It Pays to Violate: Model Choice and Critical Value Assumption for Forecasting Value-at-Risk Thresholds

B.S.A. Da Veiga, Felix Chan, Michael Mcaleer

Research output: Chapter in Book/Conference paperConference paperpeer-review

2 Citations (Scopus)
Original languageEnglish
Title of host publicationMODSIM 2005 International Congress on Modelling & Simulation
Editors Zerger, A. Argent, R.M.
Place of PublicationAustralia
PublisherModelling and Simulation Society of Australia and New Zealand Inc.
Pages2304-2311
Volume0
EditionMelbourne
ISBN (Print)0975840010
Publication statusPublished - 2005
EventIt Pays to Violate: Model Choice and Critical Value Assumption for Forecasting Value-at-Risk Thresholds - Melbourne
Duration: 1 Jan 2005 → …

Conference

ConferenceIt Pays to Violate: Model Choice and Critical Value Assumption for Forecasting Value-at-Risk Thresholds
Period1/01/05 → …

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