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This paper presents a nonparametric method for computing the Value at Risk (VaR) based on efficient density estimators with Fejér-type kernel functions and empirical bandwidths obtained from Fourier analysis techniques. The kernel-type estimator with a Fejér-type kernel was recently found to dominate all other known density estimators under the p -risk, p 1 ≤ < ∞ . This theoretical finding is supported via simulations by comparing the quality of the density estimator in question with otherdoi:10.4236/jmf.2015.55040 fatcat:t3vmksphdbd3hemwzswbjxd3gm