Richard Gerlach

According to our database1, Richard Gerlach authored at least 17 papers between 2006 and 2020.

Collaborative distances:
  • Dijkstra number2 of four.
  • Erdős number3 of four.

Timeline

Legend:

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In proceedings 
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PhD thesis 
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Bibliography

2020
A Bayesian Long Short-Term 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 time-varying parameter GARCH models.
Comput. Stat. Data Anal., 2014

2012
Bayesian Value-at-Risk 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 copula-threshold-GARCH models.
Mathematics and Computers in Simulation, 2009

The impact of structural breaks on the integration of the ASEAN-5 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 intra-day range.
Comput. Stat. Data Anal., 2008

2007
Bayesian sample size determination for case-control studies with misclassification.
Comput. Stat. Data Anal., 2007

2006
Comparison of nonnested asymmetric heteroskedastic models.
Comput. Stat. Data Anal., 2006


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