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Asymmetric volatility, correlation and returns dynamics between the US and UK securitized real estate markets

Michayluk, David; Wilson, Patrick James; Zurbruegg, Ralf - In: Real estate economics : journal of the American Real … 34 (2006) 1, pp. 109-131

Persistent link: https://www.econbiz.de/10003325677

The impact of leverage on the idiosyncratic risk and return relationship of REITs around the financial crisis

Gerlach, Richard; Obaydin, Ivan; Zurbruegg, Ralf - In: International review of economics & finance : IREF 38 (2015), pp. 207-219

Persistent link: https://www.econbiz.de/10011572352

Does More Frequent Trading Increase the Volatility? – Theoretical Evidence at Asset and Portfolio Level

Hong, KiHoon Jimmy - Finance Discipline Group, Business School - 2013

This paper investigates the sensitivity of asset and portfolio price volatility with respect to the minimum available trading interval that the price is quoted. The objective of the study is to find the theoretical impact of high frequency trading on asset and portfolio volatilities, using a...

Persistent link: https://www.econbiz.de/10010883507

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

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

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

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

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

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

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