Khraibani, Hussein; Nehme, Bilal; Strauss, Olivier - In: Econometrics : open access journal 6 (2018) 4, pp. 1-30
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 … gathering all the conventional estimates based on a kernel belonging to the above considered convex set. We illustrate this …
