Value at Risk and Expected Shortfall are common risk measures. Here is a quick explanation. Ingredients The first two ingredients are each a number: The time horizon — how many days do we look ahead? The probability level — how far in the tail are we looking? Ingredient number 3 is a prediction distribution of … Continue reading...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
