Estimating the probability of informed trading: A Bayesian approach

By Griffin Jim, Oberoi Jaideep, and Oduro Samuel
Journal of Banking and Finance (2021)

  • Jim Griffin

  • Jaideep Oberoi

  • Samuel Oduro

  • Jaideep Oberoi

    Kent Business School

    UK

Created

January 26, 2019

Last update

May 24, 2021

Software

Matlab

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265

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549

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28

Description

Backtesting Expected Shortfall via Multi-Quantile Regression

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