Gelly is a fellow in Statistics at the Department of Statistics, at London School of Economics and Political Science. Prior to her appointment at LSE, Gelly spent 4 years at the University of Kent, where she did a PhD in Actuarial Science at the School of Mathematics, Statistics, and Actuarial Science. Her PhD thesis was on the use of quantile methods to better estimate and forecast the time-varying conditional asset return distribution, entitled ‘’Essays on the modelling of quantiles for forecasting and risk estimation
She moved to the UK from Greece, where she did both her BSc in Statistics and Insurance Science and her MSc in Actuarial Science and Risk Management at the Department of Statistics and Insurance Science at the University of Piraeus.
Gelly’s research interests lie in financial modelling and forecasting and her research uses among others Bayesian non- and semi-parametric framework, via Markov chain Monte Carlo, for the construction of quantile time series models for financial data.