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International journal of forecasting
Working Papers / Business School, University of Sydney
59
Computational Statistics & Data Analysis
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International Journal of Forecasting
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Physica A: Statistical Mechanics and its Applications
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1
Forecasting volatility with asymmetric smooth transition dynamic range models
Lin, Edward M.H.
;
Chen, Cathy W.S.
;
Gerlach, Richard
- In:
International journal of forecasting
28
(
2012
)
2
,
pp. 384-400
Persistent link: https://www.econbiz.de/10009830615
Saved in:
2
Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range
Chen, Cathy W.S.
;
Gerlach, Richard
;
Hwang, Bruce B.K.
; …
- In:
International journal of forecasting
28
(
2012
)
3
,
pp. 557-575
Persistent link: https://www.econbiz.de/10009983784
Saved in:
3
MCMC methods for comparing stochastic volatility and GARCH models
Gerlach, Richard
;
Tuyl, Frank
- In:
International journal of forecasting
22
(
2006
)
1
,
pp. 91-108
Persistent link: https://www.econbiz.de/10006955680
Saved in:
4
Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range
Chen, Cathy W. S.
;
Gerlach, Richard
;
Hwang, Bruce B. K.
; …
- In:
International journal of forecasting
28
(
2012
)
3
,
pp. 557-574
Persistent link: https://www.econbiz.de/10009658352
Saved in:
5
MCMC methods for comparing stochastic volatility and GARCH models
Gerlach, Richard
;
Tuyl, Frank
- In:
International journal of forecasting
22
(
2006
)
1
,
pp. 91-107
Persistent link: https://www.econbiz.de/10003283955
Saved in:
6
Variational Bayes for assessment of dynamic quantile forecasts
Gerlach, Richard
;
Abeywardana, Sachin
- In:
International journal of forecasting
32
(
2016
)
4
,
pp. 1385-1402
Persistent link: https://www.econbiz.de/10011622172
Saved in:
7
Forecasting volatility with asymmetric smooth transition dynamic range models
Lin, Edward M. H.
;
Chen, Cathy W. S.
;
Gerlach, Richard
- In:
International journal of forecasting
28
(
2012
)
2
,
pp. 384-399
Persistent link: https://www.econbiz.de/10009581921
Saved in:
8
Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures
Gerlach, Richard
;
Wang, Chao
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 489-506
Persistent link: https://www.econbiz.de/10012415185
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