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Forecasting Australian unemployment rates using spectral analysis

Wilson, Patrick James; Perry, Leonard J. - In: Australian journal of labour economics : a journal of … 7 (2004) 4, pp. 459-480

Persistent link: https://www.econbiz.de/10002774325

Another look at the forecast performance of ARFIMA models

Ellis, Craig; Wilson, Patrick James - In: International review of financial analysis 13 (2004) 1, pp. 63-81

Persistent link: https://www.econbiz.de/10002066889

Bayesian semi-parametric realized conditional autoregressive expectile models for tail risk forecasting

Gerlach, Richard; Wang, Chao - In: Journal of financial econometrics 20 (2022) 1, pp. 105-138

Persistent link: https://www.econbiz.de/10012878188

Semi-parametric financial risk forecasting incorporating multiple realized measures

Peiris, Rangika; Wang, Chao; Gerlach, Richard; … - In: Quantitative finance 24 (2024) 12, pp. 1823-1837

Persistent link: https://www.econbiz.de/10015196974

Exponentially smoothing the skewed laplace distribution for value-at-risk forecasting

Gerlach, Richard; Lu, Zu-di; Huang, Hai - In: Journal of forecasting 32 (2013) 6, pp. 534-550

Persistent link: https://www.econbiz.de/10009789677

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

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. 661-687

Persistent link: https://www.econbiz.de/10009722645

Multiple event incidence and duration analysis for credit data incorporating non-stochastic loan maturity

Watkins, John G. T.; Vasnev, Andrey L.; Gerlach, Richard - In: Journal of applied econometrics 29 (2014) 4, pp. 627-648

Persistent link: https://www.econbiz.de/10010414868

Modelling and forecasting stock price movements with serially dependent determinants

Yatigammana, Rasika; Peiris, Shelton; Gerlach, Richard; … - In: Risks : open access journal 6 (2018) 2, pp. 1-22

The direction of price movements are analysed under an ordered probit framework, recognising the importance of accounting for discreteness in price changes. By extending the work of Hausman et al. (1972) and Yang and Parwada (2012),This paper focuses on improving the forecast performance of the...

Persistent link: https://www.econbiz.de/10011867376

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