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...

The study of dependence between random variables is the core of theoretical and applied statistics. Static and dynamic copula models are useful for describing the dependence structure, which is fully encrypted in the copula probability density function. However, these models are not always able...