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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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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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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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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
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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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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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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. 103-112
Persistent link: https://www.econbiz.de/10008891996
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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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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