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William Stanley Rea

Personal Details

First Name:William
Middle Name:Stanley
Last Name:Rea
Suffix:
RePEc Short-ID:pre225
[This author has chosen not to make the email address public]

Affiliation

Department of Economics and Finance
Business School
University of Canterbury

Christchurch, New Zealand
https://www.canterbury.ac.nz/business/departments/department-of-economics-and-finance/
RePEc:edi:decannz (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Mantobaye Moundigbaye & William Rea & W. Robert Reed, 2016. "More Evidence On “Which Panel Data Estimator Should I Use?”," Working Papers in Economics 16/18, University of Canterbury, Department of Economics and Finance.
  2. Hannah Cheng & Juan Zhan & William Rea & Alethea Rea, 2016. "Stock Selection as a Problem in Phylogenetics -- Evidence from the ASX," Papers 1603.02354, arXiv.org.
  3. Libin Yang & William Rea & Alethea Rea, 2015. "Stock Selection with Principal Component Analysis," Working Papers in Economics 15/03, University of Canterbury, Department of Economics and Finance.
  4. Libin Yang & William Rea & Alethea Rea, 2015. "How much diversification potential is there in a single market? Evidence from the Australian Stock Exchange," Working Papers in Economics 15/07, University of Canterbury, Department of Economics and Finance.
  5. Libin Yang & William Rea & Alethea Rea, 2015. "Can PCA Structure Changes Indicate that it is Time to Trade?," Working Papers in Economics 15/13, University of Canterbury, Department of Economics and Finance.
  6. Hannah Cheng Juan Zhan & William Rea & Alethea Rea, 2015. "A Comparison of Three Network Portfolio Selection Methods -- Evidence from the Dow Jones," Working Papers in Economics 15/02, University of Canterbury, Department of Economics and Finance.
  7. Libin Yang & William Rea & Alethea Rea, 2015. "Identifying Highly Correlated Stocks Using the Last Few Principal Components," Working Papers in Economics 15/08, University of Canterbury, Department of Economics and Finance.
  8. Hannah Cheng Juan Zhan & William Rea & Alethea Rea, 2014. "An Application of Correlation Clustering to Portfolio Diversification," Working Papers in Economics 14/11, University of Canterbury, Department of Economics and Finance.
  9. Alethea Rea & William Rea & Marco Reale & Carl Scarrott, 2012. "A comparison of Spillover Effects before, during and after the 2008 Financial Crisis," Working Papers in Economics 12/03, University of Canterbury, Department of Economics and Finance.
  10. Les Oxley & Chris Price & William Rea & Marco Reale, 2008. "A New Procedure to Test for H Self-Similarity," Working Papers in Economics 08/16, University of Canterbury, Department of Economics and Finance.
  11. Eduardo Mendes & Les Oxley & William Rea & Marco Reale, 2008. "Long memory or shifting means? A new approach and application to realised volatility," Working Papers in Economics 08/04, University of Canterbury, Department of Economics and Finance.
  12. Jennifer Brown & Les Oxley & William Rea & Marco Reale, 2008. "The Empirical Properties of Some Popular Estimators of Long Memory Processes," Working Papers in Economics 08/13, University of Canterbury, Department of Economics and Finance.

Articles

  1. Cheng Juan Zhan & William Rea & Alethea Rea, 2016. "Stock Selection as a Problem in Phylogenetics—Evidence from the ASX," IJFS, MDPI, vol. 4(4), pages 1-19, September.
  2. Rea, Alethea & Rea, William, 2014. "Visualization of a stock market correlation matrix," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 109-123.
  3. Rea, William & Oxley, Les & Reale, Marco & Brown, Jennifer, 2013. "Not all estimators are born equal: The empirical properties of some estimators of long memory," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 29-42.
  4. Rea, William & Reale, Marco & Brown, Jennifer & Oxley, Les, 2011. "Long memory or shifting means in geophysical time series?," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1441-1453.
  5. William Rea & Marco Reale & Jennifer Brown, 2011. "Long memory in temperature reconstructions," Climatic Change, Springer, vol. 107(3), pages 247-265, August.
  6. William Rea & Marco Reale & Carmela Cappelli & Jennifer Brown, 2010. "Identification of Changes in Mean with Regression Trees: An Application to Market Research," Econometric Reviews, Taylor & Francis Journals, vol. 29(5-6), pages 754-777.
  7. Cappelli, Carmela & Penny, Richard N. & Rea, William S. & Reale, Marco, 2008. "Detecting multiple mean breaks at unknown points in official time series," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 351-356.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Libin Yang & William Rea & Alethea Rea, 2015. "Stock Selection with Principal Component Analysis," Working Papers in Economics 15/03, University of Canterbury, Department of Economics and Finance.

    Cited by:

    1. Libin Yang & William Rea & Alethea Rea, 2015. "How much diversification potential is there in a single market? Evidence from the Australian Stock Exchange," Working Papers in Economics 15/07, University of Canterbury, Department of Economics and Finance.
    2. Libin Yang & William Rea & Alethea Rea, 2017. "Financial Insights from the Last Few Components of a Stock Market PCA," IJFS, MDPI, vol. 5(3), pages 1-12, July.
    3. Libin Yang & William Rea & Alethea Rea, 2017. "Impending Doom: The Loss of Diversification before a Crisis," IJFS, MDPI, vol. 5(4), pages 1-13, November.
    4. Nadège Ribau-Peltre & Pascal Damel & An Lethi, 2018. "A methodology to avoid over-diversification of funds of equity funds An implementation case study for equity funds of funds in bull markets," Post-Print hal-03027770, HAL.

  2. Hannah Cheng Juan Zhan & William Rea & Alethea Rea, 2015. "A Comparison of Three Network Portfolio Selection Methods -- Evidence from the Dow Jones," Working Papers in Economics 15/02, University of Canterbury, Department of Economics and Finance.

    Cited by:

    1. Gian Paolo Clemente & Rosanna Grassi & Asmerilda Hitaj, 2022. "Smart network based portfolios," Annals of Operations Research, Springer, vol. 316(2), pages 1519-1541, September.
    2. Gian Paolo Clemente & Rosanna Grassi & Asmerilda Hitaj, 2019. "Smart network based portfolios," Papers 1907.01274, arXiv.org.

  3. Hannah Cheng Juan Zhan & William Rea & Alethea Rea, 2014. "An Application of Correlation Clustering to Portfolio Diversification," Working Papers in Economics 14/11, University of Canterbury, Department of Economics and Finance.

    Cited by:

    1. Adam Korniejczuk & Robert 'Slepaczuk, 2024. "Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market," Papers 2406.10695, arXiv.org.
    2. Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
    3. Paolo Giudici & Gloria Polinesi & Alessandro Spelta, 2022. "Network models to improve robot advisory portfolios," Annals of Operations Research, Springer, vol. 313(2), pages 965-989, June.
    4. Fazlollah Soleymani & Mahdi Vasighi, 2022. "Efficient portfolio construction by means of CVaR and k‐means++ clustering analysis: Evidence from the NYSE," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3679-3693, July.
    5. Wenpin Tang & Xiao Xu & Xun Yu Zhou, 2021. "Asset Selection via Correlation Blockmodel Clustering," Papers 2103.14506, arXiv.org, revised Aug 2021.
    6. Giuseppe Genovese & Ashkan Nikeghbali & Nicola Serra & Gabriele Visentin, 2022. "Universal approximation of credit portfolio losses using Restricted Boltzmann Machines," Papers 2202.11060, arXiv.org, revised Apr 2023.

  4. Jennifer Brown & Les Oxley & William Rea & Marco Reale, 2008. "The Empirical Properties of Some Popular Estimators of Long Memory Processes," Working Papers in Economics 08/13, University of Canterbury, Department of Economics and Finance.

    Cited by:

    1. Les Oxley & Chris Price & William Rea & Marco Reale, 2008. "A New Procedure to Test for H Self-Similarity," Working Papers in Economics 08/16, University of Canterbury, Department of Economics and Finance.
    2. David Grreasley, 2010. "Cliometrics and Time Series Econometrics: Some Theory and Applications," Working Papers in Economics 10/56, University of Canterbury, Department of Economics and Finance.
    3. Michael McAleer & Felix Chan & Les Oxley, 2013. "Modelling and Simulation: An Overview," Tinbergen Institute Discussion Papers 13-069/III, Tinbergen Institute.
    4. Chow, Ying-Foon & Lam, James T.K. & Yeung, Hinson S., 2009. "Realized volatility of index constituent stocks in Hong Kong," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2809-2818.

Articles

  1. Rea, Alethea & Rea, William, 2014. "Visualization of a stock market correlation matrix," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 109-123.

    Cited by:

    1. Wang, Qi & Zhang, Chunyu & Ding, Yi & Xydis, George & Wang, Jianhui & Østergaard, Jacob, 2015. "Review of real-time electricity markets for integrating Distributed Energy Resources and Demand Response," Applied Energy, Elsevier, vol. 138(C), pages 695-706.
    2. Hannah Cheng Juan Zhan & William Rea & Alethea Rea, 2015. "A Comparison of Three Network Portfolio Selection Methods -- Evidence from the Dow Jones," Working Papers in Economics 15/02, University of Canterbury, Department of Economics and Finance.
    3. I-Cheng Yeh & Yi-Cheng Liu, 2023. "Exploring the growth value equity valuation model with data visualization," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-37, December.
    4. Hannah Cheng & Juan Zhan & William Rea & Alethea Rea, 2016. "Stock Selection as a Problem in Phylogenetics -- Evidence from the ASX," Papers 1603.02354, arXiv.org.
    5. Wang, Yanli & Li, Huajiao & Guan, Jianhe & Liu, Nairong, 2019. "Similarities between stock price correlation networks and co-main product networks: Threshold scenarios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 66-77.
    6. Hannah Cheng Juan Zhan & William Rea & Alethea Rea, 2014. "An Application of Correlation Clustering to Portfolio Diversification," Working Papers in Economics 14/11, University of Canterbury, Department of Economics and Finance.
    7. Yong Tang & Jason Jie Xiong & Zi-Yang Jia & Yi-Cheng Zhang, 2018. "Complexities in Financial Network Topological Dynamics: Modeling of Emerging and Developed Stock Markets," Complexity, Hindawi, vol. 2018, pages 1-31, November.

  2. Rea, William & Oxley, Les & Reale, Marco & Brown, Jennifer, 2013. "Not all estimators are born equal: The empirical properties of some estimators of long memory," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 29-42.

    Cited by:

    1. Michael McAleer & Felix Chan & Les Oxley, 2013. "Modelling and Simulation: An Overview," Tinbergen Institute Discussion Papers 13-069/III, Tinbergen Institute.
    2. Patrick Krieger & Carsten Lausberg & Kristin Wellner, 2018. "Einblicke in die Gründe für nicht-normalverteilte Immobilienrenditen: eine explorative Untersuchung deutscher Wohnimmobilienportfolios [Insights into the reasons for non-normal real estate returns:," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 4(1), pages 49-79, November.
    3. Dima, Bogdan & Dima, Ştefana Maria, 2017. "Mutual information and persistence in the stochastic volatility of market returns: An emergent market example," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 36-59.
    4. Kunal Saha & Vinodh Madhavan & Chandrashekhar G. R. & David McMillan, 2020. "Pitfalls in long memory research," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1733280-173, January.
    5. John K. Dagsvik & Mariachiara Fortuna & Sigmund Hov Moen, 2020. "How does temperature vary over time?: evidence on the stationary and fractal nature of temperature fluctuations," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 183(3), pages 883-908, June.

  3. William Rea & Marco Reale & Jennifer Brown, 2011. "Long memory in temperature reconstructions," Climatic Change, Springer, vol. 107(3), pages 247-265, August.

    Cited by:

    1. Luis A. Gil-Alana & Laura Sauci, 2019. "Temperatures across Europe: evidence of time trends," Climatic Change, Springer, vol. 157(3), pages 355-364, December.
    2. Morana, Claudio & Sbrana, Giacomo, 2017. "Temperature Anomalies, Radiative Forcing and ENSO," MITP: Mitigation, Innovation and Transformation Pathways 253732, Fondazione Eni Enrico Mattei (FEEM).
    3. Luisa Bisaglia & Matteo Grigoletto, 2018. "A new time-varying model for forecasting long-memory series," Papers 1812.07295, arXiv.org.
    4. Luisa Bisaglia & Matteo Grigoletto, 2021. "A new time-varying model for forecasting long-memory series," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(1), pages 139-155, March.
    5. Federico Maddanu, 2023. "Forecasting highly persistent time series with bounded spectrum processes," Statistical Papers, Springer, vol. 64(1), pages 285-319, February.
    6. Luis A. Gil-Alana, 2015. "Linear and segmented trends in sea surface temperature data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(7), pages 1531-1546, July.
    7. Francisco Estrada & Pierre Perron, "undated". "Detection and attribution of climate change through econometric methods," Boston University - Department of Economics - Working Papers Series 2013-015, Boston University - Department of Economics.
    8. Robert Kaufmann & Heikki Kauppi & Michael Mann & James Stock, 2013. "Does temperature contain a stochastic trend: linking statistical results to physical mechanisms," Climatic Change, Springer, vol. 118(3), pages 729-743, June.

  4. William Rea & Marco Reale & Carmela Cappelli & Jennifer Brown, 2010. "Identification of Changes in Mean with Regression Trees: An Application to Market Research," Econometric Reviews, Taylor & Francis Journals, vol. 29(5-6), pages 754-777.

    Cited by:

    1. Lu, Huidi & van der Lans, Ralf & Helsen, Kristiaan & Gauri, Dinesh K., 2023. "DEPART: Decomposing prices using atheoretical regression trees," International Journal of Research in Marketing, Elsevier, vol. 40(4), pages 781-800.
    2. Arturo Leccadito & Omar Rachedi & Giovanni Urga, 2015. "True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison," Econometric Reviews, Taylor & Francis Journals, vol. 34(4), pages 452-479, April.
    3. Carmela Cappelli & Francesca Iorio & Angela Maddaloni & Pierpaolo D’Urso, 2021. "Atheoretical Regression Trees for classifying risky financial institutions," Annals of Operations Research, Springer, vol. 299(1), pages 1357-1377, April.

  5. Cappelli, Carmela & Penny, Richard N. & Rea, William S. & Reale, Marco, 2008. "Detecting multiple mean breaks at unknown points in official time series," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 351-356.

    Cited by:

    1. Lu, Huidi & van der Lans, Ralf & Helsen, Kristiaan & Gauri, Dinesh K., 2023. "DEPART: Decomposing prices using atheoretical regression trees," International Journal of Research in Marketing, Elsevier, vol. 40(4), pages 781-800.
    2. Qin, Ruibing & Tian, Zheng & Jin, Hao & Zhang, Xiaowei, 2010. "Strong convergence rate of robust estimator of change point," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(10), pages 2026-2032.
    3. Carmela Cappelli & Francesca Iorio & Angela Maddaloni & Pierpaolo D’Urso, 2021. "Atheoretical Regression Trees for classifying risky financial institutions," Annals of Operations Research, Springer, vol. 299(1), pages 1357-1377, April.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 12 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (4) 2008-04-29 2008-07-30 2008-09-20 2016-09-11
  2. NEP-FMK: Financial Markets (4) 2015-02-28 2015-04-02 2015-12-12 2015-12-28
  3. NEP-RMG: Risk Management (4) 2014-05-17 2015-12-01 2015-12-20 2016-03-29
  4. NEP-ETS: Econometric Time Series (3) 2008-04-29 2008-07-30 2008-09-20
  5. NEP-CMP: Computational Economics (1) 2015-12-01

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