The ACR Model: A Multivariate Dynamic Mixture Autoregression

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Unit root vector autoregression with volatility induced stationarity (2014, unknown): “Use the skew-projection to decompose  as follows,  = ⊥⊥ 0 ⊥ +  0 (5) By pre-multiplying in (3) with ⊥ it follows that the -dimensional process,  0 ⊥ is a unit-root process, and the  linear combinations ⊥ in (5) are common stochastic unitroot factors which are loaded by the”
Feasible invertibility conditions and maximum likelihood estimation for observation-driven models (2018, background): “There is evidence that various time series in economics feature such complex nonlinear dynamics; see [1] for an example in real exchange rates.”