Volatility transmission between the oil price, the exchange rate and the stock market index
Bibliographic record
Abstract
Ce mémoire analyse la transmission de volatilité entre le prix du pétrole, le taux de change et l’indice boursier au Canada et aux États-Unis de 1999/01/04 à 2014/03/21. En utilisant un modèle MGARCH-BEKK, nos résultats montrent qu’au Canada, il existe une transmission bidirectionnelle de volatilité entre le taux de change $US/$CAD et l’indice boursier TSX, une transmission positive de l’indice boursier au prix du pétrole, ainsi qu’une transmission négative du taux de change au prix du pétrole. Les résultats suggèrent également que ces relations ne sont pas stables dans le temps. Pour les États-Unis, le modèle estimé ne satisfait pas la condition de stationnarité de la covariance pour la période totale et la sous période 1999/01/04 – 2002/10/08. C’est pourquoi nous considérons uniquement les résultats des sous périodes 2002/10/09 – 2008/05/30 et 2008/06/02 – 2014/03/21. Il ressort qu’il existe des transmissions de volatilité, mais que celles-ci ne sont pas stables dans le temps.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot 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.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.005 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.001 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.002 | 0.001 |
| Open science | 0.000 | 0.001 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.004 | 0.000 |
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.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
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".