We propose a new Bayesian Markov switching regression model for multi-dimensional arrays (tensors) of binary time series. We assume a zero-inflated logit dynamics with time-varying parameters and apply it to multi-layer temporal networks. The original contribution is threefold. First, in order...

This paper studies the risk spillover among US Industrial Sectors and focuses on the connection between credit and liquidity risks. The proposed methodology is based on quantile regressions and considers the movements of CDS Industrial Sector Indices depending on common risk factors such as...