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

  • Published:2016-01-27 Issue:4 Volume:179 Page:1069-1092
  • ISSN:0964-1998
  • Container-title:Journal of the Royal Statistical Society: Series A (Statistics in Society)
  • language:en
  • Short-container-title:J. R. Stat. Soc. A

Author:

Taylor James W.1,Yu Keming2

Affiliation:

1. University of Oxford; UK

2. Brunel University; Uxbridge UK

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Reference37 articles.

1. Modeling financial return dynamics via decomposition;Anatolyev;J. Bus. Econ. Statist.,2010

2. Disturbing extremal behavior of spot rate dynamics;Bali;J. Empir. Finan.,2003

3. Sampling uncertainty and confidence intervals for the Brier score and Brier skill score;Bradley;Weath. Forecast.,2008

4. Generalized additive modelling of sample extremes;Chavez-Demoulin;Appl. Statist.,2005

5. Extreme-quantile tracking for financial time series;Chavez-Demoulin;J. Econmetr.,2014

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