Library: | VaR |
See also: | TailCoeffCopula TailCoeffEstimation TailCoeffEstimElliptical |
Quantlet: | TailCoeffLookup | |
Description: | auxiliary table-search quantlet for TailCoeff* quantlets. |
Usage: | lambda = TailCoeffLookup(rho, df{, table}) | |
Input: | ||
rho | scalar | |
df | scalar | |
table | optional matrix, lookup table; if not supplied, quantlet reads it itself | |
Output: | ||
lambda | scalar |