Browsing by Author Gerlach, Richard

Jump to: 0-9 A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
or enter first few letters:  
Showing results 1 to 11 of 11
PreviewIssue DateTitleAuthor(s)
10-Sep-2014Bayesian Assessment of Dynamic Quantile ForecastsGerlach, Richard; Chen, Cathy W.S.; Lin, Edward M.H.; Discipline of Business Analytics
Mar-2011Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial CrisisGerlach, Richard; Chen, Cathy W.S.; Lin, Edward M.H.; Lee, Wcw; Discipline of Business Analytics
Jan-2012Bayesian Semi-parametric Expected Shortfall Forecasting in Financial MarketsGerlach, Richard; Chen, Cathy W.S.; Lin, Liou-Yan; Discipline of Business Analytics
11-Sep-2015Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Range and Realized MeasuresGerlach, Richard; Wang, Chao; Discipline of Business Analytics, University of Sydney
10-Oct-2014Bayesian Tail Risk Forecasting using Realised GARCHContino, Christian; Gerlach, Richard; Discipline of Business Analytics
Aug-2009Bayesian time-varying quantile forecasting for Value-at-Risk in financial marketsGerlach, Richard; Chen, Cathy W.S.; Chan, Nancy Y. C.; Discipline of Business Analytics
Jan-2010Estimating Value At RiskLu, Zudi; Huang, Hai; Gerlach, Richard; Discipline of Business Analytics
Dec-2012Multiple Event Incidence and Duration Analysis for Credit Data Incorporating Non-Stochastic Loan MaturityVasnev, Andrey; Gerlach, Richard; Watkins, John
Apr-2014Semi-parametric Expected Shortfall ForecastingGerlach, Richard; Chen, Cathy W.S.; Discipline of Business Analytics
Nov-2009Survival Analysis for Credit Scoring: Incidence and LatencyWatkins, John; Vasnev, Andrey; Gerlach, Richard; Discipline of Business Analytics
Jan-2011The Two-sided Weibull Distribution and Forecasting Financial Tail RiskGerlach, Richard; Chen, Qian; Discipline of Business Analytics