Gelly Mitrodima

London School of Economics & Political Science (LSE) - Department of Statistics

Houghton Street

London, England WC2A 2AE

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

340

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

A Bayesian Quantile Time Series Model for Asset Returns

Number of pages: 50 Posted: 11 Oct 2017 Last Revised: 10 Apr 2019
Jim E. Griffin and Gelly Mitrodima
University of Kent and London School of Economics & Political Science (LSE) - Department of Statistics
Downloads 129 (231,895)
Citation 1

Abstract:

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Bayesian nonparametrics; Transformation models; Stationarity; Predictive density

2.

Robustly Modelling the Scale and Shape Dynamics of Stock Return Distributions

Number of pages: 36 Posted: 15 May 2016 Last Revised: 01 Feb 2018
Jim E. Griffin, Gelly Mitrodima and Jaideep S. Oberoi
University of Kent, London School of Economics & Political Science (LSE) - Department of Statistics and Kent Business School
Downloads 126 (236,152)

Abstract:

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Dynamic multivariate quantile model, Return decomposition, Robust methods, CAViaR model

3.

Value at Risk models of autoregressive quantiles for improved performance on financial criteria

Number of pages: 41 Posted: 24 Aug 2015 Last Revised: 25 Oct 2017
Gelly Mitrodima and Jaideep S. Oberoi
London School of Economics & Political Science (LSE) - Department of Statistics and Kent Business School
Downloads 85 (308,858)
Citation 1

Abstract:

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Value at Risk; CAViaR model; Component model; Conditional loss; Conditional excess loss