Items where Author is "Mitrodima, Gelly"

Article

Mitrodima, Gelly and Oberoi, Jaideep (2024) CAViaR models for Value-at-Risk and Expected Shortfall with long range dependency features. Journal of the Royal Statistical Society. Series C: Applied Statistics, 73 (1). 1 - 27. ISSN 0035-9254

Griffin, Jim E. and Mitrodima, Gelly (2020) A Bayesian quantile time series model for asset returns. Journal of Business and Economic Statistics. ISSN 0735-0015