Richard Gerlach

Orcid: 0000-0002-5656-4556

According to our database1, Richard Gerlach authored at least 26 papers between 2006 and 2023.

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

Timeline

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Bibliography

2023
DeepVol: A Deep Transfer Learning Approach for Universal Asset Volatility Modeling.
CoRR, 2023

2022
A survey of the application of graph-based approaches in stock market analysis and prediction.
Int. J. Data Sci. Anal., 2022

2021
Manifold Optimization-Assisted Gaussian Variational Approximation.
J. Comput. Graph. Stat., 2021

Stock Ranking Prediction Using List-Wise Approach and Node Embedding Technique.
IEEE Access, 2021

Stock Movement Prediction on Ex-Dividend Day Using Event Specific Features and Machine Learning Techniques.
Proceedings of the International Joint Conference on Neural Networks, 2021

2020
A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting.
CoRR, 2020

Demand forecasting in supply chain: The impact of demand volatility in the presence of promotion.
Comput. Ind. Eng., 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

2016
Bayesian estimation and inference for log-ACD models.
Comput. Stat., 2016

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

2013
Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity.
Comput. Stat., 2013

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.
Stat. Comput., 2011

Bayesian subset selection for threshold autoregressive moving-average models.
Comput. Stat., 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.
Math. Comput. Simul., 2009

The impact of structural breaks on the integration of the ASEAN-5 stock markets.
Math. Comput. Simul., 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.
Stat. Comput., 2008

Testing for nonlinearity in mean and volatility for heteroskedastic models.
Math. Comput. Simul., 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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