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Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/10172Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Taylor, JW | - |
| dc.contributor.author | Yu, K | - |
| dc.date.accessioned | 2015-02-10T11:02:32Z | - |
| dc.date.available | 2015-02-10T11:02:32Z | - |
| dc.date.issued | 2016 | - |
| dc.identifier.citation | Journal of the Royal Statistical Society, 2016, 179 (4) pp. 1069 - 1092 | en_US |
| dc.identifier.issn | 0964-1998 | - |
| dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/10172 | - |
| dc.language.iso | en | en_US |
| dc.relation.ispartof | Journal of the Royal Statistical Society | - |
| dc.subject | Asymmetric Laplace distribution | en_US |
| dc.subject | Extreme value theory | en_US |
| dc.subject | Financial risk management | en_US |
| dc.subject | Probability forecasting | en_US |
| dc.title | Using autoregressive logit models to forecast the exceedance probability for financial risk management | en_US |
| dc.type | Article | en_US |
| dc.date.dateAccepted | 2015-10-12 | - |
| dc.identifier.doi | https://doi.org/10.1111/rssa.12176 | - |
| dc.identifier.eissn | 1467-985X | - |
| dcterms.publisher | Wiley on behalf of the Royal Statistical Society | - |
| dc.description.version | Accepted | - |
| Appears in Collections: | Dept of Mathematics Research Papers | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | 668.62 kB | Adobe PDF | View/Open |
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