vcov.esreg

Estimate the variance-covariance matrix of the joint (VaR, ES) estimator

Simultaneous modeling of the quantile and the expected shortfall of a response variable given
a set of covariates, see Dimitriadis and Bayer (2019) <doi:10.1214/19-EJS1560>.

Sebastian Bayer

esreg

Joint Quantile and Expected Shortfall Regression

Timo Dimitriadis

vcov.esreg function

<dl><dt>object</dt>
<dd>An esreg object</dd>
<dt>method</dt>
<dd>For asymptotic use vcovA, for boot use vcovB</dd>
<dt>...</dt>
<dd>All possible values which can be passed to vcovA and vcovB</dd></dl>

Arguments

Covariance Estimation — vcov.esreg

<dl>

<dt>object</dt>
<dd>An esreg object</dd>


<dt>method</dt>
<dd>For asymptotic use vcovA, for boot use vcovB</dd>


<dt>...</dt>
<dd>All possible values which can be passed to vcovA and vcovB</dd>

</dl>

vcov.esreg: Covariance Estimation

Description

Usage

Arguments