Research

Please, check my postgraduate webpage if you're interested in postgraduate studies under my supervision.

Disclaimer: The listing of papers on this webpage is for my own use. Some of these files are probably covered by publisher copyrights. Please ensure that your institution has the appropriate subscription before reading any of these .pdfs.

PhD thesis:

Recent papers:

• Bayesian Extreme Value Mixture Modelling for Estimating VaR, (with Xin Zhao, Carl Scarrott and Les Oxley), submitted. pdf

• Are long memory time series H-selfsimilar? An empirical study, (with Bill Rea and Jennifer Brown), submitted.

• Long memory in temperature reconstruction, (with Bill Rea and Jennifer Brown), revised and resubmitted.

• The empirical properties of some popular estimators of long memory processes, (with Bill Rea, Les Oxley and Jennifer Brown), submitted. pdf

• Some new approaches to forecasting the price of electricity: a study of Californian market, (with Eduardo Mendes and Les Oxley), submitted. pdf

• A new procedure to test for H self-similarity, (with Bill Rea, Chris Price and Les Oxley), submitted. pdf

• Long memory or shifting means? A new approach and application to realised volatility, (with Bill Rea, Les Oxley and Eduardo Mendes), submitted.

Journal publications:

• X. Zhao, C. Scarrott, L. Oxley and M. Reale, Extreme modelling for forecasting market crisis impacts, Applied Financial Economics, forthcoming. pdf

• W.S. Rea, M. Reale, C. Cappelli and J.A. Brown, Identification of changes in mean with regression trees: an application to market research, Econometric Reviews, forthcoming. pdf

• H. Lindstrom, M. Reale and M. Grekin, Using non-destructive testing to assess modulus of elasticity of Pinus Sylvestris trees, Scandinavian Journal of Forest Research 24 (3), 2009, 247-257. pdf

• L. Oxley, M. Reale and G. Tunnicliffe Wilson, Constructing structural VAR models with conditional independence graphs, Mathematics and Computers in Simulation 79 (9), 2009, 2910-2916. pdf

• C.J. Price, B.L. Robertson and M. Reale, A hybrid Hooke and Jeeves-Direct method for non-smooth optimization, Advanced Modeling and Optimization 11 (1), 2009, 43-61. pdf

• G. Tunnicliffe Wilson and M. Reale, The sampling properties of conditional independence graphs for I(1) structural VAR models, Journal of Time Series Analysis 29 (5), 2008, 802-810. pdf

• C. Cappelli, R.N. Penny, W.S. Rea and M. Reale, Detecting multiple mean breaks at unknown points with regression trees, Mathematics and Computers in Simulation 78 (2-3), 2008, 351-356. pdf

• C.J. Price, M. Reale and B.L. Robertson, A direct search method for smooth and nonsmooth unconstrained optimization, ANZIAM Journal 48, 2008, C927-C948. pdf

• J. Edlund, H. Lindstrom, F. Nilsson and M. Reale, Modulus of elasticity of Norway spruce saw logs vs. structural lumber grade, Holz als Roh und Werkstoff 64 (4), 2006, 273-279. pdf

• H. Lindstrom, R. Evans and M. Reale, Implications of selecting tree clones with high modulus of elasticity, New Zealand Journal of Forestry Science 35 (1), 2005, 50-71. pdf

• R.N. Penny and M. Reale, Using graphical modelling in official statistics, Quaderni di Statistica 6 (1), 2004, 31-48. pdf

• M. Reale and G. Tunnicliffe Wilson, The sampling properties of conditional independence graphs for structural vector autoregressions, Biometrika 89 (2), 2002, 457-461. pdf

• M. Reale and G. Tunnicliffe Wilson, Identification of vector AR models with recursive structural errors using conditional independence graphs, Statistical Methods and Applications 10 (1-3), 2001, 49-65. pdf

• G. Tunnicliffe Wilson, M. Reale and A.S. Morton, Developments in Multivariate Time Series Modeling, Estadistica 53 (160, 161), 2001, 353-395. pdf

Here is a complete list of publications

Working Papers:

• Extreme value GARCH modelling with Bayesian inference, (with Xin Zhao, Les Oxley and Carl Scarrott), University of Canterbury Department of Economics and Finance Working Papers 09/05, 2009. pdf

• An empirical study of break point detection for seasonal change in an external migration series, (with Guan Yu Zheng, Richard Penny and Easaw Chacko), Statistics New Zealand Research Report, 2008. pdf

• Detecting changes in mean levels with atheoretical regression trees, (with Carmela Cappelli), University of Canterbury Mathematics and Statistics Department Research Report 2005/2, 2005. pdf

• Using graphical modelling in official statistics, (with Richard Penny),University of Canterbury Mathematics and Statistics Department Research Report 2004/10, 2004.

Other working papers can be found in the UC Mathematics and Statistics Department Research Report Area.