Richard Gerlach

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	Toate	Din 2020
Referințe bibliografice	3294	1450
h-index	35	22
i10-index	69	44

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Cathy W. S. ChenChair Professor, Feng Chia University, TaiwanAdresă de e-mail confirmată pe mail.fcu.edu.tw
Chao WangThe University of SydneyAdresă de e-mail confirmată pe sydney.edu.au
Edward M.H. LinDepartment of Statistics, Tunghai University,Adresă de e-mail confirmată pe thu.edu.tw
Kerrie MengersenQueensland University of TechnologyAdresă de e-mail confirmată pe qut.edu.au
Qian ChanAssistant Professor of Econometrics, Peking University HSBC Business SchoolAdresă de e-mail confirmată pe phbs.pku.edu.cn
robert kohnProfessor of Economics University of New South WalesAdresă de e-mail confirmată pe unsw.edu.au
Zudi LuCity University of Hong Kong, Department of BiostatisticsAdresă de e-mail confirmată pe cityu.edu.hk
Boris ChoyUniversity of SydneyAdresă de e-mail confirmată pe sydney.edu.au
Professor Junbin GaoDiscipline of Business Analytics in Business School, The University of SydneyAdresă de e-mail confirmată pe sydney.edu.au
Mike K.P. SoThe Hong Kong University of Science and TechnologyAdresă de e-mail confirmată pe ust.hk
Christopher CarterAdresă de e-mail confirmată pe unsw.edu.au
Andrey Vasnevthe University of SydneyAdresă de e-mail confirmată pe sydney.edu.au
Giuseppe StortiProfessore Ordinario di Statistica Economica, Università di SalernoAdresă de e-mail confirmată pe unisa.it
Mohamed El KhalifiDepartment of Mathematics, FSDM, Sidi Mohamed Ben Abdellah University, Fez, MoroccoAdresă de e-mail confirmată pe math.su.se
Feng-Chi LiuAssociate Professor of Statistics, Feng Chia UniversityAdresă de e-mail confirmată pe mail.fcu.edu.tw
James StameyDepartment of Statistical Science, Baylor UniversityAdresă de e-mail confirmată pe baylor.edu
Wilson Ye ChenThe University of SydneyAdresă de e-mail confirmată pe sydney.edu.au
Osvaldo Anibal RossoPrincipal Researcher, CONICET, ArgentinaAdresă de e-mail confirmată pe fibertel.com.ar
Minh-Ngoc TranAssociate Professor, University of SydneyAdresă de e-mail confirmată pe sydney.edu.au
Garth TarrAssociate Professor, University of Sydney, AustraliaAdresă de e-mail confirmată pe sydney.edu.au

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Richard Gerlach

The University of Sydney

Adresă de e-mail confirmată pe sydney.edu.au

Financial time series Bayesian MCMC financial risk and forecasting


Titlu Sortați după descrierea bibliografică Sortați după an Sortați după titlu	Citat de Citat de	Anul
Efficient Bayesian inference for dynamic mixture models R Gerlach, C Carter, R Kohn Journal of the American Statistical Association 95 (451), 819-828, 2000	218	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	201	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	167	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	111	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	107	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
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	86	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
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
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	74	2005
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
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 two-sided Weibull distribution and forecasting financial tail risk Q Chen, RH Gerlach International Journal of Forecasting 29 (4), 527-540, 2013	69	2013
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 risk via realized GARCH, incorporating the realized range R Gerlach, C Wang Quantitative Finance 16 (4), 501-511, 2016	55	2016
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

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