Access Statistics for Jean-David Fermanian

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Asymptotic Total Variation Test for Copulas 0 0 0 3 0 1 10 36
A Nonparametric Simulated Maximum Likelihood Estimation Method 0 0 0 22 0 0 10 588
About Kendall's regression 0 0 0 16 0 0 8 100
About tests of the “simplifying” assumption for conditional copulas 0 0 0 20 0 0 8 39
Agents' Behavior on Multi-Dealer-to-Client Bond Trading Platforms 0 1 4 45 0 2 10 133
An overview of the goodness-of-fit test problem for copulas 0 0 0 51 0 2 12 109
Copulas of a Vector-Valued Stationary Weakly Dependent Process 0 0 0 14 0 0 8 45
Dynamic Asset Correlations Based on Vines 0 0 0 10 0 2 6 45
Fair learning with bagging 0 0 0 15 1 2 10 34
Fair learning with bagging 0 0 0 0 1 2 6 12
Fair learning with bagging 0 1 1 5 0 1 9 14
Goodness of Fit Tests for Copulas 0 0 0 18 0 0 11 90
Hedging default risks of CDOs in Markovian contagion models 0 0 0 0 0 0 5 5
Latent Factor Models with Functional Single-Index Loadings 0 0 0 0 0 2 3 3
Lower Bounds in Hazard Estimation 0 0 0 1 0 1 7 195
Multi-factor Granularity Adjustments for Market and Counterparty Risks 0 0 0 11 0 1 8 58
Nonparametric Estimation of Competing Risks Models with Covariates 0 0 0 4 0 0 3 224
Nonparametric Estimation of Copulas for Time Series 0 0 0 462 0 0 17 913
Nonparametric estimation of copulas for time series 0 0 0 3 0 1 5 14
On break-even correlation: the way to price structured credit derivatives by replication 0 0 0 4 0 1 11 65
On the Stationarity of Dynamic Conditional Correlation Models 0 0 0 7 0 1 11 67
On the stationarity of Dynamic Conditional Correlation models 0 0 0 64 0 0 9 37
Optimal Greek Weight by Kernel Estimation 0 0 0 3 0 0 2 25
Risk Budgeting Portfolios: Existence and Computation 0 0 0 12 0 1 9 26
SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS 0 0 1 541 0 3 17 1,074
Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements 0 0 0 358 0 0 6 1,392
Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements 0 0 0 17 0 0 17 94
Single-index copulae 0 0 0 4 0 2 6 28
Stochastic Algorithms for Advanced Risk Budgeting 0 0 0 0 0 2 6 27
Stochastic Algorithms for Advanced Risk Budgeting 0 0 0 0 0 0 6 14
The Limits of Granularity Adjustments 0 0 0 10 0 1 8 54
The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms 1 1 2 19 2 5 14 82
The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms 0 0 0 0 0 0 3 12
The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms 0 0 1 12 2 2 12 49
The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms 0 0 0 0 0 1 6 34
The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms 0 0 0 0 1 1 4 14
The finite sample properties of Sparse M-estimators with Pseudo-Observations 0 0 0 28 0 2 16 59
Vine-GARCH process: Stationarity and Asymptotic Properties 0 0 0 21 0 0 5 67
Volatility Strategies for Global and Country Specific European Investors 0 0 0 5 1 2 11 27
Weak Convergence of Empirical Copula Processes 0 0 0 35 0 0 5 102
Total Working Papers 1 3 9 1,840 8 41 340 6,006

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD 0 0 1 50 1 3 15 126
A Top-Down Approach for Asset-Backed Securities: A Consistent Way of Managing Prepayment, Default and Interest Rate Risks 0 0 1 39 1 3 10 99
A classification point-of-view about conditional Kendall’s tau 0 0 0 2 0 1 6 21
A corrected Clarke test for model selection and beyond 0 0 2 4 0 4 29 44
About tests of the “simplifying” assumption for conditional copulas 0 0 0 1 0 0 15 28
An empirical central limit theorem with applications to copulas under weak dependence 0 0 0 24 0 1 10 118
DYNAMIC ASSET CORRELATIONS BASED ON VINES 0 0 0 1 1 1 6 17
Estimation of Copulas via Maximum Mean Discrepancy 0 0 0 2 0 1 9 13
Goodness-of-fit tests for copulas 0 0 0 94 0 2 14 274
High-dimensional penalized arch processes 0 0 0 8 2 2 6 23
Les horaires de travail dans le couple 0 0 0 2 0 0 5 65
Les rythmes de travail hors norme 0 0 0 4 0 1 6 110
Model-based vs. agnostic methods for the prediction of time-varying covariance matrices 0 0 1 4 2 3 12 18
Multifactor granularity adjustments for market and counterparty risks 0 0 0 0 0 0 8 13
Multivariate Hazard Rates under Random Censorship 0 0 1 27 0 0 8 66
Nonparametric estimation of competing risks models with covariates 0 0 0 15 0 0 9 59
Nonparametric estimation of copulas for time series 1 1 1 1 2 2 20 20
ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS 0 0 0 8 1 2 12 44
On Kendall’s regression 0 0 0 3 1 1 10 32
On break-even correlation: the way to price structured credit derivatives by replication 0 0 0 1 1 1 6 23
On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior 0 0 0 0 1 1 10 18
On the Dependence between Default Risk and Recovery Rates in Structural Models 0 0 1 14 0 0 12 56
On the Link between Volatilities, Regime Switching Probabilities and Correlation Dynamics 0 1 1 28 0 1 5 73
Recent Developments in Copula Models 0 0 0 5 0 0 13 45
Réduction collective et individuelle du temps de travail: que souhaitent les salariés ? 0 0 0 1 0 0 4 51
Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements 0 0 2 65 0 0 18 233
Single-index copulas 0 0 0 0 1 2 12 25
The finite sample properties of sparse M-estimators with pseudo-observations 0 0 0 0 0 1 9 19
The limits of granularity adjustments 0 0 2 6 0 1 10 45
Time-dependent copulas 0 0 1 15 0 1 8 60
Total Journal Articles 1 2 14 424 14 35 317 1,838

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Statistics updated 2026-08-07