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