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Details about Jean-David Fermanian

Homepage:https://sites.google.com/view/jdfermanian/
Workplace:Centre de Recherche en Économie et Statistique (CREST) (Center for Research in Economics and Statistics), (more information at EDIRC)

Access statistics for papers by Jean-David Fermanian.

Last updated 2025-10-10. Update your information in the RePEc Author Service.

Short-id: pfe659

Jump to Journal Articles Edited books

Working Papers

2023

  1. Risk Budgeting Portfolios: Existence and Computation
    Papers, arXiv.org Downloads View citations (2)

2022

  1. Stochastic Algorithms for Advanced Risk Budgeting
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Working Papers, HAL (2022)

2021

  1. 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 Downloads
    Also in Post-Print, HAL (2021) Downloads
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2021) Downloads

2019

  1. The finite sample properties of Sparse M-estimators with Pseudo-Observations
    Working Papers, Center for Research in Economics and Statistics Downloads
    See also Journal Article The finite sample properties of sparse M-estimators with pseudo-observations, Annals of the Institute of Statistical Mathematics, Springer (2022) Downloads (2022)

2018

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

2017

  1. About tests of the “simplifying” assumption for conditional copulas
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (6)
    See also Journal Article About tests of the “simplifying” assumption for conditional copulas, Dependence Modeling, De Gruyter (2017) Downloads View citations (2) (2017)
  2. The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms
    Papers, arXiv.org Downloads
    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) Downloads View citations (11)

2016

  1. Multi-factor Granularity Adjustments for Market and Counterparty Risks
    Working Papers, Center for Research in Economics and Statistics Downloads
    See also Journal Article Multifactor granularity adjustments for market and counterparty risks, Journal of Risk, Journal of Risk Downloads
  2. On the stationarity of Dynamic Conditional Correlation models
    Papers, arXiv.org Downloads
    Also in Working Papers, Center for Research in Economics and Statistics (2013) Downloads View citations (1)
    See also Journal Article ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS, Econometric Theory, Cambridge University Press (2017) Downloads View citations (6) (2017)
  3. Vine-GARCH process: Stationarity and Asymptotic Properties
    Working Papers, Center for Research in Economics and Statistics Downloads

2015

  1. Agents' Behavior on Multi-Dealer-to-Client Bond Trading Platforms
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (2)
  2. Single-index copulae
    Working Papers, Center for Research in Economics and Statistics Downloads
    See also Journal Article Single-index copulas, Journal of Multivariate Analysis, Elsevier (2018) Downloads View citations (13) (2018)

2014

  1. Dynamic Asset Correlations Based on Vines
    Working Papers, Center for Research in Economics and Statistics Downloads
    See also Journal Article DYNAMIC ASSET CORRELATIONS BASED ON VINES, Econometric Theory, Cambridge University Press (2019) Downloads View citations (3) (2019)

2013

  1. A Asymptotic Total Variation Test for Copulas
    Working Papers, Center for Research in Economics and Statistics Downloads
  2. The Limits of Granularity Adjustments
    Working Papers, Center for Research in Economics and Statistics Downloads
    See also Journal Article The limits of granularity adjustments, Journal of Banking & Finance, Elsevier (2014) Downloads View citations (3) (2014)

2012

  1. An overview of the goodness-of-fit test problem for copulas
    Papers, arXiv.org Downloads View citations (1)
  2. On break-even correlation: the way to price structured credit derivatives by replication
    Papers, arXiv.org Downloads
    See also Journal Article On break-even correlation: the way to price structured credit derivatives by replication, Quantitative Finance, Taylor & Francis Journals (2015) Downloads (2015)
  3. Volatility Strategies for Global and Country Specific European Investors
    Post-Print, HAL Downloads View citations (3)

2011

  1. Hedging default risks of CDOs in Markovian contagion models
    Post-Print, HAL View citations (2)

2005

  1. Copulas of a Vector-Valued Stationary Weakly Dependent Process
    Working Papers, Center for Research in Economics and Statistics Downloads

2004

  1. Optimal Greek Weight by Kernel Estimation
    Working Papers, Center for Research in Economics and Statistics Downloads
  2. SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads View citations (12)

2003

  1. Goodness of Fit Tests for Copulas
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (7)
    See also Journal Article Goodness-of-fit tests for copulas, Journal of Multivariate Analysis, Elsevier (2005) Downloads View citations (113) (2005)
  2. Nonparametric Estimation of Copulas for Time Series
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads View citations (81)
    Also in Working Papers, University of Geneva, Geneva School of Economics and Management (2003) Downloads View citations (9)
    See also Journal Article Nonparametric estimation of copulas for time series, Journal of Risk, Journal of Risk Downloads
  3. Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads
  4. Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements
    Working Papers, Center for Research in Economics and Statistics Downloads
    See also Journal Article Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements, Journal of Banking & Finance, Elsevier (2005) Downloads View citations (21) (2005)

2002

  1. Weak Convergence of Empirical Copula Processes
    Working Papers, Center for Research in Economics and Statistics Downloads

2001

  1. A Nonparametric Simulated Maximum Likelihood Estimation Method
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (2)
    See also Journal Article A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD, Econometric Theory, Cambridge University Press (2004) Downloads View citations (44) (2004)
  2. Nonparametric Estimation of Competing Risks Models with Covariates
    Working Papers, Center for Research in Economics and Statistics Downloads
    See also Journal Article Nonparametric estimation of competing risks models with covariates, Journal of Multivariate Analysis, Elsevier (2003) Downloads View citations (3) (2003)

2000

  1. Lower Bounds in Hazard Estimation
    Working Papers, Center for Research in Economics and Statistics Downloads

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 Downloads

2023

  1. A corrected Clarke test for model selection and beyond
    Journal of Econometrics, 2023, 235, (1), 105-132 Downloads
  2. Estimation of Copulas via Maximum Mean Discrepancy
    Journal of the American Statistical Association, 2023, 118, (543), 1997-2012 Downloads View citations (1)

2022

  1. The finite sample properties of sparse M-estimators with pseudo-observations
    Annals of the Institute of Statistical Mathematics, 2022, 74, (1), 1-31 Downloads
    See also Working Paper The finite sample properties of Sparse M-estimators with Pseudo-Observations, Working Papers (2019) Downloads (2019)

2021

  1. High-dimensional penalized arch processes
    Econometric Reviews, 2021, 40, (1), 86-107 Downloads View citations (2)

2020

  1. On Kendall’s regression
    Journal of Multivariate Analysis, 2020, 178, (C) Downloads View citations (2)
  2. On the Dependence between Default Risk and Recovery Rates in Structural Models
    Annals of Economics and Statistics, 2020, (140), 45-82 Downloads View citations (1)

2019

  1. A classification point-of-view about conditional Kendall’s tau
    Computational Statistics & Data Analysis, 2019, 135, (C), 70-94 Downloads View citations (3)
  2. DYNAMIC ASSET CORRELATIONS BASED ON VINES
    Econometric Theory, 2019, 35, (1), 167-197 Downloads View citations (3)
    See also Working Paper Dynamic Asset Correlations Based on Vines, Working Papers (2014) Downloads (2014)
  3. On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior
    Dependence Modeling, 2019, 7, (1), 292-321 Downloads

2018

  1. On the Link between Volatilities, Regime Switching Probabilities and Correlation Dynamics
    Annals of Economics and Statistics, 2018, (131), 1-24 Downloads
  2. Single-index copulas
    Journal of Multivariate Analysis, 2018, 165, (C), 27-55 Downloads View citations (13)
    See also Working Paper Single-index copulae, Working Papers (2015) Downloads (2015)

2017

  1. About tests of the “simplifying” assumption for conditional copulas
    Dependence Modeling, 2017, 5, (1), 154-197 Downloads View citations (2)
    See also Working Paper About tests of the “simplifying” assumption for conditional copulas, Working Papers (2017) Downloads View citations (6) (2017)
  2. ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS
    Econometric Theory, 2017, 33, (3), 636-663 Downloads View citations (6)
    See also Working Paper On the stationarity of Dynamic Conditional Correlation models, Papers (2016) Downloads (2016)
  3. Recent Developments in Copula Models
    Econometrics, 2017, 5, (3), 1-3 Downloads View citations (4)

2015

  1. On break-even correlation: the way to price structured credit derivatives by replication
    Quantitative Finance, 2015, 15, (5), 829-840 Downloads
    See also Working Paper On break-even correlation: the way to price structured credit derivatives by replication, Papers (2012) Downloads (2012)

2014

  1. The limits of granularity adjustments
    Journal of Banking & Finance, 2014, 45, (C), 9-25 Downloads View citations (3)
    See also Working Paper The Limits of Granularity Adjustments, Working Papers (2013) Downloads (2013)

2013

  1. 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 Downloads View citations (3)

2012

  1. Time-dependent copulas
    Journal of Multivariate Analysis, 2012, 110, (C), 19-29 Downloads View citations (22)

2009

  1. An empirical central limit theorem with applications to copulas under weak dependence
    Statistical Inference for Stochastic Processes, 2009, 12, (1), 65-87 Downloads View citations (13)

2005

  1. Goodness-of-fit tests for copulas
    Journal of Multivariate Analysis, 2005, 95, (1), 119-152 Downloads View citations (113)
    See also Working Paper Goodness of Fit Tests for Copulas, Working Papers (2003) Downloads View citations (7) (2003)
  2. Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements
    Journal of Banking & Finance, 2005, 29, (4), 927-958 Downloads View citations (21)
    See also Working Paper Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements, Working Papers (2003) Downloads (2003)

2004

  1. A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD
    Econometric Theory, 2004, 20, (4), 701-734 Downloads View citations (44)
    See also Working Paper A Nonparametric Simulated Maximum Likelihood Estimation Method, Working Papers (2001) Downloads View citations (2) (2001)

2003

  1. Nonparametric estimation of competing risks models with covariates
    Journal of Multivariate Analysis, 2003, 85, (1), 156-191 Downloads View citations (3)
    See also Working Paper Nonparametric Estimation of Competing Risks Models with Covariates, Working Papers (2001) Downloads (2001)

1999

  1. Les horaires de travail dans le couple
    Économie et Statistique, 1999, 321, (1), 89-110 Downloads View citations (14)
  2. Les rythmes de travail hors norme
    Économie et Statistique, 1999, 321, (1), 111-131 Downloads View citations (7)
  3. Réduction collective et individuelle du temps de travail: que souhaitent les salariés ?
    Économie et Statistique, 1999, 321, (1), 161-185 Downloads

1997

  1. Multivariate Hazard Rates under Random Censorship
    Journal of Multivariate Analysis, 1997, 62, (2), 273-309 Downloads View citations (1)

Undated

  1. Multifactor granularity adjustments for market and counterparty risks
    Journal of Risk Downloads
    See also Working Paper Multi-factor Granularity Adjustments for Market and Counterparty Risks, Working Papers (2016) Downloads (2016)
  2. Nonparametric estimation of copulas for time series
    Journal of Risk Downloads
    See also Working Paper Nonparametric Estimation of Copulas for Time Series, FAME Research Paper Series (2003) Downloads View citations (81) (2003)

Edited books

2014

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