Dr Gelly Mitrodima
I am an assistant professorial lecturer in the Department of Statistics, before that I spent 4 years at the University of Kent, where I completed a PhD in Actuarial Science at the School of Mathematics, Statistics, and Actuarial Science.
My PhD thesis was on the use of quantile methods to better estimate and forecast the time-varying conditional asset return.
My research interests lie in financial modelling and forecasting and my research uses among others Bayesian nonparametric and semiparametric framework, via Markov chain Monte Carlo, for the construction of quantile time series models for financial data.
A Bayesian quantile time series model for asset returns (with J. Griffin, Journal of Business and Economic Statistics)
CAViaR models for Value at Risk and Expected Shortfall with long range dependency features (with J. Oberoi, under revision for Royal Statistical Society, Series C)