Bayesian SAR model with stochastic volatility and multiple time-varying weights
含随机波动率与多重时变权重的贝叶斯空间自回归模型
A novel spatial autoregressive model for panel data is introduced, which incorporates multilayer networks and accounts for time-varying relationships. Moreover, the proposed approach allows the structural variance to evolve smoothly over time and enables the analysis of shock propagation in terms of time-varying spillover effects. The framework is applied to analyse the dynamics of international relationships among the G7 economies and their impact on stock market returns…