Now showing items 1-4 of 4

    • An Application of Correlation Clustering to Portfolio Diversification 

      Zhan, H.C.J.; Rea, W.; Rea, A. (University of Canterbury. Department of Economics and FinanceUniversity of Canterbury. Mathematics and Statistics, 2014)
      This paper presents a novel application of software developed for constructing a phylogenetic network to the correlation matrix for 126 stocks listed on the Shanghai A Stock Market. We show that by visualizing the ...
    • A comparison of Spillover Effects before, during and after the 2008 Financial Crisis 

      Rea, A.; Rea, W.S.; Reale, M.; Scarrott, C. (College of Business and EconomicsUniversity of Canterbury. Department of Economics and FinanceUniversity of Canterbury. Mathematics and Statistics, 2012)
      This paper applies graphical modelling to the S&P 500, Nikkei 225 and FTSE 100 stock market indices to trace the spillover of returns and volatility between these three major world stock market indices before, during and ...
    • A Comparison of Spillover Effects before, during and after the 2008 Financial Crisis 

      Rea, A.; Rea, W.; Marco Reale, M.; Scarrott, C. (University of Canterbury. Department of Economics and FinanceUniversity of Canterbury. Mathematics and Statistics, 2014)
      This paper applies graphical modelling to the S&P 500, Nikkei 225 and FTSE 100 stock market indices to trace the spillover of returns and volatility between these three major world stock market indices before, during and ...
    • Visualization of a Stock Market Correlation Matrix 

      Rea, A.; Rea, W. (University of Canterbury. Department of Economics and FinanceUniversity of Canterbury. Mathematics and Statistics, 2014)
      This paper presents a novel application of Neighbor-Net, a clustering algorithm developed for constructing a phylogenetic network in the field of evolutionary biology, to visualizing a correlation matrix. We apply ...