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 2 13 35
A Nonparametric Simulated Maximum Likelihood Estimation Method 0 0 0 22 0 2 10 588
About Kendall's regression 0 0 0 16 0 3 8 100
About tests of the “simplifying” assumption for conditional copulas 0 0 0 20 0 1 8 39
Agents' Behavior on Multi-Dealer-to-Client Bond Trading Platforms 0 0 3 44 1 1 9 132
An overview of the goodness-of-fit test problem for copulas 0 0 1 51 1 4 13 108
Copulas of a Vector-Valued Stationary Weakly Dependent Process 0 0 1 14 0 4 9 45
Dynamic Asset Correlations Based on Vines 0 0 0 10 2 2 6 45
Fair learning with bagging 1 1 1 5 1 5 9 14
Fair learning with bagging 0 0 0 0 1 2 5 11
Fair learning with bagging 0 0 0 15 0 0 9 32
Goodness of Fit Tests for Copulas 0 0 0 18 0 3 11 90
Hedging default risks of CDOs in Markovian contagion models 0 0 0 0 0 4 5 5
Lower Bounds in Hazard Estimation 0 0 0 1 1 2 7 195
Multi-factor Granularity Adjustments for Market and Counterparty Risks 0 0 0 11 0 2 7 57
Nonparametric Estimation of Competing Risks Models with Covariates 0 0 0 4 0 1 3 224
Nonparametric Estimation of Copulas for Time Series 0 0 0 462 0 6 17 913
Nonparametric estimation of copulas for time series 0 0 0 3 1 2 5 14
On break-even correlation: the way to price structured credit derivatives by replication 0 0 0 4 1 5 11 65
On the Stationarity of Dynamic Conditional Correlation Models 0 0 0 7 0 1 10 66
On the stationarity of Dynamic Conditional Correlation models 0 0 0 64 0 6 9 37
Optimal Greek Weight by Kernel Estimation 0 0 0 3 0 1 2 25
Risk Budgeting Portfolios: Existence and Computation 0 0 0 12 0 0 10 25
SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS 0 1 1 541 1 6 15 1,072
Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements 0 0 0 358 0 1 6 1,392
Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements 0 0 0 17 0 6 17 94
Single-index copulae 0 0 0 4 2 5 6 28
Stochastic Algorithms for Advanced Risk Budgeting 0 0 0 0 2 3 6 27
Stochastic Algorithms for Advanced Risk Budgeting 0 0 0 0 0 1 6 14
The Limits of Granularity Adjustments 0 0 0 10 1 2 8 54
The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms 0 0 1 12 0 1 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 3 12
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 2 3 13
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 2 7 34
The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms 0 0 1 18 1 3 10 78
The finite sample properties of Sparse M-estimators with Pseudo-Observations 0 0 0 28 2 7 16 59
Vine-GARCH process: Stationarity and Asymptotic Properties 0 0 0 21 0 2 5 67
Volatility Strategies for Global and Country Specific European Investors 0 0 0 5 0 2 9 25
Weak Convergence of Empirical Copula Processes 0 0 0 35 0 1 5 102
Total Working Papers 1 2 10 1,838 19 104 328 5,983

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 2 3 14 125
A Top-Down Approach for Asset-Backed Securities: A Consistent Way of Managing Prepayment, Default and Interest Rate Risks 0 1 1 39 2 4 10 98
A classification point-of-view about conditional Kendall’s tau 0 0 0 2 1 1 6 21
A corrected Clarke test for model selection and beyond 0 1 2 4 4 11 30 44
About tests of the “simplifying” assumption for conditional copulas 0 0 0 1 0 5 15 28
An empirical central limit theorem with applications to copulas under weak dependence 0 0 0 24 0 3 9 117
DYNAMIC ASSET CORRELATIONS BASED ON VINES 0 0 0 1 0 0 5 16
Estimation of Copulas via Maximum Mean Discrepancy 0 0 0 2 0 4 8 12
Goodness-of-fit tests for copulas 0 0 0 94 1 3 13 273
High-dimensional penalized arch processes 0 0 0 8 0 3 4 21
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 1 3 6 110
Model-based vs. agnostic methods for the prediction of time-varying covariance matrices 0 0 4 4 1 2 15 16
Multifactor granularity adjustments for market and counterparty risks 0 0 0 0 0 4 8 13
Multivariate Hazard Rates under Random Censorship 0 0 1 27 0 1 8 66
Nonparametric estimation of competing risks models with covariates 0 0 0 15 0 2 9 59
Nonparametric estimation of copulas for time series 0 0 0 0 0 5 18 18
ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS 0 0 0 8 1 6 11 43
On Kendall’s regression 0 0 0 3 0 4 9 31
On break-even correlation: the way to price structured credit derivatives by replication 0 0 0 1 0 1 5 22
On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior 0 0 0 0 0 1 9 17
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 0 1 27 0 2 6 72
Recent Developments in Copula Models 0 0 0 5 0 4 13 45
Réduction collective et individuelle du temps de travail: que souhaitent les salariés ? 0 0 0 1 0 2 5 51
Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements 0 0 2 65 0 5 18 233
Single-index copulas 0 0 0 0 1 3 12 24
The finite sample properties of sparse M-estimators with pseudo-observations 0 0 0 0 1 2 9 19
The limits of granularity adjustments 0 0 2 6 1 7 10 45
Time-dependent copulas 0 0 3 15 0 3 10 59
Total Journal Articles 0 2 18 422 16 94 312 1,819

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Statistics updated 2026-06-04