Estimation of time-varying kernel densities and chronology of the impact of COVID-19 on financial markets
Author:
Affiliation:
1. Léonard de Vinci Pôle Universitaire, Research Center, Paris La Défense, France
2. ESILV, Paris La Défense, France
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/02664763.2023.2272226
Reference51 articles.
1. Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics;Ammy-Driss A.;Phys. A Stat. Mech. Appl.,2023
2. K. Arias-Calluari, F. Alonso-Marroquin, M.N. Najafi, and M. Harré, Forecasting the effect of COVID-19 on the S&P500, Working Paper, 2020.
3. The Unprecedented Stock Market Impact of COVID-19
4. Minimum Hellinger Distance Estimates for Parametric Models
5. Testing Density Forecasts, With Applications to Risk Management
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3. Contagion among European financial indices, evidence from a quantile VAR approach;Economic Systems;2024-06
4. Time-Varying Kernel Densities as Dynamic Infinite Mixture Models;SSRN Electronic Journal;2023
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