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 2 7 8 586
About Kendall's regression 0 0 0 16 1 4 5 97
About tests of the “simplifying” assumption for conditional copulas 0 0 0 20 0 3 7 38
Agents' Behavior on Multi-Dealer-to-Client Bond Trading Platforms 0 1 3 44 0 4 8 131
An overview of the goodness-of-fit test problem for copulas 0 0 1 51 1 3 10 104
Copulas of a Vector-Valued Stationary Weakly Dependent Process 0 0 1 14 0 3 5 41
Dynamic Asset Correlations Based on Vines 0 0 0 10 0 2 4 43
Fair learning with bagging 0 0 0 0 0 2 3 9
Fair learning with bagging 0 0 0 15 0 6 11 32
Fair learning with bagging 0 0 0 4 1 3 4 9
Goodness of Fit Tests for Copulas 0 0 0 18 1 3 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 1 5 5 55
Nonparametric Estimation of Competing Risks Models with Covariates 0 0 0 4 0 2 2 223
Nonparametric Estimation of Copulas for Time Series 0 0 0 462 0 8 11 907
Nonparametric estimation of copulas for time series 0 0 1 3 0 1 6 12
On break-even correlation: the way to price structured credit derivatives by replication 0 0 0 4 0 5 10 60
On the Stationarity of Dynamic Conditional Correlation Models 0 0 0 7 2 3 9 65
On the stationarity of Dynamic Conditional Correlation models 0 0 0 64 1 2 4 31
Optimal Greek Weight by Kernel Estimation 0 0 0 3 0 0 1 24
Risk Budgeting Portfolios: Existence and Computation 0 0 0 12 1 6 10 25
SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS 0 0 0 540 2 6 9 1,066
Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements 0 0 0 358 1 4 5 1,391
Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements 0 0 0 17 1 4 11 88
Single-index copulae 0 0 0 4 0 1 1 23
Stochastic Algorithms for Advanced Risk Budgeting 0 0 0 0 0 3 6 13
Stochastic Algorithms for Advanced Risk Budgeting 0 0 0 0 1 2 4 24
The Limits of Granularity Adjustments 0 0 0 10 0 4 6 52
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 3 8 75
The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms 1 1 1 12 3 6 9 46
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 32
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 0 0 0 0 1 2 11
The finite sample properties of Sparse M-estimators with Pseudo-Observations 0 0 0 28 0 2 9 52
Vine-GARCH process: Stationarity and Asymptotic Properties 0 0 0 21 0 3 3 65
Volatility Strategies for Global and Country Specific European Investors 0 0 0 5 1 6 7 23
Weak Convergence of Empirical Copula Processes 0 0 0 35 0 3 4 101
Total Working Papers 1 2 10 1,836 20 133 240 5,879

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 1 1 50 2 5 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 2 4 6 94
A classification point-of-view about conditional Kendall’s tau 0 0 0 2 1 4 5 20
A corrected Clarke test for model selection and beyond 0 0 1 3 1 12 21 33
About tests of the “simplifying” assumption for conditional copulas 0 0 0 1 1 7 11 23
An empirical central limit theorem with applications to copulas under weak dependence 0 0 0 24 1 5 6 114
DYNAMIC ASSET CORRELATIONS BASED ON VINES 0 0 0 1 1 4 5 16
Estimation of Copulas via Maximum Mean Discrepancy 0 0 0 2 0 3 4 8
Goodness-of-fit tests for copulas 0 0 0 94 1 5 10 270
High-dimensional penalized arch processes 0 0 0 8 0 1 1 18
Les horaires de travail dans le couple 0 0 0 2 1 5 7 65
Les rythmes de travail hors norme 0 0 0 4 0 1 4 107
Model-based vs. agnostic methods for the prediction of time-varying covariance matrices 0 0 4 4 1 3 14 14
Multifactor granularity adjustments for market and counterparty risks 0 0 0 0 0 4 4 9
Multivariate Hazard Rates under Random Censorship 0 0 1 27 0 2 7 65
Nonparametric estimation of competing risks models with covariates 0 0 0 15 0 6 7 57
Nonparametric estimation of copulas for time series 0 0 0 0 6 11 13 13
ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS 0 0 0 8 0 1 5 37
On Kendall’s regression 0 0 0 3 2 4 5 27
On break-even correlation: the way to price structured credit derivatives by replication 0 0 0 1 0 4 4 21
On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior 0 0 0 0 0 3 9 16
On the Dependence between Default Risk and Recovery Rates in Structural Models 0 1 1 14 1 11 12 56
On the Link between Volatilities, Regime Switching Probabilities and Correlation Dynamics 0 0 1 27 0 2 4 70
Recent Developments in Copula Models 0 0 0 5 4 7 9 41
Réduction collective et individuelle du temps de travail: que souhaitent les salariés ? 0 0 0 1 1 2 3 49
Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements 1 1 2 65 1 7 14 228
Single-index copulas 0 0 0 0 0 5 10 21
The finite sample properties of sparse M-estimators with pseudo-observations 0 0 0 0 0 5 8 17
The limits of granularity adjustments 0 1 2 6 0 2 3 38
Time-dependent copulas 0 0 4 15 0 1 10 56
Total Journal Articles 1 4 17 420 27 136 232 1,725

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Statistics updated 2026-03-04