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Richard Gerlach

Photo of Richard Gerlach

BSc UTS PhD AGSM A.Stat.
Professor

Rm 4086
H70 - Abercrombie Building
The University of Sydney
NSW 2006 Australia

Telephone +61 2 9351 3944
Fax +61 2 9351 6409
richard.gerlach@sydney.edu.au

Bio

Richard Gerlach's research interests lie mainly in financial econometrics and time series. His work has concerned developing time series models for measuring, forecasting and managing risk in financial markets as well as computationally intensive Bayesian methods for inference, diagnosis, forecasting and model comparison for these models. Recent focus has been on nonlinear threshold heteroskedastic models for volatility, Value-at-Risk and Expected Shortfall forecasting. He has developed structural break and intervention detection tools for use in state space models; also has an interest in estimating logit models incorporating misclassification and variable selection. His applied work has involved forecasting risk levels during and after the Global Financial Crisis; assessing asymmetry in major international stock markets, in response to local and exogenous factors; co-integration analysis assessing the effect of the Asian financial crisis on long term relationships between international real estate investment markets; stock selection for financial investment using logit models; option pricing and hedging involving barriers; and factors influencing the 2004 Federal election.

His research papers have been published in Journal of the American Statistical Association, Journal of Business and Economic Statistics, Journal of Time Series Analysis and the International Journal of Forecasting. He has been an invited speaker and regular presenter at international conferences such as the International conference for Computational and Financial Econometrics, the International Symposium on Forecasting and the International Statistical Institute sessions.

Selected publications

2018

Journal Articles

Jofre M, and Gerlach R (2018) Fighting Accounting Fraud Through Forensic Data Analytics (Working Paper) ArXiv e-prints, 1-39.

Sutton M, Vasnev A, and Gerlach R (2018) Mixed Interval Realized Variance: A Robust Estimator of Stock Price Volatility Econometrics and Statistics, In Press.

Yatigammana R, Peiris M, Gerlach R, and Allen D (2018) Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants Risks, 6 (52), 1-22. [More Information]

Conference Proceeding

Gerlach R, and Storti G (2018) Extended realized GARCH models 48th Scientific Meeting of the Italian Statistical Society (SIS 2016); Springer, Salerno. [More Information]

2017

Journal Articles

Contino C, and Gerlach R (2017) Bayesian tail-risk forecasting using realized GARCH Applied Stochastic Models in Business and Industry, 33 (2), 213-236. [More Information]

Gerlach R, and Chen C (2017) Semi-parametric expected shortfall forecasting in financial markets Journal of Statistical Computation and Simulation, 87 (6), 1084-1106. [More Information]

Gerlach R, Walpole D, and Wang C (2017) Semi-parametric Bayesian Tail Risk Forecasting Incorporating Realized Measures of Volatility Quantitative Finance, 17 (2), 199-215. [More Information]

2016

Journal Articles

Gerlach R, and Abeywardana S (2016) Variational Bayes for assessing dynamic quantile forecasts International Journal of Forecasting, 32 (4), 1385-1402. [More Information]

Gerlach R, and Chen C (2016) Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range Journal of Financial Econometrics, 14 (1), 128-158. [More Information]

Gerlach R, and Wang C (2016) Forecasting risk via realized GARCH, incorporating the realized range Quantitative Finance, 16 (4), 501-511. [More Information]

Gerlach R, Chen C, and Lin E (2016) Bayesian Assessment of Dynamic Quantile Forecasts Journal of Forecasting, 35 (8), 751-764. [More Information]

Gerlach R, Peiris M, and Lin E (2016) Bayesian estimation and inference for log-ACD models Computational Statistics, 31 (1), 25-48. [More Information]

Peters G, Chen Y, and Gerlach R (2016) Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-Moments Risks, 4 (14), 1-41. [More Information]

Tuyl F, Gerlach R, and Mengersen K (2016) Consensus priors for multinomial and binomial ratios Journal of Statistical Theory and Practice, 10 (4), 736-754. [More Information]

Conference Proceedings

Jofre M, and Gerlach R (2016) Fighting Financial Statement Fraud Through Predictive Analytics 72nd American Society of Criminology Annual Meeting 2016; American Society of Criminology, New Orleans LA, United States.

Jofre M, Scharth M, and Gerlach R (2016) Complete Subset Logistic Regression for Corporate Fraud Detection Australian Statistical Conference 2016; Statistical Society of Australia, Canberra, Australia.

2015

Journal Articles

Gerlach R, Obaydin I, and Zurbruegg R (2015) The impact of leverage on the idiosyncratic risk and return relationship of REITs around the financial crisis International Review of Economics and Finance, 38, 207-219. [More Information]

Wichitaksorn N, Wang J, Choy S, and Gerlach R (2015) Analyzing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via uniform scale mixtures Applied Stochastic Models in Business and Industry, 31 (5), 584-608. [More Information]

Conference Proceeding

Jofre M, Gerlach R, and Christodoulou D (2015) Machine Learning for Financial Statement Fraud Detection 2nd Conference on Business Analytics in Finance and Industry BAFI 2015; Universidad de Chile, Santiago, Chile.

2014

Journal Articles

Chen C, Gerlach R, and Lin E (2014) Bayesian estimation of smoothly mixing time-varying parameter GARCH models Computational Statistics and Data Analysis, 76, 194-209. [More Information]

Choy S, Gerlach R, and Wichitaksorn N (2014) A Generalized Class of Skew Distributions and Associated Robust Quantile Regression Models Canadian Journal of Statistics (Revue Canadienne de Statistique), 42 (4), 579-596. [More Information]

Ng K, Peiris M, and Gerlach R (2014) Estimation and forecasting with logarithmic autoregressive conditional duration models: A comparative study with an application Expert Systems with Applications, 41 (7), 3323-3332. [More Information]

Watkins J, Vasnev A, and Gerlach R (2014) Multiple Event Incidence and Duration Analysis for Credit Data Incorporating Non-Stochastic Loan Maturity Journal of Applied Econometrics, 29 (4), 627-648. [More Information]

2013

Journal Articles

Chen C, and Gerlach R (2013) Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity Computational Statistics, 28 (3), 1103-1131. [More Information]

Chen Q, and Gerlach R (2013) The two-sided Weibull distribution and forecasting financial tail risk International Journal of Forecasting, 29 (4), 527-540. [More Information]

Gerlach R, Lu Z, and Huang H (2013) Exponentially Smoothing the Skewed Laplace Distribution for Value-at-Risk Forecasting Journal of Forecasting, 32 (6), 534-550. [More Information]

2012

Journal Articles

Chen C, Gerlach R, Hwang B, and McAleer M (2012) Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range International Journal of Forecasting, 28 (3), 557-574. [More Information]

Chen C, Gerlach R, Lin E, and Lee W (2012) Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis Journal of Forecasting, 31 (8), 661-687. [More Information]

Chen Q, Gerlach R, and Lu Z (2012) Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution Computational Statistics and Data Analysis, 56 (11), 3498-3516. [More Information]

Lin E, Chen C, and Gerlach R (2012) Forecasting volatility with asymmetric smooth transition dynamic range models International Journal of Forecasting, 28 (2), 384-399. [More Information]

2011

Journal Articles

Chen C, Chan J, Gerlach R, and Hsieh W (2011) A comparison of estimators for regression models with change points Statistics and Computing, 21 (3), 395-414. [More Information]

Chen C, Gerlach R, and Lin A (2011) Multi-Regime Nonlinear Capital Asset Pricing Models Quantitative Finance, 11 (9), 1421-1438. [More Information]

Chen C, Gerlach R, and Liu F (2011) Detection of structural breaks in a time-varying heteroskedastic regression model Journal of Statistical Planning and Inference, 141 (11), 3367-3381. [More Information]

Chen C, Liu F, and Gerlach R (2011) Bayesian Subset Selection for Threshold Autoregressive Moving-Average Models Computational Statistics, 26 (1), 1-30. [More Information]

Gerlach R, Chen C, and Chan N (2011) Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets Journal of Business and Economic Statistics, 29 (4), 481-492. [More Information]

2010

Journal Articles

Chen C, Gerlach R, and Lin A (2010) Falling and explosive, dormant, and rising markets via multiple-regime financial time series models Applied Stochastic Models in Business and Industry, 26 (1), 28-49. [More Information]

Chen C, Gerlach R, Choy S, and Lin C (2010) Estimation and inference for exponential smooth transition nonlinear volatility models Journal of Statistical Planning and Inference, 140 (3), 719-733. [More Information]

Powers S, Gerlach R, and Stamey J (2010) Bayesian variable selection for Poisson regression with underreported responses Computational Statistics and Data Analysis, 54 (12), 3289-3299. [More Information]

Tuyl F, Gerlach R, and Mengersen K (2010) Consensus Priors in the Presence of General Laws Journal of Applied Probability and Statistics, 5 (1), 31-42.

Working Paper

Watkins J, Vasnev A, and Gerlach R (2010) Survival Analysis for Credit Scoring: Incidence and Latency.

2009

Journal Articles

Chen C, Gerlach R, and Wei D (2009) Bayesian causal effects in quantiles: Accounting for heteroscedasticity Computational Statistics and Data Analysis, 53 (6), 1993-2007. [More Information]

Chen C, Gerlach R, Cheng N, and Yang Y (2009) The impact of structural breaks on the integration of the ASEAN-5 stock markets Mathematics and Computers in Simulation, 79 (8), 2654-2664. [More Information]

Cheong C, Gerlach R, Stevenson S, Wilson P, and Zurbruegg R (2009) Equity and fixed income markets as drivers of securitised real estate Review of Financial Economics, 18 (2), 103-111. [More Information]

Hoque Z, and Gerlach R (2009) Improved Estimation for Dynamic Linear Regression Model Journal of Applied Statistical Science, 17 (2), 303-314.

Lai Y, Chen C, and Gerlach R (2009) Optimal dynamic hedging via copula-threshold-GARCH models Mathematics and Computers in Simulation, 79 (8), 2609-2624. [More Information]

Tuyl F, Gerlach R, and Mengersen K (2009) Posterior predictive arguments in favor of the Bayes-Laplace prior as the consensus prior for binomial and multinomial parameters Bayesian Analysis, 4 (1), 151-158. [More Information]

Tuyl F, Gerlach R, and Mengersen K (2009) The Rule of Three, its Variants and Extensions International Statistical Review, 77 (2), 266-275. [More Information]

Working Paper

Gerlach R, Chen C, and Chan N (2009) Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets.

2008

Journal Articles

Chen C, Gerlach R, and Lin E (2008) Volatility Forecasting using Threshold Heteroskedastic Models of the Intra-day Range Computational Statistics and Data Analysis, 52 (6), 2990-3010. [More Information]

Chen C, Gerlach R, and Tai A (2008) Testing for nonlinearity in mean and volatility for heteroskedastic models Mathematics and Computers in Simulation, 79 (3), 489-499. [More Information]

Chen C, Lin E, Liu F, and Gerlach R (2008) Bayesian Estimation for Parsimonious Threshold Autoregressive Models in R R News, 8 (1), 26-33.

Gerlach R, and Chen C (2008) Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models Statistics and Computing, 18 (4), 391-408. [More Information]

Hudson B, and Gerlach R (2008) A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models Test, 17, 606-627. [More Information]

Tuyl F, Gerlach R, and Mengersen K (2008) Inference for Proportions in a 2 x 2 Contingency Table: HPD or not HPD? Biometrics, 64 (4), 1293-1296. [More Information]

Tuyl F, Gerlach R, and Mengersen K (2008) A Comparison of Bayes-Laplace, Jeffreys, and Other Priors: The Case of Zero Events The American Statistician, 62 (1), 40-44. [More Information]

Book Chapter

Chen C, Gerlach R, and So M (2008) Bayesian Model Selection for Heteroskedastic Models Bayesian Econometrics (Advances in Econometrics volume 23); JAI Press, Bingley, UK, 567-594.

2007

Journal Articles

Blackburn V, Gerlach R, and Sarafidis V (2007) Dynamic Budgetary Adjustments in the Australian State Government Finance Sector: An Econometric Approach Journal of Economics and Management, 3 (2), 125-159.

Easton S, and Gerlach R (2007) Modelling exchange-traded barrier options traded in the Australian options market Accounting and Finance, 47 (1), 109-122. [More Information]

Gerlach R, and Stamey J (2007) Bayesian sample size determination for case-control studies with misclassification Computational Statistics and Data Analysis, 51 (6), 2982-2992. [More Information]

Gerlach R, and Stamey J (2007) Bayesian model selection for logistic regression with misclassified outcomes Statistical Modelling, 7 (3), 255-273. [More Information]

2006

Journal Articles

Bird R, and Gerlach R (2006) A Bayesian Model Averaging Approach to Enhance Value Investment International Journal of Business and Economics, 5 (2), 111-127.

Chen C, Yang M, Gerlach R, and Lo H (2006) The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model Physica A, 366, 401-418. [More Information]

Chen C, Yang M, Gerlach R, and Lo H (2006) The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model Physica A, 366, 401-418. [More Information]

Gerlach R, and Tuyl F (2006) MCMC methods for comparing stochastic volatility and GARCH models International Journal of Forecasting, 22, 91-107. [More Information]

Gerlach R, Chen C, and So M (2006) Comparison of nonnested asymmetric heteroskedastic models Computational Statistics and Data Analysis, 51 (4), 2164-2178. [More Information]

Gerlach R, Chen C, Lin D, and Huang M (2006) Asymmetric responses of international stock markets to trading volume Physica A, 360 (2), 422-444. [More Information]

Gerlach R, Wilson P, and Zurbruegg R (2006) Structural breaks and diversification: The impact of the 1997 Asian financial crisis on the integration of Asia-Pacific real estate markets Journal of International Money and Finance, 25 (6), 974-991. [More Information]

Lee S, Chen C, Gerlach R, and Huang L (2006) Estimation in Ricker's Two-Release Method: A Bayesian Approach Australian and New Zealand Journal of Statistics, 48 (2), 157-169. [More Information]

Book

Howley P, and Gerlach R (2006) Business Statistics in Australia: Methods and Applications; Springer, Newcastle.

2005

Journal Articles

Chen C, So M, and Gerlach R (2005) Asymmetric response and interaction of U.S. and local news in financial markets Applied Stochastic Models in Business and Industry, 21 (3), 273-288. [More Information]

Chen C, So M, and Gerlach R (2005) Assessing and testing for threshold nonlinearity in stock returns Australian and New Zealand Journal of Statistics, 47 (4), 473-488. [More Information]

Chen C, So M, and Gerlach R (2005) Asymmetric response and interaction of US and local news in financial markets Applied Stochastic Models in Business and Industry, 21 (3), 273-288. [More Information]

Easton S, and Gerlach R (2005) Interest rates and the 2004 Australian Election Australian Journal of Political Science, 40 (4), 559-566. [More Information]

Hunter M, Smith R, Hyslop W, Rosso O, Gerlach R, Rostas J, Williams D, and Henskens F (2005) The Australian EEG database Clinical EEG and Neuroscience, 36 (2), 76-81. [More Information]

Rosso O, Hyslop W, Gerlach R, Smith R, Rostas J, and Hunter M (2005) Quantitative EEG analysis of maturational changes associated with childhood absence epilepsy Physica A, 356 (1), 184-189. [More Information]

2004

Journal Article

Easton S, Gerlach R, Graham M, and Tuyl F (2004) An Empirical Examination of the Pricing of Exchange-Traded Barrier Options The Journal of Futures Markets, 24 (11), 1049-1064. [More Information]

2003

Journal Article

Wilson P, Gerlach R, and Zurbruegg R (2003) Potential Diversification Benefits in the Presence of Unknown Structural Breaks: An Australian Case Study Australian Economic Papers, 42 (4), 442-453.

Selected grants

2018 - 2019

2018 - 2019

Recent Units Taught

  • BUSS1020 Quantitative Business Analysis

  • QBUS2810 Statistical Modelling for Business

  • QBUS6830 Financial Time Series and Forecasting

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