Browsing by Author "Reale, Marco"

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  • Extreme value modelling for forecasting market crisis impacts

    Zhao, Xin; Scarrott, Carl; Oxley, Les; Reale, Marco (Taylor and Francis, 2010)
    This article introduces a new approach for estimating Value at Risk (VaR), which is then used to show the likelihood of the impacts of the current financial crisis. A commonly used two-stage approach is taken, by combining ...
  • Not all estimators are born equal: The empirical properties of some estimators of long memory

    Rea, William; Oxley, Les; Reale, Marco; Brown, Jennifer (Elsevier, 2012)
    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 which are available in R packages. ...

Marco Reale has 5 co-authors in Research Commons.