vcovB {esreg}R Documentation

Bootstrap Covariance Estimation

Description

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

Usage

vcovB(object, bootstrap_method = "iid", B = 1000)

Arguments

object

An esreg object

bootstrap_method

The bootstrap sampling scheme to be used

  • iid - The iid bootstrap of Efron (1979)

B

The number of bootstrap iterations

[Package esreg version 0.6.2 Index]