The article considers nonparametric estimation of value-at-risk (VaR) and associated standard error estimation for dependent financial returns. Theoretical properties of the kernel VaR estimator are investigated in the context of dependence. The presence of dependence affects the variance of the...

This paper considers using asymmetric kernels in local linear smoothing to estimate a regression curve with bounded support. The asymmetric kernels are either beta kernels if the curve has a compact support or gamma kernels if the curve is bounded from one end only. While possessing the standard...