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

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 paper › Conference paper › peer-review

Original language	English
Title of host publication	MODSIM 2005 International Congress on Modelling & Simulation
Editors	Zerger, A. Argent, R.M.
Place of Publication	Australia
Publisher	Modelling and Simulation Society of Australia and New Zealand Inc.
Pages	2304-2311
Volume	0
Edition	Melbourne
ISBN (Print)	0975840010
Publication status	Published - 2005
Event	It Pays to Violate: Model Choice and Critical Value Assumption for Forecasting Value-at-Risk Thresholds - Melbourne Duration: 1 Jan 2005 → …

Conference

Conference	It Pays to Violate: Model Choice and Critical Value Assumption for Forecasting Value-at-Risk Thresholds
Period	1/01/05 → …

Cite this

Da Veiga, B.S.A. ; Chan, Felix ; Mcaleer, Michael. / It Pays to Violate: Model Choice and Critical Value Assumption for Forecasting Value-at-Risk Thresholds. MODSIM 2005 International Congress on Modelling & Simulation. editor / Zerger ; A. Argent ; R.M. Vol. 0 Melbourne. ed. Australia : Modelling and Simulation Society of Australia and New Zealand Inc., 2005. pp. 2304-2311

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

author = "{Da Veiga}, B.S.A. and Felix Chan and Michael Mcaleer",

year = "2005",

language = "English",

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booktitle = "MODSIM 2005 International Congress on Modelling & Simulation",

publisher = "Modelling and Simulation Society of Australia and New Zealand Inc.",

edition = "Melbourne",

note = "It Pays to Violate: Model Choice and Critical Value Assumption for Forecasting Value-at-Risk Thresholds ; Conference date: 01-01-2005",

}

Da Veiga, BSA, Chan, F & Mcaleer, M 2005, It Pays to Violate: Model Choice and Critical Value Assumption for Forecasting Value-at-Risk Thresholds. in Zerger, A Argent & R.M. (eds), MODSIM 2005 International Congress on Modelling & Simulation. Melbourne edn, vol. 0, Modelling and Simulation Society of Australia and New Zealand Inc., Australia, pp. 2304-2311, It Pays to Violate: Model Choice and Critical Value Assumption for Forecasting Value-at-Risk Thresholds, 1/01/05.

It Pays to Violate: Model Choice and Critical Value Assumption for Forecasting Value-at-Risk Thresholds. / Da Veiga, B.S.A.; Chan, Felix; Mcaleer, Michael.

MODSIM 2005 International Congress on Modelling & Simulation. ed. / Zerger; A. Argent; R.M. Vol. 0 Melbourne. ed. Australia : Modelling and Simulation Society of Australia and New Zealand Inc., 2005. p. 2304-2311.

Research output: Chapter in Book/Conference paper › Conference paper › peer-review

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M3 - Conference paper

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A2 - Argent, A.

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PB - Modelling and Simulation Society of Australia and New Zealand Inc.

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T2 - It Pays to Violate: Model Choice and Critical Value Assumption for Forecasting Value-at-Risk Thresholds

Y2 - 1 January 2005

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