Richard Gerlach

Professor in Business Analytics

University of Sydney

Australia

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About

Richard Gerlach is a Professor in Business Analytics at the University of Sydney, Australia. His research focuses on financial tail risk forecasting, modeling frameworks for value-at-risk and expected shortfall, and graph-based approaches in stock market analysis. He has published several recent articles addressing advanced methodologies in quantitative finance, including Bayesian models and semiparametric GARCH processes.

Articles (11)

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2024

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2023

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2022

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2022

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2022

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2022

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2021

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2021

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2021

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2021

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2020

Collaborators (2)

Scott Sisson

University of New South Wales

AUSTRALIA

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Giuseppe Storti

Professore Ordinario di Statistica Economica

Università degli Studi di Napoli Federico II

ITALY

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Richard Gerlach

Research Interests

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Articles (11)

A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting

A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures

Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators

Dynamic quantile function models

A survey of the application of graph-based approaches in stock market analysis and prediction

Bayesian Semi-Parametric Realized Conditional Autoregressive Expectile Models for Tail Risk Forecasting

Bayesian forecast of the basic reproduction number during the Covid-19 epidemic in Morocco and Italy

Manifold Optimization-Assisted Gaussian Variational Approximation

Semiparametric GARCH via Bayesian Model Averaging

Stock Ranking Prediction Using List-Wise Approach and Node Embedding Technique

Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics

Collaborators (2)

Scott Sisson

Giuseppe Storti

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