Bassetti, Federico; Casarin, Roberto; Leisen, Fabrizio - In: Journal of Econometrics 180 (2014) 1, pp. 49-72
Multiple time series data may exhibit clustering over time and the clustering effect may change across different series. This paper is motivated by the Bayesian non-parametric modelling of the dependence between clustering effects in multiple time series analysis. We follow a Dirichlet process...