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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

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

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 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

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

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

Bayesian expected shortfall forecasting incorporating the intraday range

Gerlach, Richard; Chen, Cathy W. S. - In: Journal of financial econometrics : official journal of … 14 (2016) 1, pp. 128-158

Persistent link: https://www.econbiz.de/10011588546

Bayesian assessment of dynamic quantile forecasts

Gerlach, Richard; Chen, Cathy W. S.; Lin, Edward M. H. - In: Journal of forecasting 35 (2016) 8, pp. 751-764

Persistent link: https://www.econbiz.de/10011633826

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

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