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 1 5 27
A Nonparametric Simulated Maximum Likelihood Estimation Method 0 0 0 22 1 1 2 580
About Kendall's regression 0 0 0 16 1 2 3 94
About tests of the “simplifying” assumption for conditional copulas 0 0 0 20 1 4 6 36
Agents' Behavior on Multi-Dealer-to-Client Bond Trading Platforms 0 0 2 43 1 3 7 128
An overview of the goodness-of-fit test problem for copulas 0 0 1 51 0 3 8 101
Copulas of a Vector-Valued Stationary Weakly Dependent Process 0 0 1 14 2 3 4 40
Dynamic Asset Correlations Based on Vines 0 0 0 10 0 2 2 41
Fair learning with bagging 0 0 0 0 0 1 1 7
Fair learning with bagging 0 0 0 4 0 1 1 6
Fair learning with bagging 0 0 0 15 2 4 9 28
Goodness of Fit Tests for Copulas 0 0 0 18 1 5 6 85
Hedging default risks of CDOs in Markovian contagion models 0 0 0 0 0 0 0 0
Lower Bounds in Hazard Estimation 0 0 0 1 0 1 1 189
Multi-factor Granularity Adjustments for Market and Counterparty Risks 0 0 0 11 0 0 0 50
Nonparametric Estimation of Competing Risks Models with Covariates 0 0 0 4 1 1 1 222
Nonparametric Estimation of Copulas for Time Series 0 0 0 462 2 5 5 901
Nonparametric estimation of copulas for time series 0 0 1 3 0 1 5 11
On break-even correlation: the way to price structured credit derivatives by replication 0 0 0 4 1 1 7 56
On the Stationarity of Dynamic Conditional Correlation Models 0 0 0 7 0 2 6 62
On the stationarity of Dynamic Conditional Correlation models 0 0 0 64 0 1 2 29
Optimal Greek Weight by Kernel Estimation 0 0 0 3 0 1 1 24
Risk Budgeting Portfolios: Existence and Computation 0 0 0 12 1 2 5 20
SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS 0 0 1 540 1 3 5 1,061
Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements 0 0 0 358 1 2 3 1,388
Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements 0 0 0 17 0 5 7 84
Single-index copulae 0 0 0 4 0 0 0 22
Stochastic Algorithms for Advanced Risk Budgeting 0 0 0 0 1 2 5 11
Stochastic Algorithms for Advanced Risk Budgeting 0 0 0 0 0 1 4 22
The Limits of Granularity Adjustments 0 0 0 10 2 4 4 50
The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms 0 0 2 18 2 3 7 74
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 3 6 31
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 1 10
The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms 0 0 0 11 1 4 5 41
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 2 10
The finite sample properties of Sparse M-estimators with Pseudo-Observations 0 0 0 28 1 4 8 51
Vine-GARCH process: Stationarity and Asymptotic Properties 0 0 0 21 2 2 2 64
Volatility Strategies for Global and Country Specific European Investors 0 0 0 5 3 4 4 20
Weak Convergence of Empirical Copula Processes 0 0 0 35 1 2 3 99
Total Working Papers 0 0 9 1,834 29 85 153 5,775

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 1 1 1 50 2 8 8 119
A Top-Down Approach for Asset-Backed Securities: A Consistent Way of Managing Prepayment, Default and Interest Rate Risks 0 0 1 38 2 3 6 92
A classification point-of-view about conditional Kendall’s tau 0 0 0 2 1 2 2 17
A corrected Clarke test for model selection and beyond 0 0 1 3 1 5 13 22
About tests of the “simplifying” assumption for conditional copulas 0 0 0 1 1 4 5 17
An empirical central limit theorem with applications to copulas under weak dependence 0 0 0 24 2 2 3 111
DYNAMIC ASSET CORRELATIONS BASED ON VINES 0 0 0 1 0 1 1 12
Estimation of Copulas via Maximum Mean Discrepancy 0 0 0 2 2 3 3 7
Goodness-of-fit tests for copulas 0 0 0 94 0 5 5 265
High-dimensional penalized arch processes 0 0 1 8 1 1 2 18
Les horaires de travail dans le couple 0 0 0 2 1 1 3 61
Les rythmes de travail hors norme 0 0 0 4 1 3 4 107
Model-based vs. agnostic methods for the prediction of time-varying covariance matrices 0 0 4 4 1 4 12 12
Multifactor granularity adjustments for market and counterparty risks 0 0 0 0 0 0 5 5
Multivariate Hazard Rates under Random Censorship 0 0 1 27 1 5 7 64
Nonparametric estimation of competing risks models with covariates 0 0 0 15 3 4 4 54
Nonparametric estimation of copulas for time series 0 0 0 0 0 2 2 2
ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS 0 0 0 8 1 1 5 37
On Kendall’s regression 0 0 0 3 2 3 4 25
On break-even correlation: the way to price structured credit derivatives by replication 0 0 0 1 1 1 1 18
On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior 0 0 0 0 1 6 7 14
On the Dependence between Default Risk and Recovery Rates in Structural Models 0 0 0 13 3 3 4 48
On the Link between Volatilities, Regime Switching Probabilities and Correlation Dynamics 0 0 1 27 0 0 2 68
Recent Developments in Copula Models 0 0 0 5 1 3 4 35
Réduction collective et individuelle du temps de travail: que souhaitent les salariés ? 0 0 0 1 1 1 2 48
Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements 0 0 1 64 0 4 8 221
Single-index copulas 0 0 0 0 1 4 6 17
The finite sample properties of sparse M-estimators with pseudo-observations 0 0 0 0 2 4 7 14
The limits of granularity adjustments 1 2 2 6 1 2 2 37
Time-dependent copulas 0 0 4 15 0 2 11 55
Total Journal Articles 2 3 17 418 33 87 148 1,622

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Statistics updated 2026-01-09