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Dynamic nonparametric clustering of multivariate panel data
João, Igor Custodio; Lucas, André; Schaumburg, Julia; … - 2023
, substantially reduces flickering, and enhances the economic interpretability of the outcome. We choose the shrinkage parameter in a …
Persistent link: https://www.econbiz.de/10014374468
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Clustering dynamics and persistence for financial multivariate panel data
João, Igor Custodio; Lucas, André; Schaumburg, Julia - 2021
-sectional clustering techniques using shrinkage towards previous cluster means. In this way, the different cross-sections in the panel are …
Persistent link: https://www.econbiz.de/10012510678
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Dynamic nonparametric clustering of multivariate panel data
João, Igor Custodio; Lucas, André; Schaumburg, Julia; … - 2023
, substantially reduces flickering, and enhances the economic interpretability of the outcome. We choose the shrinkage parameter in a …
Persistent link: https://www.econbiz.de/10013552743
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Dynamic nonparametric clustering of multivariate panel data
João, Igor Custodio; Schaumburg, Julia; Lucas, André; … - In: Journal of financial econometrics 22 (2024) 2, pp. 335-374
Persistent link: https://www.econbiz.de/10014526325