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Replacing, in the theoretical formulas, the true parameter value by an estimator based on <jats:italic>n<\/jats:italic> observations of the profit and loss variable induces an asymptotic bias of order 1\/<jats:italic>n<\/jats:italic> in the coverage probabilities. This paper shows how to correct for this bias by introducing a new estimator of the VaR, called estimation-adjusted VaR (EVaR). This adjustment allows for a joint treatment of theoretical and estimation risks, taking into account their possible dependence. The estimator is derived for a general parametric dynamic model and is particularized to stochastic drift and volatility models. The finite sample properties of the EVaR estimator are studied by simulation and an empirical study of the S&amp;P index is proposed.<\/jats:p>","DOI":"10.1017\/s0266466612000680","type":"journal-article","created":{"date-parts":[[2013,1,8]],"date-time":"2013-01-08T12:25:18Z","timestamp":1357647918000},"page":"735-770","source":"Crossref","is-referenced-by-count":33,"title":["ESTIMATION-ADJUSTED VAR"],"prefix":"10.1017","volume":"29","author":[{"given":"Christian","family":"Gourieroux","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Jean-Michel","family":"Zako\u00efan","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2013,1,8]]},"reference":[{"key":"S0266466612000680_ref1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2004.07.001"},{"key":"S0266466612000680_ref11","doi-asserted-by":"publisher","DOI":"10.1198\/jbes.2009.07063"},{"key":"S0266466612000680_ref20","doi-asserted-by":"publisher","DOI":"10.1016\/j.spl.2005.02.001"},{"key":"S0266466612000680_ref22","doi-asserted-by":"publisher","DOI":"10.1080\/17446540902817619"},{"key":"S0266466612000680_ref2","doi-asserted-by":"crossref","first-page":"633","DOI":"10.1214\/009053604000000120","article-title":"The efficiency of the estimators of the parameters in GARCH processes","volume":"32","author":"Berkes","year":"2004","journal-title":"The Annals of Statistics"},{"key":"S0266466612000680_ref14","doi-asserted-by":"publisher","DOI":"10.3150\/bj\/1093265632"},{"key":"S0266466612000680_ref8","doi-asserted-by":"publisher","DOI":"10.21314\/JOR.2005.112"},{"key":"S0266466612000680_ref19","doi-asserted-by":"publisher","DOI":"10.1016\/j.csda.2006.09.017"},{"key":"S0266466612000680_ref23","first-page":"123","article-title":"Unsystematic credit risk","volume":"15","author":"Martin","year":"2002","journal-title":"Risk Magazine"},{"key":"S0266466612000680_ref15","doi-asserted-by":"publisher","DOI":"10.1002\/9780470670057"},{"key":"S0266466612000680_ref13","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.424363"},{"key":"S0266466612000680_ref24","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi018"},{"key":"S0266466612000680_ref18","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.07.030"},{"key":"S0266466612000680_ref4","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1080.0964"},{"key":"S0266466612000680_ref5","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00455"},{"key":"S0266466612000680_ref16","first-page":"1","article-title":"Nonlinear impulse response function","volume":"78","author":"Gouri\u00e9roux","year":"2005","journal-title":"Annales d\u2019Economie et de Statistique"},{"key":"S0266466612000680_ref3","doi-asserted-by":"publisher","DOI":"10.3150\/bj\/1068128975"},{"key":"S0266466612000680_ref10","doi-asserted-by":"publisher","DOI":"10.2307\/1913242"},{"key":"S0266466612000680_ref6","unstructured":"Chambers M.J. 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