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20-009/III - Dynamic clustering of multivariate panel data


  • Authors
    André Lucas, Vrije Universiteit Amsterdam ; Julia Schaumburg , Vrije Universiteit Amsterdam ; Bernd Schwaab, European Central Bank, Financial Research
  • Publication date
    February 4, 2020
  • Keywords
    dynamic clustering, panel data, Hidden Markov Model, score-driven dynamics, bank business models
  • JEL
    G21, C33