Richard Gerlach

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Cathy W. S. ChenDistinguished 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 LuUniversity of Southampton, S3RI and School of Mathematical SciencesVerified email at soton.ac.uk
Boris ChoyUniversity of SydneyVerified email at sydney.edu.au
Mike K.P. SoThe Hong Kong University of Science and TechnologyVerified email at ust.hk
Andrey Vasnevthe University of SydneyVerified email at sydney.edu.au
Professor Junbin GaoDiscipline of Business Analytics in Business School, The University of SydneyVerified email at sydney.edu.au
Mohamed El KhalifiDepartment of Mathematics, Stockholm UniversityVerified 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
Garth TarrUniversity of Sydney, AustraliaVerified email at sydney.edu.au
Wilson Ye ChenThe University of SydneyVerified email at sydney.edu.au
Giuseppe StortiProfessore Ordinario di Statistica Economica, Università di SalernoVerified email at unisa.it
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


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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	210	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	160	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	118	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	105	2012
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	101	2020
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	95	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	85	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	84	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	73	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	70	2009
Diagnostics for time series analysis R Gerlach, C Carter, R Kohn Journal of Time Series Analysis 20 (3), 309-330, 1999	70	1999
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	69	2005
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	67	2008
The two-sided Weibull distribution and forecasting financial tail risk Q Chen, RH Gerlach International Journal of Forecasting 29 (4), 527-540, 2013	63	2013
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	63	2011
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	55	2014
Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models R Gerlach, CWS Chen Statistics and Computing 18, 391-408, 2008	54	2008
Comparison of nonnested asymmetric heteroskedastic models CWS Chen, R Gerlach, MKP So Computational Statistics & Data Analysis 51 (4), 2164-2178, 2006	54	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	53*	2013
Forecasting volatility with asymmetric smooth transition dynamic range models EMH Lin, CWS Chen, R Gerlach International Journal of Forecasting 28 (2), 384-399, 2012	48	2012

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