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