A data-driven framework for consistent financial valuation and risk measurement
type: Item
instance of: scholarly article
title: A data-driven framework for consistent financial valuation and risk measurement
zbMATH Open document ID: 1487.91134
author: Yanyan Li
published in: European Journal of Operational Research
publication date: 2021-06-03T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 7354060
zbMATH Keywords: finance
zbMATH Keywords: risk management
zbMATH Keywords: data-driven
zbMATH Keywords: nonparametric
zbMATH Keywords: empirical characteristic function
zbMATH Keywords: empirical density
zbMATH Keywords: model-free
MaRDI profile type: Publication
full work available at URL: j.ejor.2020.07.011
OpenAlex ID: W3044225803
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A data-driven framework for consistent financial valuation and risk measurement (cites work)
cites work: A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation

A data-driven framework for consistent financial valuation and risk measurement (cites work)
cites work: Nonparametric inference of discretely sampled stable Lévy processes

A data-driven framework for consistent financial valuation and risk measurement (DOI)
DOI: 10.1016/J.EJOR.2020.07.011