Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/10172
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 |
URI: | https://bura.brunel.ac.uk/handle/2438/10172 |
DOI: | https://doi.org/10.1111/rssa.12176 |
ISSN: | 0964-1998 |
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 |
Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.