← All authors Richard Gerlach The University of Sydney (from arXiv:1906.09961, 2019) · ORCID · OpenAlex
89 papers in scope · 86 published · 3 on the econ.EM arXiv · 2,133 citations · h-index 27 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Minh-Ngoc Tran Robert Kohn Slawek Smyl Kasun Bandara Tra Ngoc Vy Nguyen Diego S. de Brito Rafael Alves Ruy M. Ribeiro Mark Podolskij Chao Wang Chen Liu Kim Christensen Christoph Bergmeir Adam Clements Christopher Drovandi Dan Li Haoyuan Wang Lingxiao Huang Nisheeth K. Vishnoi K. Sudhir Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (3 of 89)
Semi-parametric financial risk forecasting incorporating multiple realized measures
published 2024 · Quantitative Finance · 5 citations
working paper 2024 · arXiv
On the Certainty of an Inductive Inference: The Binomial Case
published 2024 · Statistical Science
with Frank Tuyl, Kerrie Mengersen
A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
published 2023 · Journal of Forecasting · 5 citations · first circulated 2021
working paper 2023 · arXiv
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
published 2023 · Quantitative Finance · 11 citations
Capturing Measurement Error Bias in Volatility Forecasting by Realized GARCH Models
published 2023 · Springer proceedings in mathematics & statistics
A survey of the application of graph-based approaches in stock market analysis and prediction
published 2022 · International Journal of Data Science and Analytics · 59 citations
with Suman Saha, Junbin Gao
Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
published 2021 · Economic Modelling · 14 citations
Manifold Optimization-Assisted Gaussian Variational Approximation
published 2021 · Journal of Computational and Graphical Statistics · 6 citations · first circulated 2019
Stock Ranking Prediction Using List-Wise Approach and Node Embedding Technique
published 2021 · IEEE Access · 19 citations
with Suman Saha, Junbin Gao
Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
published 2020 · Quantitative Finance · 10 citations
Demand forecasting in supply chain: The impact of demand volatility in the presence of promotion
published 2020 · Computers & Industrial Engineering · 9 citations · first circulated 2019
with Mahdi Abolghasemi, Eric J. Beh, Garth Tarr
Bayesian Semi-Parametric Realized Conditional Autoregressive Expectile Models for Tail Risk Forecasting
published 2020 · Journal of Financial Econometrics · 19 citations
Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures
published 2019 · International Journal of Forecasting · 7 citations · first circulated 2018
Semiparametric GARCH via Bayesian Model Averaging
published 2019 · Journal of Business and Economic Statistics
with Wilson Ye Chen
Forecasting trade durations via ACD models with mixture distributions
published 2019 · Quantitative Finance · 10 citations
with Rasika Yatigammana, Jennifer Chan
working paper 2019 · arXiv · 2 citations
Stationary distribution and threshold dynamics of a stochastic SIRS model with a general incidence
published 2019 · Physica A Statistical Mechanics and its Applications · 34 citations
with Mohamed El Fatini, Mohamed El Khalifi, Aziz Laaribi, Regragui Taki
Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
published 2018 · Quantitative Finance · 16 citations · first circulated 2017
Efficient MCMC estimation of some elliptical copula regression models through scale mixtures of normals
published 2018 · Applied Stochastic Models in Business and Industry · 1 citations · first circulated 2012
with Nuttanan Wichitaksorn, S. T. Boris Choy
Mixed interval realized variance: A robust estimator of stock price volatility
published 2018 · Econometrics and Statistics · 1 citations
Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants
published 2018 · Risks · 8 citations
with Rasika Yatigammana, Shelton Peiris, David E. Allen
Extended Realized GARCH Models
published 2018 · Springer proceedings in mathematics & statistics · 1 citations
Bayesian tail‐risk forecasting using realized GARCH
published 2017 · Applied Stochastic Models in Business and Industry · 26 citations · first circulated 2014
with Christian Contino
Dynamic Quantile Function Models
published 2017 · Quantitative Finance · 8 citations
Semi-parametric expected shortfall forecasting in financial markets
published 2016 · Journal of Statistical Computation and Simulation · 15 citations · first circulated 2012
with Cathy W. S. Chen
Variational Bayes for assessment of dynamic quantile forecasts
published 2016 · International Journal of Forecasting · 2 citations
with Sachin Abeywardana
Consensus priors for multinomial and binomial ratios
published 2016 · Journal of Statistical Theory and Practice
with Frank Tuyl, Kerrie Mengersen
Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility
published 2016 · Quantitative Finance · 15 citations · first circulated 2015
Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-Moments
published 2016 · Risks · 32 citations
with Gareth W. Peters, Wilson Y. Chen
Flexible Realized GARCH Models
published 2016 · 48th Scientific Meeting of the Italian Statistical Society
no link
Bayesian Assessment of Dynamic Quantile Forecasts
published 2016 · Journal of Forecasting · 8 citations · first circulated 2014
with Cathy W. S. Chen, Edward M.H. Lin
Forecasting risk via realized GARCH, incorporating the realized range
published 2016 · Quantitative Finance · 48 citations · first circulated 2014
Bayesian estimation and inference for log-ACD models
published 2015 · Computational Statistics · 5 citations
with Shelton Peiris, Edward M.H. Lin
The impact of leverage on the idiosyncratic risk and return relationship of REITs around the financial crisis
published 2015 · International Review of Economics & Finance · 15 citations
with Ivan Obaydin, Ralf Zurbruegg
A generalized class of skew distributions and associated robust quantile regression models
published 2014 · Canadian Journal of Statistics · 50 citations
with Nuttanan Wichitaksorn, S. T. Boris Choy
Analyzing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via uniform scale mixtures
published 2014 · Applied Stochastic Models in Business and Industry · 13 citations
with Nuttanan Wichitaksorn, Joanna J. J. Wang, S. T. Boris Choy
Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range
published 2014 · Journal of Financial Econometrics · 35 citations
with Cathy W. S. Chen
Estimation and forecasting with logarithmic autoregressive conditional duration models: A comparative study with an application
published 2013 · Expert Systems with Applications · 8 citations
with Kok Haur Ng, Shelton Peiris
Bayesian estimation of smoothly mixing time-varying parameter GARCH models
published 2013 · Computational Statistics & Data Analysis · 6 citations
with Cathy W. S. Chen, Edward M.H. Lin
Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting
published 2013 · Journal of Forecasting · 35 citations
with Zudi Lu, Hai Huang
The two-sided Weibull distribution and forecasting financial tail risk
published 2013 · International Journal of Forecasting · 57 citations · first circulated 2011
with Qian Chen
MULTIPLE EVENT INCIDENCE AND DURATION ANALYSIS FOR CREDIT DATA INCORPORATING NON‐STOCHASTIC LOAN MATURITY
published 2013 · Journal of Applied Econometrics · 13 citations · first circulated 2012
Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
published 2012 · Computational Statistics · 18 citations
with Cathy W. S. Chen
Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range
published 2012 · International Journal of Forecasting · 2 citations
with Cathy W. S. Chen, Bruce B. K. Hwang, Michael McAleer
Forecasting volatility with asymmetric smooth transition dynamic range models
published 2012 · International Journal of Forecasting · 40 citations
with Edward M.H. Lin, Cathy W. S. Chen
Detection of structural breaks in a time-varying heteroskedastic regression model
published 2011 · Journal of Statistical Planning and Inference · 16 citations
with Cathy W. S. Chen, Feng-Chi Liu
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis
published 2011 · Journal of Forecasting · 60 citations
with Cathy W. S. Chen, Edward M.H. Lin, W. C. W. Lee, Wayne C.W. Lee, Wcw Lee
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets
published 2010 · Journal of Business and Economic Statistics · 123 citations
with Cathy W. S. Chen, Nancy Y. C. Chan
Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution
published 2010 · Computational Statistics & Data Analysis · 90 citations
with Qian Chen, Zudi Lu
Bayesian subset selection for threshold autoregressive moving-average models
published 2010 · Computational Statistics · 25 citations
with Cathy W. S. Chen, Feng-Chi Liu
Bayesian variable selection for Poisson regression with underreported responses
published 2010 · Computational Statistics & Data Analysis · 10 citations
with Stephanie Powers, James D. Stamey
A comparison of estimators for regression models with change points
published 2010 · Statistics and Computing · 62 citations
with Cathy W. S. Chen, Jennifer Chan, William Y. L. Hsieh
Multi-regime nonlinear capital asset pricing models
published 2009 · Quantitative Finance · 24 citations
with Cathy W. S. Chen, Ann M. H. Lin
Estimation and inference for exponential smooth transition nonlinear volatility models
published 2009 · Journal of Statistical Planning and Inference · 18 citations
with Cathy W. S. Chen, S. T. Boris Choy, Celine Lin, Celine S. Y. Lin
The Rule of Three, its Variants and Extensions
published 2009 · International Statistical Review · 20 citations
with Frank Tuyl, Kerrie Mengersen
Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models
published 2009 · Applied Stochastic Models in Business and Industry · 30 citations
with Cathy W. S. Chen, Ann M. H. Lin
Posterior predictive arguments in favor of the Bayes-Laplace prior as the consensus prior for binomial and multinomial parameters
published 2009 · Bayesian Analysis · 51 citations
with Kerrie Mengersen, Frank Tuyl
Bayesian causal effects in quantiles: Accounting for heteroscedasticity
published 2009 · Computational Statistics & Data Analysis · 34 citations
with Cathy W. S. Chen, Dongliang Wei, Jian-ming Wei
Optimal dynamic hedging via copula-threshold-GARCH models
published 2008 · Mathematics and Computers in Simulation · 59 citations
with YiHao Lai, Cathy W. S. Chen
The impact of structural breaks on the integration of the ASEAN-5 stock markets
published 2008 · Mathematics and Computers in Simulation · 18 citations
with Cathy W. S. Chen, Nick Ying-Pin Cheng, Yung-Lieh Yang
Inference for Proportions in a 2 × 2 Contingency Table: HPD or not HPD?
published 2008 · Biometrics · 4 citations
with Frank Tuyl, Kerrie Mengersen
Equity and fixed income markets as drivers of securitised real estate
published 2008 · Review of Financial Economics · 11 citations
with Chee Seng Cheong, Simon Stevenson, Patrick Wilson, Ralf Zurbruegg
Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models
published 2008 · Statistics and Computing · 40 citations
with Cathy W. S. Chen
Testing for nonlinearity in mean and volatility for heteroskedastic models
published 2008 · Mathematics and Computers in Simulation · 4 citations
with Cathy W. S. Chen, Amanda P.J. Tai
A Comparison of Bayes–Laplace, Jeffreys, and Other Priors
published 2008 · The American Statistician · 75 citations
with Frank Tuyl, Kerrie Mengersen
Bayesian model selection for logistic regression with misclassified outcomes
published 2007 · Statistical Modelling · 37 citations
with James D. Stamey
Volatility forecasting using threshold heteroskedastic models of the intra-day range
published 2007 · Computational Statistics & Data Analysis · 58 citations
with Cathy W. S. Chen, Edward M.H. Lin
A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
published 2007 · Test · 9 citations
with Brent G. Hudson
Modelling exchange‐traded barrier options traded in the Australian options market
published 2006 · Accounting and Finance
with Steve Easton
Comparison of nonnested asymmetric heteroskedastic models
published 2006 · Computational Statistics & Data Analysis · 44 citations
with Cathy W. S. Chen, Mike K. P. So
Structural breaks and diversification: The impact of the 1997 Asian financial crisis on the integration of Asia-Pacific real estate markets
published 2006 · Journal of International Money and Finance · 90 citations · first circulated 2002
with Patrick Wilson, Ralf Zurbruegg
ESTIMATION IN RICKER'S TWO‐RELEASE METHOD: A BAYESIAN APPROACH
published 2006 · Australian & New Zealand Journal of Statistics · 1 citations
with Shen-Ming Lee, Cathy W. S. Chen, Li-Hui H. Huang
Bayesian sample size determination for case-control studies with misclassification
published 2006 · Computational Statistics & Data Analysis · 12 citations
with James D. Stamey
ASSESSING AND TESTING FOR THRESHOLD NONLINEARITY IN STOCK RETURNS
published 2005 · Australian & New Zealand Journal of Statistics · 27 citations
with Cathy W. S. Chen, Mike K. P. So
The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model
published 2005 · Physica A Statistical Mechanics and its Applications · 16 citations
with Cathy W. S. Chen, Ming Jing Yang, Huai-Chun Lo
Interest rates and the 2004 Australian Election
published 2005 · Australian Journal of Political Science · 3 citations
with Steve Easton
MCMC methods for comparing stochastic volatility and GARCH models
published 2005 · International Journal of Forecasting · 40 citations
with Frank Tuyl
Asymmetric responses of international stock markets to trading volume
published 2005 · Physica A Statistical Mechanics and its Applications · 35 citations
with Cathy W. S. Chen, Doris S. Y. Lin, Ming-Hsiang Huang
Quantitative EEG analysis of the maturational changes associated with childhood absence epilepsy
published 2005 · Physica A Statistical Mechanics and its Applications · 19 citations
with Osvaldo A. Rosso, W. Hyslop, Roger L. Smith, John A.P. Rostas, Michael D. Hunter
Asymmetric response and interaction of U.S. and local news in financial markets: Research Articles
published 2005 · Applied Stochastic Models in Business and Industry · 16 citations
with Cathy W. S. Chen, Mike K. P. So
An empirical examination of the pricing of exchange‐traded barrier options
published 2004 · Journal of Futures Markets · 11 citations
with Steve Easton, Melissa Graham, Frank Tuyl
Potential Diversification Benefits In The Presence Of Unknown Structural Breaks: An Australian Case Study
published 2003 · Australian Economic Papers · 8 citations
with Patrick Wilson, Ralf Zurbruegg
Theory & Methods: Bayesian variable selection in logistic regression: predicting company earnings direction
published 2002 · Australian & New Zealand Journal of Statistics · 15 citations
with Ron Bird, Anthony Hall
The prediction of earnings movements using accounting data: An update and extension of Ou and Penman
published 2001 · Journal of Asset Management · 19 citations
with Ron Bird, AD Hall, Anthony Hall
Efficient Bayesian Inference for Dynamic Mixture Models
published 2000 · Journal of the American Statistical Association · 156 citations
A Bayesian Approach to Variable Selection in Logistic Regression with Application to Predicting Earnings Direction from Accounting Information
published 2000 · Research paper series
with Ron Bird, Anthony Hall
no link
Diagnostics for Time Series Analysis
published 1999 · Journal of Time Series Analysis · 55 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
Built from arXiv and OpenAlex. Supported by UKRI grant APP47921 (Martin Weidner, UCL · Francis J. DiTraglia, Oxford).