Home | Postgraduate | Maths and Stats | Research | Teaching | Links
 

Research

From browsing this webpage you can get an idea about my research interests and also you can find some downloads, but please watch the disclaimer.

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:

A Graphical Modeling Approach to Time Series, Lancaster University, 1998.

Recent papers:

  • The variance profile, (with Alessandra Luati and Tommaso Proietti), under revision.

  • CARTopt : A random search method for nonsmooth unconstrained optimization, (with Chris Price and Blair Robertson), submitted.

  • Does investor attention influence stock market activity? The case of spin-off deals, (with Alessandro Carretta, Vincenzo Farina and Anna Graziano), submitted.

  • Bayesian extreme value mixture modelling for estimating VaR, (with Xin Zhao, Carl Scarrott and Les Oxley), under revision.

  • A new procedure to test for fractional integration, (with Bill Rea, Chris Price, Les Oxley and Jennifer Brown), submitted.

Journal publications:

  • C.J. Price, M. Reale and B.L. Robertson, A cover partitioning method for bound constrained global optimization, Optimization Methods and Software, forthcoming.

  • W. Rea, M. Reale and J. Brown, Long memory in temperature reconstruction, Climatic Change 107 (3), 2011, 247-265.

  • B.L. Robertson, C.J. Price and M. Reale, A Hooke and Jeeves - CARTopt hybrid method for nonsmooth optimization, Advanced Modeling and Optimization 13 (3), 2011, 381-401.

  • D.S. Lee, M. Zahari, G. Russell, B. Darlow, C. Scarrott and M. Reale, An exploratory investigation of some statistical summaries of oximeter oxygen saturation data from preterm babies, ISRN Pediatrics 2011, 2011, article ID 296418.

  • A. MacDonald, C.J. Scarrott, D. Lee, B. Darlow, M. Reale and G. Russell, A Flexible Extreme Value Mixture Model, Computational Statistics and Data Analysis 55 (6), 2011, 2137-2157.

  • X. Zhao, C.J. Scarrott, L. Oxley and M. Reale, GARCH dependence in extreme value models with Bayesian inference, Mathematics and Computers in Simulation 81 (7), 2011, 1430-1440.

  • W. Rea, M. Reale, J. Brown and L. Oxley, Long memory or shifting means in geophysical time series?, Mathematics and Computers in Simulation 81 (7), 2011, 1441-1453.

  • 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 29 (5), 2010, 754-777.

  • X. Zhao, C. Scarrott, L. Oxley and M. Reale, Extreme value modelling for forecasting market crisis impacts, Applied Financial Economics 20 (1-2), 2010, 63-72.

  • 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.

  • 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.

  • 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.

  • 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.

  • 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.

  • 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.

  • 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.

  • 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.

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

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

  • 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.

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

Here is a complete list of publications

Working Papers:

  • 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.

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

Other working papers can be found in the UC Mathematics and Statistics Department Research Report Area and in the UC Economics and Finance Department Working Papers Series.
University of Canterbury. Best viewed at 800x600 resolution or higher.