Richard H. Gerlach

University of Sydney

Senior Lecturer in Econometrics

Room 483, Building H04

University of Sydney

Sydney, NSW 2006

Australia

http://www.econ.usyd.edu.au/staff/richardg

SCHOLARLY PAPERS

21

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SSRN CITATIONS
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Top 23,899

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24

CROSSREF CITATIONS

17

Scholarly Papers (21)

1.

The Good and the Bad of Value Investing: Applying a Bayesian Approach to Develop Enhancement Models

Number of pages: 33 Posted: 26 Apr 2003
Ronald Geoffrey Bird and Richard H. Gerlach
University of Technology Sydney (UTS) - School of Finance and Economics and University of Sydney
Downloads 1,305 (19,500)
Citation 2

Abstract:

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2.

Fighting Accounting Fraud Through Forensic Data Analytics

Number of pages: 39 Posted: 22 May 2018
Maria Jofre and Richard H. Gerlach
University of Sydney Business School and University of Sydney
Downloads 603 (57,239)
Citation 2

Abstract:

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Forensic Accounting, Accounting Fraud, Machine Learning, Corporate Regulation

3.

Multi-Regime Nonlinear Capital Asset Pricing Models

Number of pages: 33 Posted: 27 May 2009
Cathy W. S. Chen, Richard H. Gerlach and Ann M. H. Lin
Feng Chia University - Department of Statistics, University of Sydney and Feng Chia University
Downloads 293 (133,007)
Citation 4

Abstract:

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Asymmetry, Bayesian, CAPM, Time-varying market beta, Markov chain Monte Carlo method, posterior model probability

4.

Optimal Dynamic Hedging via Copula-Threshold-GARCH Models

Number of pages: 24 Posted: 27 May 2009
YiHao Lai, Cathy W. S. Chen and Richard H. Gerlach
Department of Finance, Da-Yeh University, Feng Chia University - Department of Statistics and University of Sydney
Downloads 238 (164,016)

Abstract:

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hedge ratio, threshold GARCH, copula, spot and futures market, stock return

5.

Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis

Journal of Forecasting, Forthcoming
Number of pages: 34 Posted: 21 Apr 2011 Last Revised: 27 Jan 2015
Cathy W. S. Chen, Richard H. Gerlach, Edward M.H. Lin and Wayne
Feng Chia University - Department of Statistics, University of Sydney, Graduate Institute of Applied Statistics, Feng Chia University and Feng Chia University - Graduate Institute of Statistics & Actuarial Science
Downloads 179 (213,298)
Citation 1

Abstract:

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EGARCH Model, Generalized Error Distribution, Markov Chain Monte Carlo Method, Value-at-Risk, Skewed Student-t, Market Risk Charge, Global Financial Crisis

6.

A Comparison of Estimators for Regression Models with Change Points

Number of pages: 34 Posted: 30 Mar 2010
Cathy W. S. Chen, Jennifer S. K. Chan, Richard H. Gerlach and William
Feng Chia University - Department of Statistics, The University of Sydney, University of Sydney and Graduate Institute of Statistics & Actuarial Science, Feng Chia University
Downloads 167 (226,210)

Abstract:

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Change point, Jump discontinuities, MCMC, Grid-search, Segmented regression

7.

Bayesian Model Selection for Heteroskedastic Models

Number of pages: 31 Posted: 28 May 2009 Last Revised: 23 Oct 2009
Cathy W. S. Chen, Richard H. Gerlach and Mike K. P. So
Feng Chia University - Department of Statistics, University of Sydney and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management
Downloads 161 (233,341)
Citation 1

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asymmetric volatility model, Markov chain Monte Carlo, posterior model probability, parallel

8.

Efficient Estimation of Some Elliptical Copula Regression Models through Scale Mixtures of Normal

Number of pages: 49 Posted: 07 Aug 2012
Nuttanan Wichitaksorn, Richard H. Gerlach and Boris Choy
Auckland University of Technology, University of Sydney and University of Sydney Business School
Downloads 137 (266,096)

Abstract:

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Elliptical Copulas, Scale Mixtures of Normal, Markov Chain Monte Carlo, Capital Asset Pricing Model, Seemingly Unrelated Tobit Model

9.

The Impact of Structural Breaks on the Integration of the Asean-5 Stock Markets

Number of pages: 22 Posted: 28 May 2009
Feng Chia University - Department of Statistics, University of Sydney, Vanung University - Department of Finance and Ling Tung University-Department of Finance
Downloads 119 (295,550)

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cointegration, rank, structural break, Asian financial crisis, stock market.

10.

Volatility Forecasting Using Threshold Heteroskedastic Models of the Intra-day Range

Number of pages: 25 Posted: 28 May 2009
Cathy W. S. Chen, Richard H. Gerlach and Edward M.H. Lin
Feng Chia University - Department of Statistics, University of Sydney and Graduate Institute of Applied Statistics, Feng Chia University
Downloads 117 (299,027)
Citation 1

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size and sign asymmetry, volatility model, conditional autoregressive range (CARR) model, threshold variable, Bayes

11.

Mixed Interval Realized Variance: A Robust Estimator of Stock Price Volatility

Number of pages: 72 Posted: 18 Apr 2015 Last Revised: 05 Jan 2017
Max Sutton, Andrey L. Vasnev and Richard H. Gerlach
The University of Sydney, University of Sydney and University of Sydney
Downloads 110 (312,386)

Abstract:

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volatility, robust estimator

12.

Bayesian Estimation for Parsimonious Threshold Autoregressive Models in R

The Newsletter of the R Project
Number of pages: 8 Posted: 27 May 2009 Last Revised: 21 Aug 2009
Cathy W. S. Chen, Edward M.H. Lin, Feng-Chi Liu and Richard H. Gerlach
Feng Chia University - Department of Statistics, Graduate Institute of Applied Statistics, Feng Chia University, Feng Chia University - Department of Statistics and University of Sydney
Downloads 107 (318,398)
Citation 6

Abstract:

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Asymmetry; MCMC method; two-regime SETAR model; BAYSTAR package

13.

Bayesian Causal Effects in Quantiles: Accounting for Heteroscedasticity

Number of pages: 21 Posted: 29 May 2009
Cathy W. S. Chen, Richard H. Gerlach and Jian-ming Wei
Feng Chia University - Department of Statistics, University of Sydney and Graduate Institute of Statistics & Actuarial Science, Feng Chia University
Downloads 94 (346,409)
Citation 6

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Bayesian, Granger non-causality in quantiles, Skewed-Laplace distribution, GARCH, Markov chain Monte Carlo

14.

Dynamic Quantile Function Models

Number of pages: 37 Posted: 17 Jul 2017
University of Sydney Business School, University College London - Department of Statistical ScienceUniversity of California Santa Barbara, University of Sydney and University of New South Wales (UNSW) - School of Mathematics and Statistics
Downloads 91 (353,624)
Citation 3

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symbolic data, time series, MCMC, quantile function, g-and-h, Value-at-Risk

15.

Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-Moments

Number of pages: 41 Posted: 29 Feb 2016
Gareth Peters, Gareth Peters, Wilson Chen and Richard H. Gerlach
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, University of Sydney Business School and University of Sydney
Downloads 87 (363,651)
Citation 6

Abstract:

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Non-life Insurance, Claims Modelling, Quantile Models, g-and-h, g-and-k, g-and-j, loss modelling

16.

Falling and Explosive, Dormant and Rising Markets via Multiple-Regime Financial Time Series Models

Number of pages: 27 Posted: 28 May 2009 Last Revised: 31 May 2009
Cathy W. S. Chen, Richard H. Gerlach and Ann M. H. Lin
Feng Chia University - Department of Statistics, University of Sydney and Feng Chia University
Downloads 81 (379,683)

Abstract:

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17.

Estimation and Inference for Exponential Smooth Transition Nonlinear Volatility Models

Number of pages: 31 Posted: 18 Sep 2009
Cathy W. S. Chen, Richard H. Gerlach, Boris Choy and Celine S. Y. Lin
Feng Chia University - Department of Statistics, University of Sydney, University of Sydney Business School and Feng Chia University - Department of Statistics
Downloads 66 (425,229)

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Asymmetric, Bayesian inference, Heteroskedastic, Markov chain Monte Carlo (MCMC), Normal scale mixtures distribution

18.

Time-Varying Realized GARCH Models for Tracking Measurement Error Bias in Volatility Forecasting

Number of pages: 37 Posted: 09 Apr 2020
Richard H. Gerlach, Antonio Naimoli and Giuseppe Storti
University of Sydney, affiliation not provided to SSRN and University of Salerno - Department of Economics
Downloads 30 (582,233)

Abstract:

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Realized GARCH, Realized Volatility, Realized Quarticity, Attenuation Bias, Measurement Error, Tail Risk Forecasting

19.

Modelling Exchange-Traded Barrier Options Traded in the Australian Options Market

Accounting and Finance, Vol. 47, No. 1, pp. 109-122, March 2007
Number of pages: 14 Posted: 27 Feb 2007
Stephen Andrew Easton and Richard H. Gerlach
University of Newcastle and University of Sydney
Downloads 28 (594,396)
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20.

Potential Diversification Benefits in the Presence of Unknown Structural Breaks: An Australian Case Study

Number of pages: 12 Posted: 30 Oct 2003
Patrick J. Wilson, Richard H. Gerlach and Ralf Zurbruegg
University of Technology Sydney (UTS) - School of Finance and Economics, University of Sydney and University of Adelaide
Downloads 25 (613,774)
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21.

Forecasting Volatility with Asymmetric Smooth Transition Dynamic Range Models

International Journal of Forecasting, Vol. 28, No. 2, 2012
Posted: 11 May 2012
Edward M.H. Lin, Cathy W. S. Chen and Richard H. Gerlach
Graduate Institute of Applied Statistics, Feng Chia University, Feng Chia University - Department of Statistics and University of Sydney

Abstract:

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smooth transition, volatility model, threshold variable, Bayesian inference, MCMC methods