Using auto-regressive logit models to forecast the exceedance probability for financial risk management

DOI10.1111/RSSA.12176MaRDI QIDQ6660687FDOQ6660687

Keming Yu, James W. Taylor

Publication date: 10 January 2025

Published in: Journal of the Royal Statistical Society. Series A. Statistics in Society (Search for Journal in Brave)

zbMATH Keywords

extreme value theoryasymmetric Laplace distributionfinancial risk managementprobability forecasting

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

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