vcovB

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

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

vcovB function

<dl><dt>object</dt>
<dd>An esreg object</dd>
<dt>bootstrap_method</dt>
<dd>The bootstrap sampling scheme to be used<ul>
<li>iid - The iid bootstrap of Efron (1979)</li>
</ul></dd>
<dt>B</dt>
<dd>The number of bootstrap iterations</dd></dl>

Arguments

Bootstrap Covariance Estimation — vcovB

<dl>

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


<dt>bootstrap_method</dt>
<dd>The bootstrap sampling scheme to be used<ul>
<li>iid - The iid bootstrap of Efron (1979)</li>
</ul></dd>


<dt>B</dt>
<dd>The number of bootstrap iterations</dd>

</dl>

vcovB: Bootstrap Covariance Estimation

Description

Usage

Arguments