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Record W2144246192 · doi:10.1016/j.jeconom.2003.09.001

Bayesian analysis of stochastic volatility models with fat-tails and correlated errors

2003· article· en· W2144246192 on OpenAlexaff
Éric Jacquier, Nicholas G. Polson, Peter E. Rossi

Bibliographic record

VenueJournal of Econometrics · 2003
Typearticle
Languageen
FieldEconomics, Econometrics and Finance
TopicFinancial Risk and Volatility Modeling
Canadian institutionsCenter for Interuniversity Research and Analysis on OrganizationsHEC Montréal
FundersUniversity of PennsylvaniaBoston College
KeywordsEconometricsStochastic volatilityVolatility (finance)Markov chain Monte CarloConstant elasticity of variance modelLeverage (statistics)UnivariateLeverage effectBayesian inferenceBayes factorInferenceBayesian probabilityMathematicsForward volatilityStatisticsEconomicsComputer scienceAutoregressive conditional heteroskedasticity

Abstract

fetched live from OpenAlex
No abstract in any covered source. Its absence is recorded, not treated as a negative.

No abstract. This is not a gap in this database; OpenAlex has none either. 23.3% of the frame is in this state, and the screen finds HALF as much metaresearch here, so the absence is a measured bias rather than a missing field.

How this classification was reachedexpand

Full frame machine prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.

metaresearch head score (Codex)0.012
metaresearch head score (Gemma)0.049
Version: metacan-v3-hybrid-931329e0061cValidation status: machine_predicted_unvalidated
Candidate categoriesnone
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Simulation or modeling · Consensus signal: Simulation or modeling
GenreCandidate signal: Methods · Consensus signal: Methods
Teacher disagreement score0.012
Threshold uncertainty score0.061

Distilled classifier scores by category (both heads)

CategoryCodexGemma
Metaresearch0.0120.049
Meta-epidemiology (narrow)0.0010.003
Meta-epidemiology (broad)0.0030.002
Bibliometrics0.0020.002
Science and technology studies0.0010.002
Scholarly communication0.0030.006
Open science0.0030.002
Research integrity0.0030.003
Insufficient payload (model declined to judge)0.0030.000

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.097
GPT teacher head0.223
Teacher spread0.126 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it

Classification

machine, unvalidated

Machine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.

The models applied no category: nothing in the taxonomy fit this work.
Study designSimulation or modeling
Domainnot available
GenreMethods

How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".

Quick stats

Citations657
Published2003
Admission routes1
Has abstractno

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