Richard Gerlach
TitleCited byYear
Efficient Bayesian inference for dynamic mixture models
R Gerlach, C Carter, R Kohn
Journal of the American Statistical Association 95 (451), 819-828, 2000
1702000
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
1132011
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
1012006
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
762012
Optimal dynamic hedging via copula-threshold-GARCH models
YH Lai, CWS Chen, R Gerlach
Mathematics and Computers in Simulation 79 (8), 2609-2624, 2009
632009
Diagnostics for time series analysis
R Gerlach, C Carter, R Kohn
Journal of Time Series Analysis 20 (3), 309-330, 1999
591999
Posterior predictive arguments in favor of the Bayes-Laplace prior as the consensus prior for binomial and multinomial parameters
F Tuyl, R Gerlach, K Mengersen
Bayesian analysis 4 (1), 151-158, 2009
562009
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
552012
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
542008
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
512005
Comparison of nonnested asymmetric heteroskedastic models
CWS Chen, R Gerlach, MKP So
Computational Statistics & Data Analysis 51 (4), 2164-2178, 2006
482006
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
452012
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
412011
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
412008
Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models
R Gerlach, CWS Chen
Statistics and Computing 18 (4), 391, 2008
402008
The two-sided Weibull distribution and forecasting financial tail risk
Q Chen, RH Gerlach
International Journal of Forecasting 29 (4), 527-540, 2013
392013
MCMC methods for comparing stochastic volatility and GARCH models
R Gerlach, F Tuyl
International Journal of Forecasting 22 (1), 91-107, 2006
362006
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
35*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
332012
Bayesian causal effects in quantiles: Accounting for heteroscedasticity
CWS Chen, R Gerlach, DCM Wei
Computational statistics & data analysis 53 (6), 1993-2007, 2009
302009
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Articles 1–20