933,"about_ca_topic_score_gemma":0.007678958,"domain_scores_codex":[0.998145,0.0008102104,0.00007431588,0.0004289785,0.000309493,0.000231967],"domain_scores_gemma":[0.9925074,0.005960606,0.0006189059,0.0002654603,0.0004470578,0.0002004612],"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":[0.0001087496,0.00006770243,0.00277034,0.00007942581,0.0001019544,0.0003448524,0.0002307553,0.6740358,0.0006652607,0.3092464,0.001928323,0.01042051],"study_design_scores_gemma":[0.00001313693,0.000008281174,0.0002175496,0.00001035678,0.00001160597,0.00002636771,0.00001085902,0.9559992,0.00006937558,0.0431549,0.0004662396,0.0000121852],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.1001953,0.0007518817,0.8868061,0.002405358,0.000218754,0.00006622363,0.001099616,0.0004954071,0.007961314],"genre_scores_gemma":[0.948786,0.0005547202,0.03418541,0.0002587683,0.0002307112,0.000211978,0.0008130889,0.00008790262,0.01487133],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.01199933,"threshold_uncertainty_score":0.02385896,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.05895035572317358,"score_gpt":0.2527799162886512,"score_spread":0.1938295605654776,"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."}}