| Abstract: | The article considers nonparametric estimation of value-at-risk(VaR) and associated standard error estimation for dependentfinancial returns. Theoretical properties of the kernel VaRestimator are investigated in the context of dependence. Thepresence of dependence affects the variance of the VaR estimatesand has to be taken into consideration in order to obtain adequateassessment of their variation. An estimation procedure of thestandard errors is proposed based on kernel estimation of thespectral density of a derived series. The performance of theVaR estimators and the proposed standard error estimation procedureare evaluated by theoretical investigation, simulation of commonlyused models for financial returns, and empirical studies onreal financial return series. |
