LSE creators

Number of items: 2.
Article
  • Mitrodima, Gelly, 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. https://doi.org/10.1093/jrsssc/qlad081 picture_as_pdf
  • Griffin, Jim E., Mitrodima, Gelly (2020). A Bayesian quantile time series model for asset returns. Journal of Business and Economic Statistics, https://doi.org/10.1080/07350015.2020.1766470 picture_as_pdf