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 …

when estimating error quantiles. In order to prevent this efficiency loss in quantile estimation, we propose a quantile …. At the same time, the efficiency gain in error quantile estimation hinges on the efficiency of estimators of the variance … parameters. We show that the same conclusion applies to the estimation of conditional Expected Shortfall. Our comparison also …