Khraibani, Hussein; Nehme, Bilal; Strauss, Olivier - In: Econometrics : open access journal 6 (2018) 4, pp. 1-30
the sources of uncertainty stems from the dependence of the VaR estimation on the choice of the computation method. As we … nonparametric approach called maxitive kernel estimation of the VaR. This estimation is based on a coherent extension of the kernel …-based estimation of the cumulative distribution function to convex sets of kernel. We thus obtain a convex set of VaR estimates …
