{"id":"W4414051595","doi":"10.1016/j.jeconom.2025.106089","title":"On-line detection of changes in the shape of intraday volatility curves","year":2025,"lang":"en","type":"article","venue":"Journal of Econometrics","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":1,"is_retracted":false,"has_abstract":false,"ca_institutions":"Canadiana.org","funders":"Shanghai University of Finance and Economics; National Natural Science Foundation of China","keywords":"Semimartingale; Volatility (finance); Detector; Mixing (physics); Stochastic volatility","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":[0.0006017071,0.0004247186,0.0005033624,0.001694026,0.0002027885,0.0009995712,0.0005737604,0.001051799,0.004413906],"category_scores_gemma":[0.005032459,0.0002090754,0.0002263871,0.0008646536,0.0001351302,0.0006852386,0.0006989767,0.0007191463,0.0017487],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0001614026,"about_ca_system_score_gemma":0.0002053833,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0006335591,"about_ca_topic_score_gemma":0.0009869918,"domain_scores_codex":[0.9994961,0.0001554498,0.00002193554,0.0001160188,0.0001452138,0.00006524245],"domain_scores_gemma":[0.9967842,0.001388937,0.0005262758,0.0004555756,0.0006015718,0.0002433857],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"design_other","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.004407582,0.001069736,0.22597,0.0003385755,0.0003344459,0.001500392,0.0005449009,0.02303721,0.2715039,0.003470819,0.01289012,0.4549322],"study_design_scores_gemma":[0.0001637453,0.0006584708,0.263365,0.00005279819,0.00008892196,0.00145826,0.0002877988,0.655467,0.06767876,0.003964707,0.006718472,0.00009602203],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9138446,0.0002913568,0.07177124,0.0002924079,0.0001038142,0.00007169059,0.001622721,0.002369223,0.009632879],"genre_scores_gemma":[0.9799908,0.00008032766,0.01718772,0.00007164488,0.00004389381,0.00001768434,0.0009426114,0.0001992945,0.001465881],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.004413906,"threshold_uncertainty_score":0.01476598,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.1399169431504617,"score_gpt":0.2655442565858733,"score_spread":0.1256273134354115,"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."}}