Richard Gerlach

Efficient Bayesian Inference for Dynamic Mixture Models

Richard Gerlach, Chris Carter, Robert Kohn · Journal of the American Statistical Association · 2000 · 154 citations

Bayesian Statistics, Mixture Distribution, Engineering +13

Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets

Richard Gerlach, Cathy W. S. Chen, Nancy Y. C. Chan · Journal of Business and Economic Statistics · 2010 · 120 citations

Volatility Modeling, Time-varying Quantile, Financial Economics +12

Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution

Qian Chen, Richard Gerlach, Zudi Lu · Computational Statistics & Data Analysis · 2010 · 87 citations

Bayesian Statistic, Engineering, Asset Pricing +10

Structural breaks and diversification: The impact of the 1997 Asian financial crisis on the integration of Asia-Pacific real estate markets

Richard Gerlach, Patrick Wilson, Ralf Zurbruegg · Journal of International Money and Finance · 2006 · 87 citations

Structural Breaks, Economics, Financial Economics +9

A Comparison of Bayes–Laplace, Jeffreys, and Other Priors

Frank Tuyl, Richard Gerlach, Kerrie Mengersen · The American Statistician · 2008 · 72 citations