Richard Gerlach
According to our database^{1},
Richard Gerlach
authored at least 17 papers
between 2006 and 2020.
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Bibliography
2020
A Bayesian Long ShortTerm Memory Model for Value at Risk and Expected Shortfall Joint Forecasting.
CoRR, 2020
2019
Manifold Optimisation Assisted Gaussian Variational Approximation.
CoRR, 2019
Bayesian Nonparametric Adaptive Spectral Density Estimation for Financial Time Series.
CoRR, 2019
2018
Fighting Accounting Fraud Through Forensic Data Analytics.
CoRR, 2018
2014
Estimation and forecasting with logarithmic autoregressive conditional duration models: A comparative study with an application.
Expert Syst. Appl., 2014
Bayesian estimation of smoothly mixing timevarying parameter GARCH models.
Comput. Stat. Data Anal., 2014
2012
Bayesian ValueatRisk and expected shortfall forecasting via the asymmetric Laplace distribution.
Comput. Stat. Data Anal., 2012
2011
A comparison of estimators for regression models with change points.
Statistics and Computing, 2011
2010
Bayesian variable selection for Poisson regression with underreported responses.
Comput. Stat. Data Anal., 2010
2009
Optimal dynamic hedging via copulathresholdGARCH models.
Mathematics and Computers in Simulation, 2009
The impact of structural breaks on the integration of the ASEAN5 stock markets.
Mathematics and Computers in Simulation, 2009
Bayesian causal effects in quantiles: Accounting for heteroscedasticity.
Comput. Stat. Data Anal., 2009
2008
Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models.
Statistics and Computing, 2008
Testing for nonlinearity in mean and volatility for heteroskedastic models.
Mathematics and Computers in Simulation, 2008
Volatility forecasting using threshold heteroskedastic models of the intraday range.
Comput. Stat. Data Anal., 2008
2007
Bayesian sample size determination for casecontrol studies with misclassification.
Comput. Stat. Data Anal., 2007
2006
Comparison of nonnested asymmetric heteroskedastic models.
Comput. Stat. Data Anal., 2006