Now showing items 1-4 of 4

    • 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 ...
    • The Empirical Properties of Some Popular Estimators of Long Memory Processes 

      Rea, W.S.; Oxley, L.; Reale, M.; Brown, J. (College of Business and EconomicsUniversity of Canterbury. Economics.University of Canterbury. Mathematics and Statistics., 2008)
      We present the results of a simulation study into the properties of 12 different estimators of the Hurst parameter, H, or the fractional integration parameter, d, in long memory time series. We compare and contrast their ...
    • Evolutionary Spectra for Exploratory Data Analysis 

      Rea, W.S. (University of Canterbury. Department of Economics and Finance, 2009)
      This paper gives a brief introduction to windowed Fourier analysis also known as evolutionary spectral analysis (ESA). ESA has largely fallen into a back- water because the type of analysis it was intended to perform is ...
    • Improving an algorithm for break points detection based on regression trees 

      Brown, J.A.; Rea, W.S.; Reale, M. (University of Canterbury. Department of Economics and FinanceUniversity of Canterbury. Mathematics and Statistics, 2009)
      Powerpoint of presentation given at the conference, Computational and Financial Econometrics (CFE'09), Cyprus Oct 2009