Richard Gerlach

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Cathy W. S. ChenDistinguished Professor, Feng Chia University, TaiwanVerified email at mail.fcu.edu.tw
Edward M.H. LinDepartment of Statistics, Tunghai University,Verified email at thu.edu.tw
Chao WangThe University of SydneyVerified email at sydney.edu.au
Kerrie MengersenQueensland University of TechnologyVerified email at qut.edu.au
Qian ChanAssistant Professor of Econometrics, Peking University HSBC Business SchoolVerified email at phbs.pku.edu.cn
Zudi LuUniversity of SouthamptonVerified email at soton.ac.uk
Mike K.P. SoThe Hong Kong University of Science and TechnologyVerified email at ust.hk
Boris ChoyUniversity of SydneyVerified email at sydney.edu.au
robert kohnProfessor of Economics University of New South WalesVerified email at unsw.edu.au
Christopher CarterVerified email at unsw.edu.au
Andrey Vasnevthe University of SydneyVerified email at sydney.edu.au
Feng-Chi LiuAssistant professor of Statistics, Feng Chia UniversityVerified email at fcu.edu.tw
Mohamed El KhalifiDepartment of Mathematics, Stockholm UniversityVerified email at math.su.se
James StameyDepartment of Statistical Science, Baylor UniversityVerified email at baylor.edu
Wilson Ye ChenThe University of SydneyVerified email at sydney.edu.au
Osvaldo Anibal RossoPrincipal Researcher, CONICET, ArgentinaVerified email at fibertel.com.ar
Michael McAleerProfessor of Quantitative Finance, Erasmus University RotterdamVerified email at ese.eur.nl
Jennifer S.K. ChanThe University of SydneyVerified email at maths.usyd.edu.au
Professor Junbin GaoDiscipline of Business Analytics in Business School, The University of SydneyVerified email at sydney.edu.au
Prof. Dr. Gareth W. Peters (FIOR, SIRM...Chair Professor of Statistics for Risk and InsuranceVerified email at unsw.edu.au

Richard Gerlach

The University of Sydney

Verified email at sydney.edu.au

Financial time series Bayesian MCMC financial risk and forecasting


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Efficient Bayesian inference for dynamic mixture models R Gerlach, C Carter, R Kohn Journal of the American Statistical Association 95 (451), 819-828, 2000	199	2000
Bayesian time-varying quantile forecasting for value-at-risk in financial markets RH Gerlach, CWS Chen, NYC Chan Journal of Business & Economic Statistics 29 (4), 481-492, 2011	143	2011
Structural breaks and diversification: the impact of the 1997 Asian financial crisis on the integration of Asia-Pacific real estate markets R Gerlach, P Wilson, R Zurbruegg Journal of International Money and Finance 25 (6), 974-991, 2006	114	2006
Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution Q Chen, R Gerlach, Z Lu Computational Statistics & Data Analysis 56 (11), 3498-3516, 2012	90	2012
A comparison of Bayes–Laplace, Jeffreys, and other priors: the case of zero events F Tuyl, R Gerlach, K Mengersen The American Statistician 62 (1), 40-44, 2008	87	2008
Optimal dynamic hedging via copula-threshold-GARCH models YH Lai, CWS Chen, R Gerlach Mathematics and Computers in Simulation 79 (8), 2609-2624, 2009	79	2009
Bayesian forecasting for financial risk management, pre and post the global financial crisis CWS Chen, R Gerlach, EMH Lin, WCW Lee Journal of Forecasting 31 (8), 661-687, 2012	78	2012
Posterior predictive arguments in favor of the Bayes-Laplace prior as the consensus prior for binomial and multinomial parameters R Gerlach, K Mengersen, F Tuyl Bayesian analysis 4 (1), 151-158, 2009	67	2009
Diagnostics for time series analysis R Gerlach, C Carter, R Kohn Journal of Time Series Analysis 20 (3), 309-330, 1999	67	1999
Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range CWS Chen, R Gerlach, BBK Hwang, M McAleer International Journal of Forecasting 28 (3), 557-574, 2012	64	2012
The australian eeg database M Hunter, RLL Smith, W Hyslop, OA Rosso, R Gerlach, JAP Rostas, ... Clinical EEG and neuroscience 36 (2), 76-81, 2005	63	2005
The two-sided Weibull distribution and forecasting financial tail risk Q Chen, RH Gerlach International Journal of Forecasting 29 (4), 527-540, 2013	54	2013
A comparison of estimators for regression models with change points CWS Chen, JSK Chan, R Gerlach, WYL Hsieh Statistics and Computing 21 (3), 395-414, 2011	53	2011
Volatility forecasting using threshold heteroskedastic models of the intra-day range CWS Chen, R Gerlach, EMH Lin Computational Statistics & Data Analysis 52 (6), 2990-3010, 2008	53	2008
Comparison of nonnested asymmetric heteroskedastic models CWS Chen, R Gerlach, MKP So Computational Statistics & Data Analysis 51 (4), 2164-2178, 2006	52	2006
Exponentially smoothing the skewed Laplace distribution for Value‐at‐Risk forecasting R Gerlach, Z Lu, H Huang Journal of Forecasting 32 (6), 534-550, 2013	48*	2013
Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models R Gerlach, CWS Chen Statistics and Computing 18 (4), 391-408, 2008	48	2008
Forecasting volatility with asymmetric smooth transition dynamic range models EMH Lin, CWS Chen, R Gerlach International Journal of Forecasting 28 (2), 384-399, 2012	47	2012
A generalized class of skew distributions and associated robust quantile regression models N Wichitaksorn, STB Choy, R Gerlach Canadian Journal of Statistics 42 (4), 579-596, 2014	46	2014
Demand forecasting in supply chain: The impact of demand volatility in the presence of promotion M Abolghasemi, E Beh, G Tarr, R Gerlach Computers & industrial engineering 142, 106380, 2020	44	2020

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