Browsing by Author Gerlach, Richard

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Issue DateTitleAuthor(s)Citation
2015Analyzing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via uniform scale mixturesChoy, Sai Tsang Boris; Gerlach, Richard; Wang, Joanna; Wichitaksorn, Nuttanan; Business Analytics; Business AnalyticsAnalyzing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via uniform scale mixtures, Applied Stochastic Models in Business and Industry, vol.31, 5, 2015,pp 584-608
2006The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH modelChen, Cathy; Gerlach, Richard; Lo, H. Jim; Yang, Ming Jing; Operations Management and EconometricsThe asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model, Physica A-Statistical Mechanics And Its Applications, vol.366,(N/A),2006,pp 401-418
2006Asymmetric responses of international stock markets to trading volumeChen, Cathy; Gerlach, Richard; Huang, Ming-Hsiang; Lin, Doris SY; Operations Management and EconometricsAsymmetric responses of international stock markets to trading volume, Physica A-Statistical Mechanics And Its Applications, vol.360,(2),2006,pp 422-444
2008A Bayesian approach to relaxing parameter restrictions in multivariate GARCH modelsGerlach, Richard; Hudson, Brent G.; Business AnalyticsA Bayesian approach to relaxing parameter restrictions in multivariate GARCH models, Test, vol.17, N/A, 2008,pp 606-627
2016Bayesian Assessment of Dynamic Quantile ForecastsGerlach, Richard; Chen, Cathy W S; Lin, Edward M H; Business AnalyticsBayesian Assessment of Dynamic Quantile Forecasts, Journal of Forecasting, vol.35, 8, 2016,pp 751-764
2009Bayesian causal effects in quantiles: accounting for heteroscedasticityGerlach, Richard; Chen, Cathy W S; Wei, D.C.M.; Operations Management and EconometricsBayesian causal effects in quantiles: accounting for heteroscedasticity, Computational Statistics & Data Analysis, vol.53,(6),2009,pp 1993-2007
2016Bayesian estimation and inference for log-ACD modelsGerlach, Richard; Peiris, Mahatelge Shelton; Lin, Edward M H; Business Analytics; Mathematics & StatisticsBayesian estimation and inference for log-ACD models, Computational Statistics, vol.31, 1, 2016,pp 25-48
2008Bayesian Estimation for Parsimonious Threshold Autoregressive Models in RGerlach, Richard; Chen, Cathy W S; Lin, Edward M H; Liu, Feng Chi; Business AnalyticsBayesian Estimation for Parsimonious Threshold Autoregressive Models in R, R News, vol.8, 1, 2008,pp 26-33
2014Bayesian estimation of smoothly mixing time-varying parameter GARCH modelsGerlach, Richard; Chen, Cathy W S; Lin, Edward M H; Business AnalyticsBayesian estimation of smoothly mixing time-varying parameter GARCH models, Computational Statistics and Data Analysis, vol.76, n/a, 2014,pp 194-209
2016Bayesian Expected Shortfall Forecasting Incorporating the Intraday RangeGerlach, Richard; Chen, Cathy W S; Business AnalyticsBayesian Expected Shortfall Forecasting Incorporating the Intraday Range, Journal of Financial Econometrics, vol.14, 1, 2016,pp 128-158
2012Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial CrisisGerlach, Richard; Chen, Cathy W S; Lee, W.C.W.; Lin, Edward M H; Business AnalyticsBayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis, Journal of Forecasting, vol.31, 8, 2012,pp 661-687
2008Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic modelsGerlach, Richard; Chen, Cathy W S; Business AnalyticsBayesian inference and model comparison for asymmetric smooth transition heteroskedastic models, Statistics and Computing, vol.18, 4, 2008,pp 391-408
2006A Bayesian Model Averaging Approach to Enhance Value InvestmentGerlach, Richard; Bird, Ron; Operations Management and EconometricsA Bayesian Model Averaging Approach to Enhance Value Investment, International Journal of Business and Economics, vol.5,(2),2006,pp 111-127
2008Bayesian Model Selection for Heteroskedastic ModelsGerlach, Richard; Chen, Cathy W S; So, Mike K.P.; Business AnalyticsBayesian Model Selection for Heteroskedastic Models in Bayesian Econometrics (Advances in Econometrics volume 23), JAI Press, 2008, pp. 567-594
2007Bayesian model selection for logistic regression with misclassified outcomesGerlach, Richard; Stamey, James; Operations Management and EconometricsBayesian model selection for logistic regression with misclassified outcomes, Statistical Modelling, vol.7,(3),2007,pp 255-273
2007Bayesian sample size determination for case-control studies with misclassificationGerlach, Richard; Stamey, James; Operations Management and EconometricsBayesian sample size determination for case-control studies with misclassification, Computational Statistics & Data Analysis, vol.51,(6),2007,pp 2982-2992
2011Bayesian Subset Selection for Threshold Autoregressive Moving-Average ModelsGerlach, Richard; Chen, Cathy W S; Liu, Feng Chi; Operations Management and EconometricsBayesian Subset Selection for Threshold Autoregressive Moving-Average Models, Computational Statistics, vol.26, 1, 2011,pp 1-30
2017Bayesian tail-risk forecasting using realized GARCHGerlach, Richard; Contino, Christian; Business AnalyticsBayesian tail-risk forecasting using realized GARCH, Applied Stochastic Models in Business and Industry, vol.33, 2, 2017,pp 213-236
2011Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial MarketsGerlach, Richard; Chan, Nancy; Chen, Cathy W S; Operations Management and EconometricsBayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets, Journal of Business and Economic Statistics, vol.29, 4, 2011,pp 481-492
2012Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distributionChen, Qian; Gerlach, Richard; Lu, Zudi; Business Analytics; Business AnalyticsBayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution, Computational Statistics and Data Analysis, vol.56, 11, 2012,pp 3498-3516