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Richard Gerlach

Richard Gerlach

BSc UTS PhD AGSM A.Stat.
Professor; Chair of Discipline

Rm 487
H04 - Merewether 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.

Publications

2014

4
Journal Article/s

Ng KH, Peiris S and Gerlach R 2014 'Estimation and forecasting with logarithmic autoregressive conditional duration models: A comparative study with an application', Expert Systems with Applications, vol.41:7, pp. 3323-32 Link

Watkins JGT, Vasnev A and Gerlach R 2014 'Multiple Event Incidence and Duration Analysis for Credit Data Incorporating Non-Stochastic Loan Maturity', Journal of Applied Econometrics, vol.29:4, pp. 627-48 Link

Chen CWS, Gerlach R and Lin EMH 2014 'Bayesian estimation of smoothly mixing time-varying parameter GARCH models', Computational Statistics and Data Analysis, vol.76, pp. 194-209 Link

Gerlach R and Chen CWS 2014 Forthcoming 'Bayesian Expected Shortfall Forecasting Incorporating the Intra-day Range', Journal of Financial Econometrics

Wichitaksorn N, Choy STB and Gerlach R 2014 'A Generalized Class of Skew Distributions and Associated Robust Quantile Regression Models', Canadian Journal of Statistics, vol.42:4, pp. 579-96 Link

5
Conference Paper/s

Gerlach R and Chen C 2014 'Bayesian daily tail-risk forecasting employing intra-day data', 8th International Conference on Computational and Financial Econometrics CFE 2014, Pisa, Italy, 8th December 2014

2013

4
Journal Article/s

Gerlach R, Lu Z and Huang H 2013 'Exponentially Smoothing the Skewed Laplace Distribution for Value-at-Risk Forecasting', Journal of Forecasting, vol.32:6, pp. 534-50 Link

Chen CWS and Gerlach R 2013 'Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity', Computational Statistics, vol.28:3, pp. 1103-31 Link

Chen Q and Gerlach R 2013 'The two-sided Weibull distribution and forecasting financial tail risk', International Journal of Forecasting, vol.29:4, pp. 527-40 Link

5
Conference Paper/s

Gerlach R and Chen C 2013 'Bayesian Semi-parametric Expected Shortfall Forecasting incorporating Intra-day range data', 7th International Conference on Computational and Financial Econometrics CFE 2013, University of London, London, United Kingdom, 16th December 2013

Choy STB, Gerlach R and Wichitaksorn N 2013 'Bayesian Analysis of Stochastic Volatility Model and Quantile Regression using Asymmetric Laplace Error via Uniform Scale Mixtures', 22nd South Taiwan Statistics Conference, Kaohsiung, Taiwan, 29th June 2013

Choy STB, Gerlach R and Wichitaksorn N 2013 'Bayesian Analysis of Stochastic Volatility Model and Quantile Regression using Asymmetric Laplace Error via Uniform Scale Mixtures', International Symposium on Forecasting ISF 2013, Seoul, Korea, (South) Republic of, 26th June 2013

2012

4
Journal Article/s

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: Special Issue on Computational and Financial Econometrics, vol.56:11, pp. 3498–3516 Link

Chen CWS, Gerlach R, Lin EMH and Lee WCW 2012 'Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis', Journal of Forecasting, vol.31:8, pp. 661-87 Link

Lin EMH, Chen CWS and Gerlach R 2012 'Forecasting volatility with asymmetric smooth transition dynamic range models', International Journal of Forecasting, vol.28:2, pp. 384-99 Link

Chen CWS, Gerlach R and McAleer M 2012 'Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range', International Journal of Forecasting, vol.28:3, pp. 557-74 Link

5
Conference Paper/s

Gerlach R, Chen C and Lin L 2012 'Bayesian Semi-parametric Expected Shortfall Forecasting in Financial Markets', International Society for Bayesian Analysis ISBA World Meeting 2012, Kyoto, Japan, 29th June 2012

2011

4
Journal Article/s

Gerlach R, Chen CWS and Chan NYC 2011 'Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets', Journal of Business and Economic Statistics, vol.29:4, pp. 481-92

Chen CWS, Liu FC and Gerlach R 2011 'Bayesian subset selection for threshold autoregressive moving-average models', Computational Statistics, vol.26:1, pp. 1-30

Chen CWS, Gerlach R and Lin AMH 2011 'Multi-regime nonlinear capital asset pricing models', Quantitative Finance, vol.11:9, pp. 1421-38

Chen CWS, Chan JSK, Gerlach R and Hsieh WYL 2011 'A comparison of estimators for regression models with change points', Statistics and Computing, vol.21:3, pp. 395-414

Chen CWS, Gerlach R and Liu FC 2011 'Detection of structural breaks in a time-varying heteroskedastic regression model', Journal of Statistical Planning and Inference, vol.141:11, pp. 3367-81

5
Conference Paper/s

Gerlach R and Chen CWS 2011 'Bayesian estimation of semi-parametric conditional expected shortfall models', 5th Computational Statistics & Data Analysis CSDA International Conference on Computational and Financial Econometrics CFE 2011, London, United Kingdom, 19th December 2011

2010

4
Journal Article/s

Chen CWS, Gerlach R, Choy STB and Lin C 2010 'Estimation and inference for exponential smooth transition nonlinear volatility models', Journal of Statistical Planning and Inference, vol.140:3, pp. 719-33

Chen CWS, Gerlach R and Lin AMH 2010 'Falling and explosive, dormant and rising markets via multiple-regime financial time series models', Applied Stochastic Models in Business and Industry, vol.26:1, pp. 28-49

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

Powers S, Gerlach R and Stamey J 2010 'Bayesian variable selection for Poisson regression with underreported responses', Computational Statistics and Data Analysis: Special Issue on Variable Selection and Robust Procedures, vol.54:12, pp. 3289-3299

5
Conference Paper/s

Gerlach R and Chen Q 2010 'Forecasting risk measures via smooth transition threshold GARCH models and the two-sided Weibull distribution', 4th International Conference on Computational and Financial Econometrics CFE 2010, London, United Kingdom, 12th December 2010

9
Internal Working Paper/s

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

2009

4
Journal Article/s

Lai Y, Chen CWS and Gerlach R 2009 'Optimal dynamic hedging via copula-threshold-GARCH models', Mathematics and Computers in Simulation, vol.78:8 - Special Issue: Modelling and Managing Financial Risk, pp. 2609-24

Chen CWS, Gerlach R, Cheng NYP and Yang YL 2009 'The impact of structural breaks on the integration of the ASEAN-5 stock markets', Mathematics and Computers in Simulation, vol.79:8 - Special Issue: Modelling and Managing Financial Risk, pp. 2654-64

Cheong CS, Gerlach R, Stevenson S, Wilson PJ and Zurbruegg R 2009 'Equity and fixed income markets as drivers of securitised real estate', Review of Financial Economics, vol.18:2, pp. 103-11

Tuyl F, Gerlach R and Mengersen K 2009 'The Rule of Three, its Variants and Extensions', International Statistical Review, vol.77:2, pp. 266-75

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, vol.4:1, pp. 151-58

Chen CWS, Gerlach R and Wei DCM 2009 'Bayesian causal effects in quantiles: accounting for heteroscedasticity', Computational Statistics and Data Analysis-4th Special Issue on Computational Econometrics,, vol.53:6, pp. 1993-2007

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

5
Conference Paper/s

Gerlach R and Chen Q 2009 'Expected Shortfall and Value-at-Risk via the Asymmetric Laplace distribution', International Association for Statistical Computing IASC 2009, Limassol, Cyprus, 31st October 2009

9
Internal Working Paper/s

Gerlach R, Chen CWS and Chan NYC 2009 'Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets', University of Sydney, Sydney, Australia

2008

2
Book Section/s

Chen CWS, Gerlach R and So MKP 2008 'Bayesian Model Selection for Heteroskedastic Models' in Advances in Econometrics, ed. Siddhartha Chib, William Griffiths, Gary Koop and Dek Terrell, Elsevier, Amsterdam, Netherlands, pp. 567-94

4
Journal Article/s

Hudson B and Gerlach R 2008 'A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models', Test, vol.17:3, pp. 606-27

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, vol.62:1, pp. 40-44

Chen CWS, Gerlach R and Lin EMH 2008 'Volatility Forecasting Using Threshold Heteroskedastic Models of the Intra-day Range', Computational Statistics and Data Analysis, vol.52:6, pp. 2990-3010

Chen CWS, Lin E, Liu FC and Gerlach R 2008 'Bayesian Estimation for Parsimonious Threshold Autoregressive Models in R', R News (newsletter of the R Project), vol.8:1, pp. 26-33

Chen CWS, Gerlach R and Tai APJ 2008 'Testing for nonlinearity in mean and volatility for heteroskedastic models', Mathematics and Computers in Simulation, vol.79:3, pp. 489-99

Tuyl F, Gerlach R and Mengersen K 2008 'Inference for Proportions in a 2 x 2 Contingency Table: HPD or not HPD?', Biometrics, vol.64:4, pp. 1293-6

Gerlach R and Chen CWS 2008 'Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models', Statistics and Computing, vol.18:4, pp. 391-408

2007

4
Journal Article/s

Stamey J and Gerlach R 2007 'Bayesian sample size determination for case control studies with misclassification', Computational Statistics and Data Analysis, vol.51:6, pp. 2982-2992

Easton S and Gerlach R 2007 'Modelling Exchange-Traded Barrier Options traded in the Australian Options Market', Accounting and Finance, vol.47:1, pp. 109-122

Blackburn VC, Gerlach R and Sarafidis V 2007 'Dynamic Budgetary Adjustments in the Australian State Government Finance Sector: An Econometric Approach', Journal of Economics and Management, vol.3:2, pp. 125-59

Gerlach R and Stamey J 2007 'Bayesian model selection for logistic regression with misclassified outcomes', Statistical Modelling, vol.7:3, pp. 255-273

2006

1
Book/s

Howley P and Gerlach R 2006 'Business Statistics in Australia: Methods and Applications', pp. 481

4
Journal Article/s

Gerlach R, Chen CWS, Lin SY and Huang MH 2006 'Asymmetric responses of international stock markets to trading volume', Physica A-Statistical Mechanics and its Applications, vol.360:2, pp. 422-44

Gerlach R and Tuyl F 2006 'MCMC methods for comparing stochastic volatility and GARCH models', International Journal of Forecasting, vol.22:1

Chen CWS, Gerlach R and So MKP 2006 'Comparison of nonnested asymmetric heteroscedastic models', Computational Statistics and Data Analysis, vol.51:4 Link

Chen CWS, Yang MJ, Gerlach R and Lo HJ 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 - Statistical Mechanics And Its Applications, vol.366, pp. 401-418

Lee SM, Chen CWS, Gerlach R and Hwang LH 2006 'Estimation in Ricker's two-release Method: A Bayesian Approach', Australian and New Zealand Journal of Statistics, vol.48:2

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, vol.25:6, pp. 974-991

Bird R and Gerlach R 2006 'A Bayesian model averaging approach to enhance value investment', International Journal of Business and Economics, vol.5:2 Link

2005

4
Journal Article/s

Rosso O, Hyslop W, Gerlach R, Smith RL, Rostas JP and Hunter M 2005 'Quantitative EEG analysis of maturational changes associated with childhood absence epilepsy', Physica A, vol.356:1, pp. 184-9

Hunter M, Smith R, Hyslop W, Rosso O, Gerlach R, Rostas J and Williams D 2005 'The Australian EEG database', Clinical EEG and Neuroscience, vol.36, pp. 76-81

Easton S and Gerlach R 2005 'Interest rates and the 2004 Australian Election', Australian Journal of Political Science, vol.40:4, pp. 559-566

Chen CWS, So MKP and Gerlach R 2005 'Asymmetric response and interaction of U.S. and local news in financial markets', Applied Stochastic Models in Business and Industry, vol.21:3, pp. 273-288

Chen CWS, So MKP and Gerlach R 2005 'Assessing and testing for threshold nonlinearity in stock returns', Australian & NZ Journal of Statistics, vol.47:4, pp. 473-88

Chen CWS, So MKP and Gerlach R 2005 'Assessing and testing for threshold nonlinearity in stock returns', Australian & New Zealand Journal of Statistics, vol.47, pp. 473-488

2004

4
Journal Article/s

Easton S, Gerlach R, Graham M and Tuyl F 2004 'An Empirical Examination of the Pricing of Exchange-Traded Barrier Options', Journal of Futures Markets, vol.24, pp. 1049-1064

2003

4
Journal Article/s

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, vol.42:4, pp. 442-452

2002

4
Journal Article/s

Gerlach R, Bird R and Hall A 2002 'Bayesian variable selection in logistic regression: predicting company earnings direction', Australian & NZ Journal of Statistics, vol.2, pp. 155-168

2001

4
Journal Article/s

Gerlach R, Bird R and Hall A 2001 'The prediction of earnings movements using accounting data: An update of Ou and Penman', Journal of Asset Management, vol.2, pp. 180-95

2000

4
Journal Article/s

Gerlach R, Carter C and Kohn R 2000 'Efficient Bayesian inference in dynamic mixture models', Journal of the American Statistical Association, vol.95:451, pp. 819-828

1999

4
Journal Article/s

Gerlach R, Carter C and Kohn R 1999 'Diagnostics for time series analysis', Journal of Time Series Analysis, vol.20:3, pp. 309-330

Research Expertise

  • Computational and Financial econometrics
  • Bayesian statistics
  • Financial risk forecasting and management
  • Computationally intensive statistical methods
  • Data analysis
  • Forecasting
  • Inference
  • Markov Chain Monte Carlo Estimation
  • Time series econometrics

Recent Units Taught