| Library: | VaR |
| See also: | TailCoeffEstimation TailCoeffEstimElliptical TailCoeffLookup |
| Quantlet: | TailCoeffCopula | |
| Description: | calculates the lower and upper tail-dependence coefficients for various copulae. |
| Usage: | {lTDC,uTDC}=TailCoeffCopula(copula, theta{, delta{, thetabar{, deltabar{, beta}}}}}) | |
| Input: | ||
| copula | scalar, copula number for Copulae 1-34 | |
| theta | scalar, copula parameter theta | |
| delta | optional scalar, copula parameter rho or delta | |
| thetabar | optional scalar, copula parameter thetabar | |
| deltabar | optional scalar, copula parameter deltabar | |
| beta | optional scalar, copula parameter beta | |
| Output: | ||
| lTDC | scalar, lower tail-dependence coefficient | |
| uTDC | scalar, upper tail-dependence coefficient | |
library("VaR")
{lTDC,uTDC}=TailCoeffCopula(24,2,0.4)
lTDC
uTDC
Contents of lTDC [1,] 0.33926 Contents of uTDC [1,] 0.33926