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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
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Theory and Methods - Efficient Bayesian Inference for Dynamic Mixture Models
Gerlach, Richard; Carter, Chris; Kohn, Robert - In: Journal of the American Statistical Association : JASA 95 (2000) 451, pp. 819-828
Persistent link: https://www.econbiz.de/10006623166
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An empirical examination of the pricing of exchange-traded barrier options
Easton, Steve; Gerlach, Richard; Graham, Melissa; Tuyl, … - In: The journal of futures markets 24 (2004) 11, pp. 1049-1064
Persistent link: https://www.econbiz.de/10006815664
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Potential Diversification Benefits In The Presence Of Unknown Structural Breaks: An Australian Case Study
Wilson, Patrick J.; Gerlach, Richard; Zurbruegg, Ralf - In: Australian economic papers 42 (2003) 4, pp. 442-453
Persistent link: https://www.econbiz.de/10006432826
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Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting
Gerlach, Richard; Lu, Zudi; Huang, Hai - In: Journal of forecasting 32 (2013) 6, pp. 534-550
Persistent link: https://www.econbiz.de/10010156095
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Modelling exchange-traded barrier options traded in the Australian options market
Easton, Steve; Gerlach, Richard - In: Accounting and finance : journal of the Accounting … 47 (2007) 1, pp. 109-122
Persistent link: https://www.econbiz.de/10007605687
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Equity and fixed income markets as drivers of securitised real estate
Cheong, Chee Seng; Gerlach, Richard; Stevenson, Simon; … - In: Review of financial economics : RFE 18 (2009) 2, pp. 103
Persistent link: https://www.econbiz.de/10008245013
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Structural breaks and diversification: The impact of the 1997 Asian financial crisis on the integration of Asia-Pacific real estate markets
Gerlach, Richard; Wilson, Patrick; Zurbruegg, Ralf - In: Journal of international money and finance 25 (2006) 6, pp. 974-991
Persistent link: https://www.econbiz.de/10007293500
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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
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Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis
Chen, Cathy W.S.; Gerlach, Richard; Lin, Edward M. H.; … - In: Journal of forecasting 31 (2012) 8, pp. 661-688
Persistent link: https://www.econbiz.de/10010033559