Details about Jean-David Fermanian

Access statistics for papers by Jean-David Fermanian.

Last updated 2025-09-30. Update your information in the RePEc Author Service.

Short-id: pfe659

Working Papers

2021

1. Fair learning with bagging
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
   Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2021)
   Post-Print, HAL (2021)

2019

2. 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

3. About Kendall's regression
   Working Papers, Center for Research in Economics and Statistics View citations (2)

2017

4. About tests of the “simplifying” assumption for conditional copulas
   Working Papers, Center for Research in Economics and Statistics View citations (6)

2016

5. Multi-factor Granularity Adjustments for Market and Counterparty Risks
   Working Papers, Center for Research in Economics and Statistics
6. The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms
   Working Papers, Center for Research in Economics and Statistics View citations (11)
7. Vine-GARCH process: Stationarity and Asymptotic Properties
   Working Papers, Center for Research in Economics and Statistics

2015

8. Agents' Behavior on Multi-Dealer-to-Client Bond Trading Platforms
   Working Papers, Center for Research in Economics and Statistics View citations (2)
9. Single-index copulae
   Working Papers, Center for Research in Economics and Statistics

2014

10. 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

11. On the Stationarity of Dynamic Conditional Correlation Models
    Working Papers, Center for Research in Economics and Statistics 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)
12. 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)

Journal Articles

2025

1. Model-based vs. agnostic methods for the prediction of time-varying covariance matrices
   Annals of Operations Research, 2025, 346, (1), 511-548

2023

2. A corrected Clarke test for model selection and beyond
   Journal of Econometrics, 2023, 235, (1), 105-132

2022

3. 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)

2019

4. A classification point-of-view about conditional Kendall’s tau
   Computational Statistics & Data Analysis, 2019, 135, (C), 70-94 View citations (3)
5. 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)

2017

6. 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, Working Papers (2013) View citations (1) (2013)

2014

7. 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)

2005

8. Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements
   Journal of Banking & Finance, 2005, 29, (4), 927-958 View citations (21)

2004

9. A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD
   Econometric Theory, 2004, 20, (4), 701-734 View citations (43)

Edited books

2014

1. Couverture du risque de volatilité et de corrélation dans un portefeuille
   Economics Thesis from University Paris Dauphine, Paris Dauphine University