Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of discrete-time stochastic volatility models having two measurement equations r…
This article proposes Bayesian nonparametric inference for panel Markov-switching GARCH models. The model incorporates series-specific hidden Markov chain processes that drive the GARCH parameters.…
This article develops a new Markov-switching vector autoregressive (VAR) model with stochastic correlation for contagion analysis on financial markets. The correlation and the log-volatility dynami…
Modeling time series of multilayer network data is challenging due to the peculiar characteristics of real-world networks, such as sparsity and abrupt structural changes. Moreover, the impact of ex…
High- and multi-dimensional array data are becoming increasingly available. They admit a natural representation as tensors and call for appropriate statistical tools. We propose a new linear autore…