2008

Journal Article/s

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, Gerlach R and So MKP 2008 forthcoming 'Bayesian Model Selection for Heteroskedastic Models', Advances in Econometrics , vol.23:Special Issue on Bayesian Econometric Methods.

Chen CWS, Gerlach R and Tai AJ 2008 forthcoming 'Testing for nonlinearity in mean and volatility for heteroskedastic models', Mathematics and Computers in Simulation .

Chen CWS, Gerlach R, Cheng YP and Yang YL 2008 forthcoming 'The Impact of Structural Breaks on the Integration of ASEAN-Stock Markets', Mathematics and Computers in Simulation.

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.

Cheong C, Gerlach R, Stevenson S, Wilson P and Zurbruegg R 2008 forthcoming 'Equity and fixed income markets as drivers of securitised real estate', Review of Financial Economics.

Gerlach R and Chen CWS 2008 forthcoming 'Bayesian inference and percentile forecasting with asymmetric smooth transition heteroskedastic models', Statistics and Computing .

Hudson B and Gerlach R 2008 forthcoming 'A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models', Test.

Lai Y, Chen CWS and Gerlach R 2008 forthccoming 'Optimal Dynamic Hedging using Asymmetric Copula-GARCH Modals: Evidence from Spot and Futures Markets in Five East Asian Markets', Mathematics and Computers in Simulation.

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. 40-4.

Tuyl F, Gerlach R and Mengersen K 2008 forthcoming 'Inference for proportions in 2x2 contingency tables: HPD or not HPD?', Biometrics.

2007

Journal Article/s

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. 125-159.

Easton S and Gerlach R 2007 'Modelling Exchange-Traded Barrier Options traded in the Australian Options Market', Accounting and Finance, vol.47:1, pp. 109-22.

Gerlach R and Stamey J 2007 'Bayesian model selection for logistic regression with misclassified outcomes', Statistical Modelling, vol.7:3, pp. 255-73.

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.

2006

Book/s

Howley P and Gerlach R 2006 Business Statistics in Australia: Methods and Applications.

Journal Article/s

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

Chen.C.W.S., Gerlach R and So MKP 2006 'Comparison of nonnested asymmetric heteroskedastic models', Computational Statistics & Data Analysis, vol.51:4.

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

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. 422-444.

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. 974-91.

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

2005

Journal Article/s

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. 473-488.

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.

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

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.

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. 184-189.

2004

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

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

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

Journal Article/s

Bird R, Gerlach 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

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

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.