{"id":"W7108654598","doi":"10.3390/jrfm18120681","title":"Regime-Switching Affine Term Structure Models with Jumps: Evidence from South African Bond Yields","year":2025,"lang":"en","type":"article","venue":"Journal of risk and financial management","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"","funders":"","keywords":"Affine transformation; Jump diffusion; Jump; Term (time); Affine term structure model; Nonlinear system; Kalman filter; Diffusion","routes":{"ca_aff":false,"ca_fund":false,"ca_venue":true,"about_ca":false,"invisible_to_affiliation_only":true},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.002142956,0.0002833223,0.0003762711,0.0004900593,0.0004101621,0.001035554,0.0005784983,0.0008103475,0.00224744],"category_scores_gemma":[0.01207838,0.0002864163,0.0003917087,0.0009212405,0.0005915758,0.001692574,0.0006029207,0.001106649,0.0003613645],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0004476671,"about_ca_system_score_gemma":0.0002663293,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.01187896,"about_ca_topic_score_gemma":0.006800994,"domain_scores_codex":[0.9997267,0.0001258886,0.00002416396,0.00004662592,0.00004593563,0.00003066248],"domain_scores_gemma":[0.99527,0.003191551,0.0008317372,0.0003594366,0.0002474283,0.0001000041],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"observational","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.001083859,0.0002846581,0.5138412,0.0003566434,0.0005267562,0.002682768,0.003848547,0.3418172,0.007449062,0.05929586,0.002926252,0.06588723],"study_design_scores_gemma":[0.00006168646,0.0001901482,0.2502283,0.00008434765,0.000150255,0.0003771424,0.001303725,0.7033566,0.002040453,0.03863196,0.00351244,0.00006294789],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9931794,0.0003095068,0.004874721,0.0003445901,0.000005096984,0.000007383029,0.0001234888,0.00002741439,0.001128294],"genre_scores_gemma":[0.9990659,0.0001897616,0.0003966154,0.000008539037,0.000004580667,0.000002280148,0.00008549423,0.000004516955,0.0002423276],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.01187896,"threshold_uncertainty_score":0.02361965,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.01469568492619886,"score_gpt":0.2070780602200409,"score_spread":0.192382375293842,"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."}}