Richard H. Gerlach

Available identifiers

zbMath Open gerlach.richard-hWikidataQ57244191 ScholiaQ57244191MaRDI QIDQ960344

List of research outcomes

Publication	Date of Publication	Type
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures	2023-06-20	Paper
Dynamic quantile function models	2022-09-30	Paper
Stationary distribution and threshold dynamics of a stochastic SIRS model with a general incidence	2022-08-10	Paper
Analysis of a stochastic distributed delay epidemic model with relapse and Gamma distribution kernel	2022-03-31	Paper
Manifold Optimization-Assisted Gaussian Variational Approximation	2022-03-29	Paper
Bayesian forecast of the basic reproduction number during the Covid-19 epidemic in Morocco and Italy	2022-02-22	Paper
Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics	2021-09-03	Paper
Forecasting risk via realized GARCH, incorporating the realized range	2021-07-16	Paper
Bayesian model selection for logistic regression with misclassified outcomes	2020-10-07	Paper
Forecasting trade durations via ACD models with mixture distributions	2020-09-16	Paper
Semi-parametric expected shortfall forecasting in financial markets	2020-04-22	Paper
Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution	2019-09-26	Paper
Consensus priors for multinomial and binomial ratios	2019-08-30	Paper
Bayesian tail‐risk forecasting using realized GARCH	2019-02-08	Paper
Extended realized GARCH models	2018-12-03	Paper
Bayesian estimation of smoothly mixing time-varying parameter GARCH models	2018-11-23	Paper
Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility	2018-11-19	Paper
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis	2018-10-11	Paper
Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting	2018-10-11	Paper
Bayesian estimation and inference for log-ACD models	2016-08-04	Paper
Posterior predictive arguments in favor of the Bayes-Laplace prior as the consensus prior for binomial and multinomial parameters	2016-02-12	Paper
https://portal.mardi4nfdi.de/entity/Q3195074	2015-10-21	Paper
A generalized class of skew distributions and associated robust quantile regression models	2015-02-25	Paper
Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity	2015-02-18	Paper
Bayesian subset selection for threshold autoregressive moving-average models	2015-01-28	Paper
Bayesian variable selection for Poisson regression with underreported responses	2014-04-14	Paper
Multi-regime nonlinear capital asset pricing models	2013-12-13	Paper
A comparison of estimators for regression models with change points	2012-12-31	Paper
Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution	2012-12-30	Paper
Detection of structural breaks in a time-varying heteroskedastic regression model	2011-08-01	Paper
Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models	2011-04-06	Paper
Bayesian model selection for heteroskedastic models	2010-06-30	Paper
Bayesian causal effects in quantiles: accounting for heteroscedasticity	2010-03-30	Paper
Estimation and inference for exponential smooth transition nonlinear volatility models	2009-12-10	Paper
Optimal dynamic hedging via copula-threshold-GARCH models	2009-06-18	Paper
Volatility forecasting using threshold heteroskedastic models of the intra-day range	2009-06-12	Paper
A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models	2009-06-02	Paper
Bayesian sample size determination for case-control studies with misclassification	2009-05-29	Paper
Comparison of nonnested asymmetric heteroskedastic models	2009-04-06	Paper
Inference for Proportions in a 2 × 2 Contingency Table: HPD or not HPD?	2008-12-22	Paper
Testing for nonlinearity in mean and volatility for heteroskedastic models	2008-12-17	Paper
ASSESSING AND TESTING FOR THRESHOLD NONLINEARITY IN STOCK RETURNS	2008-01-24	Paper
ESTIMATION IN RICKER'S TWO-RELEASE METHOD: A BAYESIAN APPROACH	2007-03-20	Paper
Asymmetric response and interaction of U.S. and local news in financial markets	2006-05-24	Paper
Theory & Methods: Bayesian variable selection in logistic regression: predicting company earnings direction	2003-08-06	Paper
Efficient Bayesian Inference for Dynamic Mixture Models	2002-07-30	Paper
Diagnostics for Time Series Analysis	2000-03-01	Paper

Research outcomes over time

Doctoral students

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