Bibliographic record
Abstract
In this study, we respond to the criticism that the value-at-risk (VaR) measure fails during financial crises and is only applicable during periods without asset price bubbles. We propose a new dating mechanism that is based on the work of Phillips (2015) to date-stamp the origination and termination of the asset price bubbles. Our method relaxed the minimum bubble duration constraint in the original model, and the empirical application statistically identified the bubbles periods in nine stock markets (Australia, Canada, China, Germany, Spain, Hong Kong, Japan, the United Kingdom, and the United States). We choose the two most widely adopted VaR models (RiskMetrics and RiskMetrics 2006) to test the performance. Our results show that the RiskMetrics model fails in most periods, whereas the RiskMetrics 2006 performs efficiently in the periods with asset price bubbles. These results prove the criticism that all the VaR models fail during crises as invalid.
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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 | 0.007 | 0.057 |
| 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 | 0.002 |
| Scholarly communication | 0.002 | 0.006 |
| Open science | 0.002 | 0.002 |
| Research integrity | 0.002 | 0.003 |
| 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".