Now showing items 1-6 of 6

    • 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.; 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 ...
    • Detection of spurious and real breaks in realized volatility: An empirical study of the DIJA 

      Rea, W.; Mendes, E.; Oxley, L.; Reale, M. (University of Canterbury. Economics.University of Canterbury. Mathematics and Statistics., 2007)
      Granger and Hyung (2004), Diebold and Inoue (2001) and Smith (2005) demonstrate how long memory and structural change can be confused because their finite sample properties are similar. In this paper we present a new ...
    • Long memory or shifting means? A new approach and application to realised volatility 

      Rea, W.; Oxley, L.; Reale, M.; Mendes, E. (Department of Economics and FinanceUniversity of Canterbury. Economics.University of Canterbury. Mathematics and Statistics., 2008)
      It is now recognised that long memory and structural change can be confused because the statistical properties of times series of lengths typical of financial and econometric series are similar for both models. We propose ...
    • A New Procedure to Test for H Self-Similarity 

      Rea, W.; Price, C.; Oxley, L.; Reale, M. (College of Business and Economics, University of CanterburyUniversity of Canterbury. Economics.University of Canterbury. Mathematics and Statistics., 2008)
      It is now recognized that long memory and structural change can be confused because the statistical properties of times series of lengths typical of many financial and economic series are similar for both models. We propose ...
    • 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 ...