Bibliographic record
Abstract
We propose a new and flexible nonparametric framework for estimating the jump tails of Itô semimartingale processes. The approach is based on a relatively simple-to-implement set of estimating equations associated with the compensator for the jump measure, or its intensity, that only utilizes the weak assumption of regular variation in the jump tails, along with in-fill asymptotic arguments for directly estimating the “large” jumps. The procedure assumes that the large-sized jumps are identically distributed, but otherwise allows for very general dynamic dependencies in jump occurrences, and, importantly, does not restrict the behavior of the “small” jumps or the continuous part of the process and the temporal variation in the stochastic volatility. On implementing the new estimation procedure with actual high-frequency data for the S&P 500 aggregate market portfolio, we find strong evidence for richer and more complex dynamic dependencies in the jump tails than hitherto entertained in the literature.
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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 | 0.003 | 0.019 |
| Meta-epidemiology (narrow) | 0.001 | 0.001 |
| Meta-epidemiology (broad) | 0.001 | 0.001 |
| Bibliometrics | 0.002 | 0.001 |
| Science and technology studies | 0.000 | 0.001 |
| Scholarly communication | 0.001 | 0.003 |
| Open science | 0.002 | 0.002 |
| Research integrity | 0.001 | 0.002 |
| Insufficient payload (model declined to judge) | 0.002 | 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".