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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 |
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