Richard Gerlach
BSc UTS PhD AGSM A.Stat.
Associate Professor
richard.gerlach@sydney.edu.au
Room 483
H04 Merewether Building
The University of Sydney
NSW 2006 Australia
Phone: +61 2 9351 3944
Fax: +61 2 9351 6409
Richard Gerlach's research interests lie mainly in financial econometrics and time series. His methodological work has concerned developing computationally intensive Bayesian methods for inference, diagnosis and model comparison for time series models; with recent focus on nonlinear threshold heteroskedastic models and volatility forecasting. He also has an interest in estimating logit models incorporating misclassification. His applied work has involved 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 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 Association for Statistical Computing world conference, the International Symposium on Forecasting and the International Statistical Institute sessions.
Research Expertise
- Computational econometrics
Research Interests
- Bayesian statistics
- Computational econometrics
- Data analysis
- Financial econometrics
- Forecasting
- Inference
- Markov Chain Monte Carlo Estimation
- Time series econometrics