Details about Jean-David Fermanian
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Short-id: pfe659
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Working Papers
2023
- Risk Budgeting Portfolios: Existence and Computation
Papers, arXiv.org View citations (2)
2022
- Stochastic Algorithms for Advanced Risk Budgeting
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
Also in Working Papers, HAL (2022)
2021
- Fair learning with bagging
Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne 
Also in Post-Print, HAL (2021)  Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2021)
2019
- The finite sample properties of Sparse M-estimators with Pseudo-Observations
Working Papers, Center for Research in Economics and Statistics 
See also Journal Article The finite sample properties of sparse M-estimators with pseudo-observations, Annals of the Institute of Statistical Mathematics, Springer (2022) (2022)
2018
- About Kendall's regression
Working Papers, Center for Research in Economics and Statistics View citations (2)
2017
- About tests of the “simplifying” assumption for conditional copulas
Working Papers, Center for Research in Economics and Statistics View citations (6)
See also Journal Article About tests of the “simplifying” assumption for conditional copulas, Dependence Modeling, De Gruyter (2017) View citations (2) (2017)
- The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms
Papers, arXiv.org 
Also in Working Papers, HAL (2016) View citations (8) Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2016) View citations (7) Post-Print, HAL (2016) View citations (7) Working Papers, Center for Research in Economics and Statistics (2016) View citations (11)
2016
- Multi-factor Granularity Adjustments for Market and Counterparty Risks
Working Papers, Center for Research in Economics and Statistics 
See also Journal Article Multifactor granularity adjustments for market and counterparty risks, Journal of Risk, Journal of Risk
- On the stationarity of Dynamic Conditional Correlation models
Papers, arXiv.org 
Also in Working Papers, Center for Research in Economics and Statistics (2013) View citations (1)
See also Journal Article ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS, Econometric Theory, Cambridge University Press (2017) View citations (6) (2017)
- Vine-GARCH process: Stationarity and Asymptotic Properties
Working Papers, Center for Research in Economics and Statistics
2015
- Agents' Behavior on Multi-Dealer-to-Client Bond Trading Platforms
Working Papers, Center for Research in Economics and Statistics View citations (2)
- Single-index copulae
Working Papers, Center for Research in Economics and Statistics 
See also Journal Article Single-index copulas, Journal of Multivariate Analysis, Elsevier (2018) View citations (13) (2018)
2014
- Dynamic Asset Correlations Based on Vines
Working Papers, Center for Research in Economics and Statistics 
See also Journal Article DYNAMIC ASSET CORRELATIONS BASED ON VINES, Econometric Theory, Cambridge University Press (2019) View citations (3) (2019)
2013
- A Asymptotic Total Variation Test for Copulas
Working Papers, Center for Research in Economics and Statistics
- The Limits of Granularity Adjustments
Working Papers, Center for Research in Economics and Statistics 
See also Journal Article The limits of granularity adjustments, Journal of Banking & Finance, Elsevier (2014) View citations (3) (2014)
2012
- An overview of the goodness-of-fit test problem for copulas
Papers, arXiv.org View citations (1)
- On break-even correlation: the way to price structured credit derivatives by replication
Papers, arXiv.org 
See also Journal Article On break-even correlation: the way to price structured credit derivatives by replication, Quantitative Finance, Taylor & Francis Journals (2015) (2015)
- Volatility Strategies for Global and Country Specific European Investors
Post-Print, HAL View citations (3)
2011
- Hedging default risks of CDOs in Markovian contagion models
Post-Print, HAL View citations (2)
2005
- Copulas of a Vector-Valued Stationary Weakly Dependent Process
Working Papers, Center for Research in Economics and Statistics
2004
- Optimal Greek Weight by Kernel Estimation
Working Papers, Center for Research in Economics and Statistics
- SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS
FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (12)
2003
- Goodness of Fit Tests for Copulas
Working Papers, Center for Research in Economics and Statistics View citations (7)
See also Journal Article Goodness-of-fit tests for copulas, Journal of Multivariate Analysis, Elsevier (2005) View citations (113) (2005)
- Nonparametric Estimation of Copulas for Time Series
FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (81)
Also in Working Papers, University of Geneva, Geneva School of Economics and Management (2003) View citations (9)
See also Journal Article Nonparametric estimation of copulas for time series, Journal of Risk, Journal of Risk
- Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements
FAME Research Paper Series, International Center for Financial Asset Management and Engineering
- Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements
Working Papers, Center for Research in Economics and Statistics 
See also Journal Article Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements, Journal of Banking & Finance, Elsevier (2005) View citations (21) (2005)
2002
- Weak Convergence of Empirical Copula Processes
Working Papers, Center for Research in Economics and Statistics
2001
- A Nonparametric Simulated Maximum Likelihood Estimation Method
Working Papers, Center for Research in Economics and Statistics View citations (2)
See also Journal Article A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD, Econometric Theory, Cambridge University Press (2004) View citations (44) (2004)
- Nonparametric Estimation of Competing Risks Models with Covariates
Working Papers, Center for Research in Economics and Statistics 
See also Journal Article Nonparametric estimation of competing risks models with covariates, Journal of Multivariate Analysis, Elsevier (2003) View citations (3) (2003)
2000
- Lower Bounds in Hazard Estimation
Working Papers, Center for Research in Economics and Statistics
Journal Articles
2025
- Model-based vs. agnostic methods for the prediction of time-varying covariance matrices
Annals of Operations Research, 2025, 346, (1), 511-548
2023
- A corrected Clarke test for model selection and beyond
Journal of Econometrics, 2023, 235, (1), 105-132
- Estimation of Copulas via Maximum Mean Discrepancy
Journal of the American Statistical Association, 2023, 118, (543), 1997-2012 View citations (1)
2022
- The finite sample properties of sparse M-estimators with pseudo-observations
Annals of the Institute of Statistical Mathematics, 2022, 74, (1), 1-31 
See also Working Paper The finite sample properties of Sparse M-estimators with Pseudo-Observations, Working Papers (2019) (2019)
2021
- High-dimensional penalized arch processes
Econometric Reviews, 2021, 40, (1), 86-107 View citations (2)
2020
- On Kendall’s regression
Journal of Multivariate Analysis, 2020, 178, (C) View citations (2)
- On the Dependence between Default Risk and Recovery Rates in Structural Models
Annals of Economics and Statistics, 2020, (140), 45-82 View citations (1)
2019
- A classification point-of-view about conditional Kendall’s tau
Computational Statistics & Data Analysis, 2019, 135, (C), 70-94 View citations (3)
- DYNAMIC ASSET CORRELATIONS BASED ON VINES
Econometric Theory, 2019, 35, (1), 167-197 View citations (3)
See also Working Paper Dynamic Asset Correlations Based on Vines, Working Papers (2014) (2014)
- On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior
Dependence Modeling, 2019, 7, (1), 292-321
2018
- On the Link between Volatilities, Regime Switching Probabilities and Correlation Dynamics
Annals of Economics and Statistics, 2018, (131), 1-24
- Single-index copulas
Journal of Multivariate Analysis, 2018, 165, (C), 27-55 View citations (13)
See also Working Paper Single-index copulae, Working Papers (2015) (2015)
2017
- About tests of the “simplifying” assumption for conditional copulas
Dependence Modeling, 2017, 5, (1), 154-197 View citations (2)
See also Working Paper About tests of the “simplifying” assumption for conditional copulas, Working Papers (2017) View citations (6) (2017)
- ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS
Econometric Theory, 2017, 33, (3), 636-663 View citations (6)
See also Working Paper On the stationarity of Dynamic Conditional Correlation models, Papers (2016) (2016)
- Recent Developments in Copula Models
Econometrics, 2017, 5, (3), 1-3 View citations (4)
2015
- On break-even correlation: the way to price structured credit derivatives by replication
Quantitative Finance, 2015, 15, (5), 829-840 
See also Working Paper On break-even correlation: the way to price structured credit derivatives by replication, Papers (2012) (2012)
2014
- The limits of granularity adjustments
Journal of Banking & Finance, 2014, 45, (C), 9-25 View citations (3)
See also Working Paper The Limits of Granularity Adjustments, Working Papers (2013) (2013)
2013
- A Top-Down Approach for Asset-Backed Securities: A Consistent Way of Managing Prepayment, Default and Interest Rate Risks
The Journal of Real Estate Finance and Economics, 2013, 46, (3), 480-515 View citations (3)
2012
- Time-dependent copulas
Journal of Multivariate Analysis, 2012, 110, (C), 19-29 View citations (22)
2009
- An empirical central limit theorem with applications to copulas under weak dependence
Statistical Inference for Stochastic Processes, 2009, 12, (1), 65-87 View citations (13)
2005
- Goodness-of-fit tests for copulas
Journal of Multivariate Analysis, 2005, 95, (1), 119-152 View citations (113)
See also Working Paper Goodness of Fit Tests for Copulas, Working Papers (2003) View citations (7) (2003)
- Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements
Journal of Banking & Finance, 2005, 29, (4), 927-958 View citations (21)
See also Working Paper Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements, Working Papers (2003) (2003)
2004
- A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD
Econometric Theory, 2004, 20, (4), 701-734 View citations (44)
See also Working Paper A Nonparametric Simulated Maximum Likelihood Estimation Method, Working Papers (2001) View citations (2) (2001)
2003
- Nonparametric estimation of competing risks models with covariates
Journal of Multivariate Analysis, 2003, 85, (1), 156-191 View citations (3)
See also Working Paper Nonparametric Estimation of Competing Risks Models with Covariates, Working Papers (2001) (2001)
1999
- Les horaires de travail dans le couple
Économie et Statistique, 1999, 321, (1), 89-110 View citations (14)
- Les rythmes de travail hors norme
Économie et Statistique, 1999, 321, (1), 111-131 View citations (7)
- Réduction collective et individuelle du temps de travail: que souhaitent les salariés ?
Économie et Statistique, 1999, 321, (1), 161-185
1997
- Multivariate Hazard Rates under Random Censorship
Journal of Multivariate Analysis, 1997, 62, (2), 273-309 View citations (1)
Undated
- Multifactor granularity adjustments for market and counterparty risks
Journal of Risk 
See also Working Paper Multi-factor Granularity Adjustments for Market and Counterparty Risks, Working Papers (2016) (2016)
- Nonparametric estimation of copulas for time series
Journal of Risk 
See also Working Paper Nonparametric Estimation of Copulas for Time Series, FAME Research Paper Series (2003) View citations (81) (2003)
Edited books
2014
- Couverture du risque de volatilité et de corrélation dans un portefeuille
Economics Thesis from University Paris Dauphine, Paris Dauphine University
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