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Title: Using autoregressive logit models to forecast the exceedance probability for financial risk management
Authors: Taylor, JW
Yu, K
Keywords: Asymmetric Laplace distribution;Extreme value theory;Financial risk management;Probability forecasting
Issue Date: 2016
Citation: Journal of the Royal Statistical Society, 2016, 179 (4) pp. 1069 - 1092
ISSN: 0964-1998
Appears in Collections:Dept of Mathematics Research Papers

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