A Smooth Transition Autoregressive Model for Matrix-Variate Time Series
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Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s10614-024-10568-7.pdf
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3. Angelini, G., Bacchiocchi, E., Caggiano, G., & Fanelli, L. (2019). Uncertainty across volatility regimes. Journal of Applied Econometrics, 34(3), 437–455. https://doi.org/10.1002/jae.2672
4. Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131(4), 1593–1636.
5. Billio, M., Casarin, R., Costola, M., & Iacopini, M. (2022). Matrix-variate smooth transition models for temporal networks. In A. Bekker, J. T. Ferreira, M. Arashi, & D.-G. Chen (Eds.), Innovations in multivariate statistical modeling: Navigating theoretical and multidisciplinary domains (pp. 137–167). Cham: Springer.
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