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 1 3 0 6 11 33
A Nonparametric Simulated Maximum Likelihood Estimation Method 0 0 0 22 0 6 8 586
About Kendall's regression 0 0 0 16 1 4 6 98
About tests of the “simplifying” assumption for conditional copulas 0 0 0 20 0 2 7 38
Agents' Behavior on Multi-Dealer-to-Client Bond Trading Platforms 0 1 3 44 0 3 8 131
An overview of the goodness-of-fit test problem for copulas 0 0 1 51 1 4 11 105
Copulas of a Vector-Valued Stationary Weakly Dependent Process 0 0 1 14 0 1 5 41
Dynamic Asset Correlations Based on Vines 0 0 0 10 0 2 4 43
Fair learning with bagging 0 0 0 4 2 5 6 11
Fair learning with bagging 0 0 0 0 0 2 3 9
Fair learning with bagging 0 0 0 15 0 4 10 32
Goodness of Fit Tests for Copulas 0 0 0 18 0 2 8 87
Hedging default risks of CDOs in Markovian contagion models 0 0 0 0 0 1 1 1
Lower Bounds in Hazard Estimation 0 0 0 1 0 4 5 193
Multi-factor Granularity Adjustments for Market and Counterparty Risks 0 0 0 11 0 5 5 55
Nonparametric Estimation of Competing Risks Models with Covariates 0 0 0 4 0 1 2 223
Nonparametric Estimation of Copulas for Time Series 0 0 0 462 0 6 11 907
Nonparametric estimation of copulas for time series 0 0 1 3 1 2 7 13
On break-even correlation: the way to price structured credit derivatives by replication 0 0 0 4 0 4 10 60
On the Stationarity of Dynamic Conditional Correlation Models 0 0 0 7 0 3 9 65
On the stationarity of Dynamic Conditional Correlation models 0 0 0 64 1 3 5 32
Optimal Greek Weight by Kernel Estimation 0 0 0 3 0 0 1 24
Risk Budgeting Portfolios: Existence and Computation 0 0 0 12 0 5 10 25
SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS 0 0 0 540 2 7 11 1,068
Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements 0 0 0 358 0 3 5 1,391
Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements 0 0 0 17 3 7 14 91
Single-index copulae 0 0 0 4 0 1 1 23
Stochastic Algorithms for Advanced Risk Budgeting 0 0 0 0 1 3 4 25
Stochastic Algorithms for Advanced Risk Budgeting 0 0 0 0 0 2 5 13
The Limits of Granularity Adjustments 0 0 0 10 0 2 6 52
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 2 11
The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms 0 1 1 12 1 6 10 47
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 5 32
The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms 0 0 2 18 0 1 8 75
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 2 11
The finite sample properties of Sparse M-estimators with Pseudo-Observations 0 0 0 28 1 2 10 53
Vine-GARCH process: Stationarity and Asymptotic Properties 0 0 0 21 0 1 3 65
Volatility Strategies for Global and Country Specific European Investors 0 0 0 5 0 3 7 23
Weak Convergence of Empirical Copula Processes 0 0 0 35 0 2 4 101
Total Working Papers 0 2 10 1,836 14 118 250 5,893

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 0 3 11 122
A Top-Down Approach for Asset-Backed Securities: A Consistent Way of Managing Prepayment, Default and Interest Rate Risks 0 0 0 38 0 2 6 94
A classification point-of-view about conditional Kendall’s tau 0 0 0 2 0 3 5 20
A corrected Clarke test for model selection and beyond 0 0 1 3 1 12 21 34
About tests of the “simplifying” assumption for conditional copulas 0 0 0 1 1 7 12 24
An empirical central limit theorem with applications to copulas under weak dependence 0 0 0 24 1 4 7 115
DYNAMIC ASSET CORRELATIONS BASED ON VINES 0 0 0 1 0 4 5 16
Estimation of Copulas via Maximum Mean Discrepancy 0 0 0 2 0 1 4 8
Goodness-of-fit tests for copulas 0 0 0 94 0 5 10 270
High-dimensional penalized arch processes 0 0 0 8 0 0 1 18
Les horaires de travail dans le couple 0 0 0 2 0 4 6 65
Les rythmes de travail hors norme 0 0 0 4 0 0 3 107
Model-based vs. agnostic methods for the prediction of time-varying covariance matrices 0 0 4 4 0 2 14 14
Multifactor granularity adjustments for market and counterparty risks 0 0 0 0 1 5 5 10
Multivariate Hazard Rates under Random Censorship 0 0 1 27 0 1 7 65
Nonparametric estimation of competing risks models with covariates 0 0 0 15 2 5 9 59
Nonparametric estimation of copulas for time series 0 0 0 0 3 14 16 16
ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS 0 0 0 8 1 1 6 38
On Kendall’s regression 0 0 0 3 1 3 6 28
On break-even correlation: the way to price structured credit derivatives by replication 0 0 0 1 0 3 4 21
On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior 0 0 0 0 0 2 9 16
On the Dependence between Default Risk and Recovery Rates in Structural Models 0 1 1 14 0 8 12 56
On the Link between Volatilities, Regime Switching Probabilities and Correlation Dynamics 0 0 1 27 1 3 5 71
Recent Developments in Copula Models 0 0 0 5 1 7 10 42
Réduction collective et individuelle du temps de travail: que souhaitent les salariés ? 0 0 0 1 0 1 3 49
Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements 0 1 2 65 2 9 16 230
Single-index copulas 0 0 0 0 0 4 10 21
The finite sample properties of sparse M-estimators with pseudo-observations 0 0 0 0 0 3 7 17
The limits of granularity adjustments 0 0 2 6 0 1 3 38
Time-dependent copulas 0 0 4 15 0 1 10 56
Total Journal Articles 0 2 17 420 15 118 243 1,740

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Statistics updated 2026-04-09