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Tzung Hsuen

As seen in: MDPI
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Articles

A Markov‐switching spatio‐temporal ARCH model

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By Tzung Hsuen
| gla.ac.uk
Khoo, T. H., Pathmanathan, D., Otto, P. and Dabo‐Niang, S. (2024) A Markov‐switching spatio‐temporal ARCH model. Stat, 13(3), e713. (doi: 10.1002/sta4.713) Full text not currently available from Enlighten. Abstract Stock market indices are volatile by nature, and sudden shocks are known to affect volatility patterns.
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Spatial Autocorrelation of Global Stock Exchanges Using Functional Areal Spatial Principal Component Analysis

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By Sophie Dabo-Niang, Tzung Hsuen Khoo, Dharini Pathmanathan, Tzung Hsuen
| MDPI
4. Results and Discussions 4.1. Stationarity in Time and Space From both spatial and temporal perspectives, stationarity indicates whether the data have constant mean and variance in each location or time. It is important for the space and time variables to be stabilized before applying PCA. Daily closing prices of each stock were converted into daily logarithmic returns using ln p t − ln p t − 1 , where p t is the closing price at time t .
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