• Corpus ID: 220633093

Estimation of time-varying kernel densities and chronology of the impact of COVID-19 on financial markets

  title={Estimation of time-varying kernel densities and chronology of the impact of COVID-19 on financial markets},
  author={Matthieu Garcin and J. Klein and Sana Laaribi},
  journal={arXiv: Statistical Finance},
The time-varying kernel density estimation relies on two free parameters: the bandwidth and the discount factor. We propose to select these parameters so as to minimize a criterion consistent with the traditional requirements of the validation of a probability density forecast. These requirements are both the uniformity and the independence of the so-called probability integral transforms, which are the forecast time-varying cumulated distributions applied to the observations. We thus build a… 

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