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Assessing the time varying interest rate sensitivity of real estate securities
Stevenson, Simon; Wilson, Patrick James; Zurbruegg, Ralf - In: The European journal of finance 13 (2007) 7/8, pp. 705-715
Persistent link: https://www.econbiz.de/10003610005
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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
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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. 384-399
Persistent link: https://www.econbiz.de/10009581921
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A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao; Gerlach, Richard; Chen, Qian - In: Quantitative finance 23 (2023) 2, pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
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Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
Wang, Chao; Chen, Qian; Gerlach, Richard - In: Quantitative finance 19 (2019) 6, pp. 1017-1042
Persistent link: https://www.econbiz.de/10012194739
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Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
Gerlach, Richard; Naimoli, Antonio; Storti, Giuseppe - In: Quantitative finance 20 (2020) 11, pp. 1849-1878
Persistent link: https://www.econbiz.de/10012295647
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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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Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
Naimoli, Antonio; Gerlach, Richard; Storti, Giuseppe - In: Economic modelling 107 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013367470
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A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao; Gerlach, Richard - In: Journal of forecasting 43 (2024) 1, pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
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Can switching between risk measures lead to better portfolio optimization?
Cain, Brianna; Zurbruegg, Ralf - In: The journal of asset management 10 (2009/10) 6, pp. 358-369
Persistent link: https://www.econbiz.de/10003924922