Richard Gerlach

Cited by

	All	Since 2019
Citations	3240	1595
h-index	34	24
i10-index	68	49

320

160

240

20042005200620072008200920102011201220132014201520162017201820192020202120222023202410 14 28 52 63 73 96 133 124 131 147 174 215 187 151 204 235 245 320 281 306

Public access

View all

6 articles

1 article

available

not available

Based on funding mandates

Co-authors

Cathy W. S. ChenChair Professor, Feng Chia University, TaiwanVerified email at mail.fcu.edu.tw
Chao WangThe University of SydneyVerified email at sydney.edu.au
Edward M.H. LinDepartment of Statistics, Tunghai University,Verified email at thu.edu.tw
Kerrie MengersenQueensland University of TechnologyVerified email at qut.edu.au
robert kohnProfessor of Economics University of New South WalesVerified email at unsw.edu.au
Qian ChanAssistant Professor of Econometrics, Peking University HSBC Business SchoolVerified email at phbs.pku.edu.cn
Christopher CarterVerified email at unsw.edu.au
Zudi LuCity University of Hong Kong, Department of BiostatisticsVerified email at cityu.edu.hk
Boris ChoyUniversity of SydneyVerified email at sydney.edu.au
Mike K.P. SoThe Hong Kong University of Science and TechnologyVerified email at ust.hk
Professor Junbin GaoDiscipline of Business Analytics in Business School, The University of SydneyVerified email at sydney.edu.au
Andrey Vasnevthe University of SydneyVerified email at sydney.edu.au
Giuseppe StortiProfessore Ordinario di Statistica Economica, Università di SalernoVerified email at unisa.it
Mohamed El KhalifiDepartment of Mathematics, FSDM, Sidi Mohamed Ben Abdellah University, Fez, MoroccoVerified email at math.su.se
Feng-Chi LiuAssociate Professor of Statistics, Feng Chia UniversityVerified email at mail.fcu.edu.tw
James StameyDepartment of Statistical Science, Baylor UniversityVerified email at baylor.edu
Minh-Ngoc TranAssociate Professor, University of SydneyVerified email at sydney.edu.au
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

Richard Gerlach

The University of Sydney

Verified email at sydney.edu.au

Financial time series Bayesian MCMC financial risk and forecasting


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Efficient Bayesian inference for dynamic mixture models R Gerlach, C Carter, R Kohn Journal of the American Statistical Association 95 (451), 819-828, 2000	216	2000
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	182	2020
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	163	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	122	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	113	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	105	2008
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	99	2012
Optimal dynamic hedging via copula-threshold-GARCH models YH Lai, CWS Chen, R Gerlach Mathematics and Computers in Simulation 79 (8), 2609-2624, 2009	86	2009
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	84	2012
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	74	2008
A comparison of estimators for regression models with change points CWS Chen, JSK Chan, R Gerlach, WYL Hsieh Statistics and Computing 21, 395-414, 2011	73	2011
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	73	2005
Diagnostics for time series analysis R Gerlach, C Carter, R Kohn Journal of Time Series Analysis 20 (3), 309-330, 1999	72	1999
The two-sided Weibull distribution and forecasting financial tail risk Q Chen, RH Gerlach International Journal of Forecasting 29 (4), 527-540, 2013	68	2013
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	68	2009
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	60	2014
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	60*	2013
Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models R Gerlach, CWS Chen Statistics and Computing 18, 391-408, 2008	57	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	54	2012
Forecasting risk via realized GARCH, incorporating the realized range R Gerlach, C Wang Quantitative Finance 16 (4), 501-511, 2016	53	2016

The system can't perform the operation now. Try again later.

Articles 1–20

Citations per year

Duplicate citations

Merged citations

Add co-authorsCo-authors

Follow

Cited by

Co-authors