vcov.esreg {esreg}

Covariance Estimation

Description

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

Usage

## S3 method for class 'esreg'
vcov(object, method = "asymptotic", ...)

Arguments

object

An esreg object

method

For asymptotic use vcovA, for boot use vcovB

...

All possible values which can be passed to vcovA and vcovB