Bank Business Models at Zero Interest Rates

We propose a novel observation-driven finite mixture model for the study of banking data. The model accommodates time-varying component means and covariance matrices, normal and Student's t distributed mixtures, and economic determinants of time-varying parameters. Monte Carlo experiments sugge...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Journal of business & economic statistics 2019-07, Vol.37 (3), p.542-555
Hauptverfasser:	Lucas, André, Schaumburg, Julia, Schwaab, Bernd
Format:	Artikel
Sprache:	eng
Schlagworte:	Bank business models Business models Clustering Finite mixture model Low interest rates Score-driven model
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!