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Jean-David Fermanian

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Adil Rengim Cetingoz & Jean-David Fermanian & Olivier Gu'eant, 2022. "Risk Budgeting Portfolios: Existence and Computation," Papers 2211.07212, arXiv.org, revised Sep 2023.

    Cited by:

    1. Yoshioka, Hidekazu & Yoshioka, Yumi, 2024. "Generalized divergences for statistical evaluation of uncertainty in long-memory processes," Chaos, Solitons & Fractals, Elsevier, vol. 182(C).
    2. Martin Arnaiz Iglesias & Adil Rengim Cetingoz & Noufel Frikha, 2024. "Mirror Descent Algorithms for Risk Budgeting Portfolios," Papers 2411.12323, arXiv.org.

  2. Alexis Derumigny & Jean-David Fermanian, 2018. "About Kendall's regression," Working Papers 2018-01, Center for Research in Economics and Statistics.

    Cited by:

    1. Azadgar, Anahita & Luciani, Giulia & Nyka, Lucyna, 2025. "Spatial allocation of nature-based solutions in the form of public green infrastructure in relation to the socio-economic district profile–a GIS-based comparative study of Gdańsk and Rome," Land Use Policy, Elsevier, vol. 150(C).
    2. Derumigny, Alexis & Fermanian, Jean-David, 2019. "A classification point-of-view about conditional Kendall’s tau," Computational Statistics & Data Analysis, Elsevier, vol. 135(C), pages 70-94.

  3. Alexis Derumigny & Jean-David Fermanian, 2017. "About tests of the “simplifying” assumption for conditional copulas," Working Papers 2017-02, Center for Research in Economics and Statistics.

    Cited by:

    1. Portier, François & Segers, Johan, 2018. "On the weak convergence of the empirical conditional copula under a simplifying assumption," Journal of Multivariate Analysis, Elsevier, vol. 166(C), pages 160-181.
    2. Brantly Callaway & Tong Li & Irina Murtazashvili & Emmanuel Tsyawo, 2021. "Distributional Effects with Two-Sided Measurement Error: An Application to Intergenerational Income Mobility," Papers 2107.09235, arXiv.org, revised Sep 2025.
    3. Levi, Evgeny & Craiu, Radu V., 2018. "Bayesian inference for conditional copulas using Gaussian Process single index models," Computational Statistics & Data Analysis, Elsevier, vol. 122(C), pages 115-134.
    4. Guannan Liu & Wei Long & Bingduo Yang & Zongwu Cai, 2022. "Semiparametric estimation and model selection for conditional mixture copula models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(1), pages 287-330, March.
    5. Bücher Axel & Jaser Miriam & Min Aleksey, 2021. "Detecting departures from meta-ellipticity for multivariate stationary time series," Dependence Modeling, De Gruyter, vol. 9(1), pages 121-140, January.
    6. Gijbels Irène & Matterne Margot, 2021. "Study of partial and average conditional Kendall’s tau," Dependence Modeling, De Gruyter, vol. 9(1), pages 82-120, January.

  4. Jean-David Fermanian & Olivier Gu'eant & Jiang Pu, 2015. "The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms," Papers 1511.07773, arXiv.org, revised Mar 2017.

    Cited by:

    1. Adel Javanmard & Jingwei Ji & Renyuan Xu, 2024. "Multi-Task Dynamic Pricing in Credit Market with Contextual Information," Papers 2410.14839, arXiv.org, revised May 2025.
    2. Gündüz, Yalin & Pelizzon, Loriana & Schneider, Michael & Subrahmanyam, Marti G., 2021. "Lighting up the dark: Liquidity in the German corporate bond market," Discussion Papers 21/2021, Deutsche Bundesbank.
    3. Sarah Auster & Piero Gottardi & Ronald Wolthoff, 2022. "Simultaneous Search and Adverse Selection," ECONtribute Discussion Papers Series 135, University of Bonn and University of Cologne, Germany.
    4. Weill, Pierre-Olivier, 2020. "The search theory of OTC markets," CEPR Discussion Papers 14847, C.E.P.R. Discussion Papers.
    5. Riggs, Lynn & Onur, Esen & Reiffen, David & Zhu, Haoxiang, 2020. "Swap trading after Dodd-Frank: Evidence from index CDS," Journal of Financial Economics, Elsevier, vol. 137(3), pages 857-886.
    6. Olivier Gu'eant & Jiang Pu, 2018. "Mid-price estimation for European corporate bonds: a particle filtering approach," Papers 1810.05884, arXiv.org, revised Mar 2019.
    7. Xin Guo & Charles-Albert Lehalle & Renyuan Xu, 2019. "Transaction Cost Analytics for Corporate Bonds," Papers 1903.09140, arXiv.org, revised Dec 2021.
    8. Alicia Vidler & Toby Walsh, 2025. "Shifting Power: Leveraging LLMs to Simulate Human Aversion in ABMs of Bilateral Financial Exchanges, A bond market study," Papers 2503.00320, arXiv.org, revised Mar 2025.

  5. Jean-David Fermanian & Olivier Guéant & Arnaud Rachez, 2015. "Agents' Behavior on Multi-Dealer-to-Client Bond Trading Platforms," Working Papers 2015-11, Center for Research in Economics and Statistics.

    Cited by:

    1. Ben Hambly & Renyuan Xu & Huining Yang, 2021. "Recent Advances in Reinforcement Learning in Finance," Papers 2112.04553, arXiv.org, revised Feb 2023.
    2. Xin Guo & Charles-Albert Lehalle & Renyuan Xu, 2019. "Transaction Cost Analytics for Corporate Bonds," Papers 1903.09140, arXiv.org, revised Dec 2021.

  6. Jean-David Fermanian & Olivier Lopez, 2015. "Single-index copulae," Working Papers 2015-12, Center for Research in Economics and Statistics.

    Cited by:

    1. Benjamin Poignard & Jean-David Fermanian, 2022. "The finite sample properties of sparse M-estimators with pseudo-observations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(1), pages 1-31, February.
    2. Yang, Bingduo & Hafner, Christian M. & Liu, Guannan & Long, Wei, 2022. "Semiparametric estimation and variable selection for single-index copula models," LIDAM Reprints ISBA 2022011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    3. Nasri, Bouchra R. & Rémillard, Bruno N. & Bouezmarni, Taoufik, 2019. "Semi-parametric copula-based models under non-stationarity," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 347-365.
    4. Yang, Bingduo & Cai, Zongwu & Hafner, Christian M. & Liu, Guannan, 2018. "Trending Mixture Copula Models with Copula Selection," IRTG 1792 Discussion Papers 2018-057, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    5. Guannan Liu & Wei Long & Bingduo Yang & Zongwu Cai, 2022. "Semiparametric estimation and model selection for conditional mixture copula models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(1), pages 287-330, March.
    6. Marek Omelka & Šárka Hudecová & Natalie Neumeyer, 2021. "Maximum pseudo‐likelihood estimation based on estimated residuals in copula semiparametric models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(4), pages 1433-1473, December.
    7. Hayato Nakanishi, 2025. "Urban environmental evaluation using an affiliated private value auction model," Empirical Economics, Springer, vol. 68(3), pages 1281-1343, March.
    8. Alexis Derumigny & Jean-David Fermanian, 2018. "About Kendall's regression," Working Papers 2018-01, Center for Research in Economics and Statistics.
    9. Derumigny Alexis & Fermanian Jean-David, 2019. "On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior," Dependence Modeling, De Gruyter, vol. 7(1), pages 292-321, January.
    10. Derumigny, Alexis & Fermanian, Jean-David, 2019. "A classification point-of-view about conditional Kendall’s tau," Computational Statistics & Data Analysis, Elsevier, vol. 135(C), pages 70-94.

  7. Benjamin Poignard & Jean-Davis Fermanian, 2014. "Dynamic Asset Correlations Based on Vines," Working Papers 2014-46, Center for Research in Economics and Statistics.

    Cited by:

    1. Jean-David Fermanian & Benjamin Poignard & Panos Xidonas, 2025. "Model-based vs. agnostic methods for the prediction of time-varying covariance matrices," Annals of Operations Research, Springer, vol. 346(1), pages 511-548, March.
    2. Shanshan Jiang & Jie Wang & Ruiting Dong & Yutong Li & Min Xia, 2023. "Systemic Risk with Multi-Channel Risk Contagion in the Interbank Market," Sustainability, MDPI, vol. 15(3), pages 1-24, February.
    3. Gilles Boevi Koumou, 2020. "Diversification and portfolio theory: a review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 267-312, September.

  8. Jean-David Fermanian & Hassan Malongo, 2014. "On the stationarity of Dynamic Conditional Correlation models," Papers 1405.6905, arXiv.org, revised Mar 2016.

    Cited by:

    1. Jean-David Fermanian & Benjamin Poignard & Panos Xidonas, 2025. "Model-based vs. agnostic methods for the prediction of time-varying covariance matrices," Annals of Operations Research, Springer, vol. 346(1), pages 511-548, March.
    2. Barassi, Marco & Horvath, Lajos & Zhao, Yuqian, 2018. "Change Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models," MPRA Paper 87837, University Library of Munich, Germany.
    3. Stefano Grassi & Francesco Violante, 2021. "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," Working Papers 2021-05, Center for Research in Economics and Statistics.
    4. Benjamin Poignard & Jean-Davis Fermanian, 2014. "Dynamic Asset Correlations Based on Vines," Working Papers 2014-46, Center for Research in Economics and Statistics.
    5. Sylvia Gottschalk, 2023. "From Black Wednesday to Brexit: Macroeconomic shocks and correlations of equity returns in France, Germany, Italy, Spain, and the United Kingdom," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2843-2873, July.

  9. Jean-David Fermanian, 2013. "The Limits of Granularity Adjustments," Working Papers 2013-27, Center for Research in Economics and Statistics.

    Cited by:

    1. Greig Smith & Goncalo dos Reis, 2017. "Robust and Consistent Estimation of Generators in Credit Risk," Papers 1702.08867, arXiv.org, revised Oct 2017.
    2. Laurent, Jean-Paul & Sestier, Michael & Thomas, Stéphane, 2016. "Trading book and credit risk: How fundamental is the Basel review?," Journal of Banking & Finance, Elsevier, vol. 73(C), pages 211-223.

  10. Marie Brière & Jean-David Fermanian & Hassan Malongo & Ombretta Signori, 2012. "Volatility Strategies for Global and Country Specific European Investors," Post-Print hal-01494509, HAL.

    Cited by:

    1. Alexander, Carol & Korovilas, Dimitris & Kapraun, Julia, 2016. "Diversification with volatility products," Journal of International Money and Finance, Elsevier, vol. 65(C), pages 213-235.
    2. Michał Latoszek & Robert Ślepaczuk, 2019. "Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor," Working Papers 2019-14, Faculty of Economic Sciences, University of Warsaw.

  11. Jean-David Fermanian, 2012. "An overview of the goodness-of-fit test problem for copulas," Papers 1211.4416, arXiv.org.

    Cited by:

    1. Jean-David Fermanian & Dragan Radulovic & Marten Wegkamp, 2013. "A Asymptotic Total Variation Test for Copulas," Working Papers 2013-25, Center for Research in Economics and Statistics.

  12. Jean-Paul Laurent & Areski Cousin & Jean-David Fermanian, 2011. "Hedging default risks of CDOs in Markovian contagion models," Post-Print hal-03676198, HAL.

    Cited by:

    1. Henri Pages & Dylan Possamaï, 2014. "A mathematical treatment of bank monitoring incentives," Finance and Stochastics, Springer, vol. 18(1), pages 39-73, January.
    2. Fu, Michael C. & Li, Bingqing & Li, Fei & Wu, Rongwen, 2025. "Contagion network, portfolio credit risk, and financial crisis," European Journal of Operational Research, Elsevier, vol. 321(3), pages 942-957.

  13. Jean-David FERMANIAN & Olivier SCAILLET, 2004. "Some Statistical Pitfalls In Copula Modeling For Financial Applications," FAME Research Paper Series rp108, International Center for Financial Asset Management and Engineering.

    Cited by:

    1. Beatriz Vaz de Melo Mendes, 2005. "Computing Conditional VaR using Time-varying CopulasComputing Conditional VaR using Time-varying Copulas," Brazilian Review of Finance, Brazilian Society of Finance, vol. 3(2), pages 251-265.
    2. Rezitis, Anthony N. & Rokopanos, Andreas, . "Impact of trade liberalisation on dairy market price co-movements between the EU, Oceania, and the United States," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 63(3).
    3. Yang, Bingduo & Cai, Zongwu & Hafner, Christian M. & Liu, Guannan, 2018. "Trending Mixture Copula Models with Copula Selection," IRTG 1792 Discussion Papers 2018-057, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    4. de Melo Mendes, Beatriz Vaz & Kolev, Nikolai, 2008. "How long memory in volatility affects true dependence structure," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1070-1086, December.
    5. Söderberg, Jonas, 2008. "Test of the Gaussian Copula on the Swedish Stock Market," CAFO Working Papers 2009:9, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics.
    6. Eduardo F. L. de Melo & Beatriz Vaz de Melo Mendes, 2009. "Local Estimation of Copula Based Value-at-Risk," Brazilian Review of Finance, Brazilian Society of Finance, vol. 7(1), pages 29-50.
    7. Hubbard, Timothy P. & Li, Tong & Paarsch, Harry J., 2012. "Semiparametric estimation in models of first-price, sealed-bid auctions with affiliation," Journal of Econometrics, Elsevier, vol. 168(1), pages 4-16.
    8. Emmanoulides, Christos & Fousekis, Panos, 2014. "Vertical Price Transmission in the US Pork Industry: Evidence from Copula Models," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 15(01), pages 1-12.
    9. Kunlapath Sukcharoen & David Leatham, 2018. "Analyzing Extreme Comovements in Agricultural and Energy Commodity Markets Using a Regular Vine Copula Method," International Journal of Energy Economics and Policy, Econjournals, vol. 8(5), pages 193-201.
    10. Amjad, Muhammad & Akbar, Muhammad & Ullah, Hamd, 2022. "A copula-based approach for creating an index of micronutrient intakes at household level in Pakistan," Economics & Human Biology, Elsevier, vol. 46(C).
    11. Abel Elizalde, 2006. "Credit Risk Models I: Default Correlation in Intensity Models," Working Papers wp2006_0605, CEMFI.
    12. Manner, H., 2007. "Estimation and model selection of copulas with an application to exchange rates," Research Memorandum 056, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).

  14. Jean-David Fermanian, 2003. "Goodness of Fit Tests for Copulas," Working Papers 2003-34, Center for Research in Economics and Statistics.

    Cited by:

    1. Jie Huang & Haiming Zhou & Nader Ebrahimi, 2022. "Bayesian Bivariate Cure Rate Models Using Copula Functions," International Journal of Statistics and Probability, Canadian Center of Science and Education, vol. 11(3), pages 1-9, May.
    2. Mesfioui, Mhamed & Quessy, Jean-François, 2008. "Dependence structure of conditional Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 372-385, March.
    3. Elif F. Acar & Radu V. Craiu & Fang Yao, 2011. "Dependence Calibration in Conditional Copulas: A Nonparametric Approach," Biometrics, The International Biometric Society, vol. 67(2), pages 445-453, June.
    4. Can, S.U. & Einmahl, John & Laeven, R.J.A., 2017. "Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas," Other publications TiSEM feb9a064-2a9f-47d6-a02b-7, Tilburg University, School of Economics and Management.
    5. Daniel Berg & Jean‐François Quessy, 2009. "Local Power Analyses of Goodness‐of‐fit Tests for Copulas," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(3), pages 389-412, September.
    6. Gregor Weiß, 2011. "Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study," Computational Statistics, Springer, vol. 26(1), pages 31-54, March.
    7. Sarazin, Gabriel & Morio, Jérôme & Lagnoux, Agnès & Balesdent, Mathieu & Brevault, Loïc, 2021. "Reliability-oriented sensitivity analysis in presence of data-driven epistemic uncertainty," Reliability Engineering and System Safety, Elsevier, vol. 215(C).
    8. Beatriz Mendes & Mariângela Semeraro & Ricardo Leal, 2010. "Pair-copulas modeling in finance," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(2), pages 193-213, June.
    9. Saiful Izzuan Hussain & Steven Li, 2018. "The dynamic dependence between stock markets in the greater China economic area: a study based on extreme values and copulas," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(2), pages 207-233, May.
    10. Bücher, Axel & Dette, Holger, 2010. "Some comments on goodness-of-fit tests for the parametric form of the copula based on L2-distances," Journal of Multivariate Analysis, Elsevier, vol. 101(3), pages 749-763, March.
    11. MICHIELS, Frederik & DE SCHEPPER, Ann, 2007. "A copula test space model: How to avoid the wrong copula choice," Working Papers 2007027, University of Antwerp, Faculty of Business and Economics.
    12. Zhang, Shulin & Okhrin, Ostap & Zhou, Qian M. & Song, Peter X.-K., 2013. "Goodness-of-fit test for specification of semiparametric copula dependence models," SFB 649 Discussion Papers 2013-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    13. Gaißer, Sandra & Schmid, Friedrich, 2010. "On testing equality of pairwise rank correlations in a multivariate random vector," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2598-2615, November.
    14. Paul Doukhan & Jean-David Fermanian & Gabriel Lang, 2009. "An empirical central limit theorem with applications to copulas under weak dependence," Statistical Inference for Stochastic Processes, Springer, vol. 12(1), pages 65-87, February.
    15. Dominique Guegan, 2007. "Global and local stationary modelling in finance: theory and empirical evidence," Post-Print halshs-00187875, HAL.
    16. Jean-David Fermanian, 2012. "An overview of the goodness-of-fit test problem for copulas," Papers 1211.4416, arXiv.org.
    17. Braekers, Roel & Van Keilegom, Ingrid, 2009. "Flexible modeling based on copulas in nonparametric median regression," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1270-1281, July.
    18. D. Guegan & J. Zhang, 2010. "Change analysis of a dynamic copula for measuring dependence in multivariate financial data," Quantitative Finance, Taylor & Francis Journals, vol. 10(4), pages 421-430.
    19. Zongwu Cai & Xian Wang, 2014. "Selection of Mixed Copula Model via Penalized Likelihood," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(506), pages 788-801, June.
    20. Rezapour, Mohsen, 2015. "On the construction of nested Archimedean copulas for d-monotone generators," Statistics & Probability Letters, Elsevier, vol. 101(C), pages 21-32.
    21. Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2014. "Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management," Energy Economics, Elsevier, vol. 42(C), pages 332-342.
    22. Zhao, Xiaobing & Zhou, Xian, 2012. "Estimation of medical costs by copula models with dynamic change of health status," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 480-491.
    23. Kallenberg, Wilbert C.M., 2008. "Modelling dependence," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 127-146, February.
    24. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
    25. Dominique Guegan & Jing Zhang, 2010. "Change analysis of a dynamic copula for measuring dependence in multivariate financial data," Post-Print halshs-00368334, HAL.
    26. Bentoumi Rachid & Mesfioui Mhamed & Alvo Mayer, 2019. "Dependence measure for length-biased survival data using copulas," Dependence Modeling, De Gruyter, vol. 7(1), pages 348-364, January.
    27. Damette, Olivier & Goutte, Stéphane, 2023. "Beyond climate and conflict relationships: New evidence from a Copula-based analysis on an historical perspective," Journal of Comparative Economics, Elsevier, vol. 51(1), pages 295-323.
    28. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2007. "Selecting copulas for risk management," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2405-2423, August.
    29. Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2010. "Out-of-sample comparison of copula specifications in multivariate density forecasts," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1596-1609, September.
    30. Jean-David Fermanian & Dragan Radulovic & Marten Wegkamp, 2013. "A Asymptotic Total Variation Test for Copulas," Working Papers 2013-25, Center for Research in Economics and Statistics.
    31. Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "Rejoinder on: An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 442-447, September.
    32. Ehouman, Yao Axel, 2021. "Dependence structure between oil price volatility and sovereign credit risk of oil exporters: Evidence using a copula approach," International Economics, Elsevier, vol. 168(C), pages 76-97.
    33. Shi, Peng, 2012. "Multivariate longitudinal modeling of insurance company expenses," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 204-215.
    34. Alexis Derumigny & Jean-David Fermanian, 2017. "About tests of the “simplifying” assumption for conditional copulas," Working Papers 2017-02, Center for Research in Economics and Statistics.
    35. Chen, Xiaohong & Fan, Yanqin & Patton, Andrew J., 2004. "Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates," LSE Research Online Documents on Economics 24681, London School of Economics and Political Science, LSE Library.
    36. Wolfgang Härdle & Ostap Okhrin, 2010. "De copulis non est disputandum," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 94(1), pages 1-31, March.
    37. Niu, Jiale & Yan, Rongfang & Zhang, Jiandong, 2025. "Preventive replacement policies of parallel/series systems with dependent components under deviation costs," Reliability Engineering and System Safety, Elsevier, vol. 260(C).
    38. Dominique Guegan & Jing Zhang, 2010. "Change analysis of a dynamic copula for measuring dependence in multivariate financial data," PSE-Ecole d'économie de Paris (Postprint) halshs-00368334, HAL.
    39. Cyril Caillault & Dominique Guegan, 2009. "Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy," PSE-Ecole d'économie de Paris (Postprint) halshs-00375765, HAL.
    40. Genest, Christian & Rémillard, Bruno & Beaudoin, David, 2009. "Goodness-of-fit tests for copulas: A review and a power study," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 199-213, April.
    41. Sentana, Enrique & Amengual, Dante, 2015. "Is a normal copula the right copula?," CEPR Discussion Papers 10809, C.E.P.R. Discussion Papers.
    42. Mendes, Beatriz Vaz de Melo & Arslan, Olcay, 2006. "Multivariate Skew Distributions Based on the GT-Copula," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 26(2), November.
    43. Härdle, Wolfgang Karl & Okhrin, Ostap & Okhrin, Yarema, 2008. "Modeling dependencies in finance using copulae," SFB 649 Discussion Papers 2008-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    44. Hussain, Saiful Izzuan & Li, Steven, 2018. "The dependence structure between Chinese and other major stock markets using extreme values and copulas," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 421-437.
    45. Xiaohong Chen & Yanqin Fan, 2004. "A Model Selection Test for Bivariate Failure-Time Data," Vanderbilt University Department of Economics Working Papers 0421, Vanderbilt University Department of Economics, revised Oct 2004.
    46. Cyril Caillault & Dominique Guegan, 2009. "Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00375765, HAL.
    47. Scaillet, Olivier, 2007. "Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters," Journal of Multivariate Analysis, Elsevier, vol. 98(3), pages 533-543, March.
    48. Huard, David & Evin, Guillaume & Favre, Anne-Catherine, 2006. "Bayesian copula selection," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 809-822, November.
    49. Can, S.U. & Einmahl, John & Laeven, R.J.A., 2020. "Goodness-of-fit testing for copulas: A distribution-free approach," Other publications TiSEM 211b2be9-b46e-41e2-9b95-1, Tilburg University, School of Economics and Management.
    50. Fermanian, Jean-David & Wegkamp, Marten H., 2012. "Time-dependent copulas," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 19-29.
    51. Bouezmarni, Taoufik & Rombouts, Jeroen V.K. & Taamouti, Abderrahim, 2010. "Asymptotic properties of the Bernstein density copula estimator for [alpha]-mixing data," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 1-10, January.
    52. Bruno Rémillard & Olivier Scaillet, 2007. "Testing For Equality Between Two Copulas," Swiss Finance Institute Research Paper Series 07-24, Swiss Finance Institute.
    53. Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2020. "Diffusion Copulas: Identification and Estimation," Papers 2005.03513, arXiv.org.
    54. Xiaohong Chen & Yanqin Fan, 2004. "Estimation and Model Selection of Semiparametric Copula-Based Multivariate Dynamic Models under Copula Misspecification," Vanderbilt University Department of Economics Working Papers 0419, Vanderbilt University Department of Economics, revised Sep 2004.
    55. Nguyen, Cuong C. & Bhatti, M. Ishaq, 2012. "Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 758-773.
    56. Alexander Knyazev & Oleg Lepekhin & Arkady Shemyakin, 2016. "Joint distribution of stock indices: Methodological aspects of construction and selection of copula models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 42, pages 30-53.
    57. Prokhorov, Artem, 2008. "A goodness-of-fit test for copulas," MPRA Paper 9998, University Library of Munich, Germany.
    58. Genest, Christian & Masiello, Esterina & Tribouley, Karine, 2009. "Estimating copula densities through wavelets," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 170-181, April.
    59. Liang-Ching Lin & Sangyeol Lee & Meihui Guo, 2014. "The Bickel–Rosenblatt test for continuous time stochastic volatility models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(1), pages 195-218, March.
    60. Okhrin, Ostap & Okhrin, Yarema & Schmid, Wolfgang, 2013. "On the structure and estimation of hierarchical Archimedean copulas," Journal of Econometrics, Elsevier, vol. 173(2), pages 189-204.
    61. Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 361-411, September.
    62. Zhuang, Haoxin & Diao, Liqun & Yi, Grace Y., 2022. "A Bayesian nonparametric mixture model for grouping dependence structures and selecting copula functions," Econometrics and Statistics, Elsevier, vol. 22(C), pages 172-189.
    63. Roch, Oriol & Alegre, Antonio, 2006. "Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1312-1329, November.
    64. Boubaker, Heni & Sghaier, Nadia, 2013. "Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 361-377.
    65. Mensah, Jones Odei & Premaratne, Gamini, 2014. "Dependence patterns among Banking Sectors in Asia: A Copula Approach," MPRA Paper 60119, University Library of Munich, Germany.
    66. Faugeras, Olivier P., 2009. "A quantile-copula approach to conditional density estimation," Journal of Multivariate Analysis, Elsevier, vol. 100(9), pages 2083-2099, October.
    67. Svetlana Gribkova & Olivier Lopez, 2015. "Non-parametric Copula Estimation Under Bivariate Censoring," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(4), pages 925-946, December.
    68. Hubbard, Timothy P. & Li, Tong & Paarsch, Harry J., 2012. "Semiparametric estimation in models of first-price, sealed-bid auctions with affiliation," Journal of Econometrics, Elsevier, vol. 168(1), pages 4-16.
    69. Paul Doukhan & Jean-David Fermanian & Gabriel Lang, 2005. "Copulas of a Vector-Valued Stationary Weakly Dependent Process," Working Papers 2005-48, Center for Research in Economics and Statistics.
    70. Qunhua Li & Feipeng Zhang, 2018. "A regression framework for assessing covariate effects on the reproducibility of high‐throughput experiments," Biometrics, The International Biometric Society, vol. 74(3), pages 803-813, September.
    71. Xun Lu & Kin Lai & Liang Liang, 2014. "Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model," Annals of Operations Research, Springer, vol. 219(1), pages 333-357, August.
    72. Dominique Guegan & Jing Zhang, 2006. "Change analysis of dynamic copula for measuring dependence in multivariate financial data," Post-Print halshs-00189141, HAL.
    73. Dominique Guégan, 2009. "A Meta-Distribution for Non-Stationary Samples," CREATES Research Papers 2009-24, Department of Economics and Business Economics, Aarhus University.
    74. Jonas Meier, 2020. "Multivariate Distribution Regression," Diskussionsschriften dp2023, Universitaet Bern, Departement Volkswirtschaft.
    75. Dean Fantazzini, 2011. "Analysis of multidimensional probability distributions with copula functions. III," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 24(4), pages 100-130.
    76. Lu, Xiaohui & Zheng, Xu, 2020. "A goodness-of-fit test for copulas based on martingale transformation," Journal of Econometrics, Elsevier, vol. 215(1), pages 84-117.
    77. Kajal Lahiri & Liu Yang, 2023. "Predicting binary outcomes based on the pair-copula construction," Empirical Economics, Springer, vol. 64(6), pages 3089-3119, June.
    78. Juan Lin & Ximing Wu, 2015. "Smooth Tests of Copula Specifications," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 128-143, January.
    79. Yinping You & Xiaohu Li & Rui Fang, 2021. "On coverage limits and deductibles for SAI loss severities," Annals of Operations Research, Springer, vol. 297(1), pages 341-357, February.
    80. Fang, Y. & Madsen, L., 2013. "Modified Gaussian pseudo-copula: Applications in insurance and finance," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 292-301.
    81. Gery Geenens & Arthur Charpentier & Davy Paindaveine, 2014. "Probit Transformation for Nonparametric Kernel Estimation of the Copula Density," Working Papers ECARES ECARES 2014-23, ULB -- Universite Libre de Bruxelles.
    82. Ghislaine Gayraud & Karine Tribouley, 2011. "A goodness-of-fit test for copula densities," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(3), pages 549-573, November.
    83. Echaust, Krzysztof, 2021. "Asymmetric tail dependence between stock market returns and implied volatility," The Journal of Economic Asymmetries, Elsevier, vol. 23(C).
    84. Shulin Zhang & Qian M. Zhou & Huazhen Lin, 2021. "Goodness-of-fit test of copula functions for semi-parametric univariate time series models," Statistical Papers, Springer, vol. 62(4), pages 1697-1721, August.
    85. Yao Axel Ehouman, 2021. "Dependence structure between oil price volatility and sovereign credit risk of oil exporters : Evidence using a Copula Approach," Post-Print hal-03348410, HAL.
    86. Chen, Jian & Peng, Liang & Zhao, Yichuan, 2009. "Empirical likelihood based confidence intervals for copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(1), pages 137-151, January.
    87. Kallenberg, Wilbert C.M., 2009. "Estimating copula densities, using model selection techniques," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 209-223, October.
    88. Frahm, Gabriel & Junker, Markus & Schmidt, Rafael, 2005. "Estimating the tail-dependence coefficient: Properties and pitfalls," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 80-100, August.
    89. Sebastian Kiwitt & Natalie Neumeyer, 2013. "A note on testing independence by a copula-based order selection approach," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(1), pages 62-82, March.
    90. Xi, Zhimin & Jing, Rong & Wang, Pingfeng & Hu, Chao, 2014. "A copula-based sampling method for data-driven prognostics," Reliability Engineering and System Safety, Elsevier, vol. 132(C), pages 72-82.
    91. Gregor Weiß, 2012. "Analysing contagion and bailout effects with copulae," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(1), pages 1-32, January.
    92. Nikoloulopoulos, Aristidis K. & Karlis, Dimitris, 2008. "Copula model evaluation based on parametric bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3342-3353, March.
    93. Cuong Nguyen & M. Bhatti & Aziz Hayat, 2014. "Volatility linkages in the spot and futures market in Australia: a copula approach," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(5), pages 2589-2603, September.
    94. Kjersti Aas, 2016. "Pair-Copula Constructions for Financial Applications: A Review," Econometrics, MDPI, vol. 4(4), pages 1-15, October.
    95. Raffaella Calabrese & Silvia Osmetti, 2014. "Modelling cross-border systemic risk in the European banking sector: a copula approach," Papers 1411.1348, arXiv.org.
    96. Rehbock Volker, 2007. "Bootstrapping L2-type statistics in copula density testing," Statistics & Risk Modeling, De Gruyter, vol. 25(4), pages 333-347, October.
    97. Bhatti, M. Ishaq & Nguyen, Cuong C., 2012. "Diversification evidence from international equity markets using extreme values and stochastic copulas," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 622-646.
    98. Casey Quinn, 2005. "Generalisable regression methods for costeffectiveness using copulas," Health, Econometrics and Data Group (HEDG) Working Papers 05/13, HEDG, c/o Department of Economics, University of York.
    99. Yao Axel Ehouman, 2020. "Dependence structure between oil price volatility and sovereign credit risk of oil exporters: Evidence using a Copula Approach," EconomiX Working Papers 2020-31, University of Paris Nanterre, EconomiX.
    100. Dobric, Jadran & Schmid, Friedrich, 2007. "A goodness of fit test for copulas based on Rosenblatt's transformation," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4633-4642, May.
    101. Manner, H., 2007. "Estimation and model selection of copulas with an application to exchange rates," Research Memorandum 056, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    102. Osvaldo C. Silva Filho & Flavio A. Ziegelmann & Michael J. Dueker, 2014. "Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2155-2170, December.
    103. Nejad, Mohammad Motalleb & Erdogan, Sevgi & Cirillo, Cinzia, 2021. "A statistical approach to small area synthetic population generation as a basis for carless evacuation planning," Journal of Transport Geography, Elsevier, vol. 90(C).
    104. Cyril Caillault & Dominique Guegan, 2009. "Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy," Post-Print halshs-00375765, HAL.
    105. Ping Ai & Dingbo Yuan & Chuansheng Xiong, 2018. "Copula-Based Joint Probability Analysis of Compound Floods from Rainstorm and Typhoon Surge: A Case Study of Jiangsu Coastal Areas, China," Sustainability, MDPI, vol. 10(7), pages 1-18, June.
    106. Okhrin, Ostap, 2010. "Fitting high-dimensional copulae to data," SFB 649 Discussion Papers 2010-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  15. Jean-David FERMANIAN & Olivier SCAILLET, 2003. "Nonparametric Estimation of Copulas for Time Series," FAME Research Paper Series rp57, International Center for Financial Asset Management and Engineering.

    Cited by:

    1. Tae-Hwy Lee & Weiping Yang, 2014. "Granger-Causality in Quantiles between Financial Markets: Using Copula Approach," Working Papers 201406, University of California at Riverside, Department of Economics.
    2. Mike Tsionas & Marwan Izzeldin & Lorenzo Trapani, 2019. "Bayesian estimation of large dimensional time varying VARs using copulas," Papers 1912.12527, arXiv.org.
    3. Bücher, Axel & Ruppert, Martin, 2013. "Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 208-229.
    4. Göran Kauermann & Christian Schellhase & David Ruppert, 2013. "Flexible Copula Density Estimation with Penalized Hierarchical B-splines," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(4), pages 685-705, December.
    5. Matteo Iacopini & Dominique Guégan, 2018. "Nonparametric Forecasting of Multivariate Probability Density Functions," Working Papers 2018:15, Department of Economics, University of Venice "Ca' Foscari".
    6. Elif F. Acar & Radu V. Craiu & Fang Yao, 2011. "Dependence Calibration in Conditional Copulas: A Nonparametric Approach," Biometrics, The International Biometric Society, vol. 67(2), pages 445-453, June.
    7. Stelios Bekiros & Gazi Salah Uddin, 2017. "Extreme Dependence under Uncertainty: an application to Stock, Currency and Oil Markets," International Review of Finance, International Review of Finance Ltd., vol. 17(1), pages 155-162, March.
    8. Morettin Pedro A. & Toloi Clelia M.C. & Chiann Chang & de Miranda José C.S., 2011. "Wavelet Estimation of Copulas for Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 3(3), pages 1-31, October.
    9. Fousekis, Panos, 2017. "Price co-movement and the hedger's value-at-risk in the futures markets for coffee," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 0(Issue 01), January.
    10. Tsionas, Mike G. & Izzeldin, Marwan & Trapani, Lorenzo, 2022. "Estimation of large dimensional time varying VARs using copulas," European Economic Review, Elsevier, vol. 141(C).
    11. Paul Doukhan & Jean-David Fermanian & Gabriel Lang, 2009. "An empirical central limit theorem with applications to copulas under weak dependence," Statistical Inference for Stochastic Processes, Springer, vol. 12(1), pages 65-87, February.
    12. Kang, Sang Hoon & Uddin, Gazi Salah & Ahmed, Ali & Yoon, Seong-Min, 2018. "Multi-scale causality and extreme tail inter-dependence among housing prices," Economic Modelling, Elsevier, vol. 70(C), pages 301-309.
    13. Joshua V. Rosenberg, 2003. "Nonparametric pricing of multivariate contingent claims," Staff Reports 162, Federal Reserve Bank of New York.
    14. Shen, Xiaojing & Zhu, Yunmin & Song, Lixin, 2008. "Linear B-spline copulas with applications to nonparametric estimation of copulas," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3806-3819, March.
    15. Dominicy, Yves & Hörmann, Siegfried & Ogata, Hiroaki & Veredas, David, 2013. "On sample marginal quantiles for stationary processes," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 28-36.
    16. Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2010. "Out-of-sample comparison of copula specifications in multivariate density forecasts," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1596-1609, September.
    17. Liang Peng & Yongcheng Qi & Ingrid Van Keilegom, 2012. "Jackknife empirical likelihood method for copulas," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(1), pages 74-92, March.
    18. Hall, Peter & Neumeyer, Natalie, 2005. "Estimating a bivariate density when there are extra data on one or both components," Technical Reports 2005,28, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    19. Harvey, A., 2008. "Dynamic distributions and changing copulas," Cambridge Working Papers in Economics 0839, Faculty of Economics, University of Cambridge.
    20. Robert M. Mnatsakanov & Hansjoerg Albrecher & Stephane Loisel, 2022. "Approximations of Copulas via Transformed Moments," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 3175-3193, December.
    21. Necula, Ciprian, 2010. "Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 93-106, September.
    22. Tamara Teplova & Mikova Evgeniia & Qaiser Munir & Nataliya Pivnitskaya, 2023. "Black-Litterman model with copula-based views in mean-CVaR portfolio optimization framework with weight constraints," Economic Change and Restructuring, Springer, vol. 56(1), pages 515-535, February.
    23. Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti, 2009. "A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality," Cahiers de recherche 0927, CIRPEE.
    24. Andrew J. Patton, 2004. "On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 130-168.
    25. Fousekis, Panos & Grigoriadis, Vasilis, 2017. "Price co-movement and the crack spread in the US futures markets," Journal of Commodity Markets, Elsevier, vol. 7(C), pages 57-71.
    26. Pedro Alberto Morettin & Clélia Maria de Castro Toloi & Chang Chiann & José Carlos Simon de Miranda, 2010. "Wavelet Smoothed Empirical Copula Estimators," Brazilian Review of Finance, Brazilian Society of Finance, vol. 8(3), pages 263-281.
    27. Mouhamadou Saliou Diallo, 2020. "Value at Risk and Market Risk: Case of the Regional Securities Exchange," Applied Economics and Finance, Redfame publishing, vol. 7(6), pages 19-35, December.
    28. Gaißer, Sandra & Ruppert, Martin & Schmid, Friedrich, 2010. "A multivariate version of Hoeffding's Phi-Square," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2571-2586, November.
    29. Ho, Anson T.Y. & Huynh, Kim P. & Jacho-Chávez, David T., 2019. "Using nonparametric copulas to measure crude oil price co-movements," Energy Economics, Elsevier, vol. 82(C), pages 211-223.
    30. Härdle, Wolfgang Karl & Okhrin, Ostap & Okhrin, Yarema, 2008. "Modeling dependencies in finance using copulae," SFB 649 Discussion Papers 2008-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    31. Dominique Guegan & Matteo Iacopini, 2018. "Nonparametric forecasting of multivariate probability density functions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01821815, HAL.
    32. Andrew J. Patton, 2006. "Estimation of multivariate models for time series of possibly different lengths," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 147-173.
    33. Chollete, Loran & Ning, Cathy, 2009. "The Dependence Structure of Macroeconomic Variables in the US," UiS Working Papers in Economics and Finance 2009/31, University of Stavanger.
    34. Boris Brodsky & Henry Penikas & Irina Safaryan, 2012. "Copula structural shift identification," HSE Working papers WP BRP 05/FE/2012, National Research University Higher School of Economics.
    35. Taamouti, Abderrahim & Bouezmarni, Taoufik & El Ghouch, Anouar, 2012. "Nonparametric estimation and inference for Granger causality measures," UC3M Working papers. Economics 14150, Universidad Carlos III de Madrid. Departamento de Economía.
    36. Harvey, Andrew, 2010. "Tracking a changing copula," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 485-500, June.
    37. Bruno Rémillard & Olivier Scaillet, 2007. "Testing For Equality Between Two Copulas," Swiss Finance Institute Research Paper Series 07-24, Swiss Finance Institute.
    38. Costanza Naguib & Patrick Gagliardini, 2023. "A Semi-nonparametric Copula Model for Earnings Mobility," Diskussionsschriften dp2302, Universitaet Bern, Departement Volkswirtschaft.
    39. Boris Brodsky & Henry Penikas & Irina Safaryan, 2009. "Detection of Structural Breaks in Copula Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 16(4), pages 3-15.
    40. Mikhail Semenov & Daulet Smagulov, 2017. "Portfolio Risk Assessment using Copula Models," Papers 1707.03516, arXiv.org.
    41. Dean Fantazzini, 2011. "Analysis of multidimensional probability distributions with copula functions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 22(2), pages 98-134.
    42. Ummul Abdul Rauf & Panlop Zeephongsekul, 2014. "Analysis of Rainfall Severity and Duration in Victoria, Australia using Non-parametric Copulas and Marginal Distributions," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 28(13), pages 4835-4856, October.
    43. Okhrin, Ostap & Okhrin, Yarema & Schmid, Wolfgang, 2013. "On the structure and estimation of hierarchical Archimedean copulas," Journal of Econometrics, Elsevier, vol. 173(2), pages 189-204.
    44. Rosenberg, Joshua V. & Schuermann, Til, 2006. "A general approach to integrated risk management with skewed, fat-tailed risks," Journal of Financial Economics, Elsevier, vol. 79(3), pages 569-614, March.
    45. Faugeras, Olivier P., 2009. "A quantile-copula approach to conditional density estimation," Journal of Multivariate Analysis, Elsevier, vol. 100(9), pages 2083-2099, October.
    46. Karl Siburg & Pavel Stoimenov, 2011. "Symmetry of functions and exchangeability of random variables," Statistical Papers, Springer, vol. 52(1), pages 1-15, February.
    47. Svetlana Gribkova & Olivier Lopez, 2015. "Non-parametric Copula Estimation Under Bivariate Censoring," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(4), pages 925-946, December.
    48. Jeffrey Racine, 2015. "Mixed data kernel copulas," Empirical Economics, Springer, vol. 48(1), pages 37-59, February.
    49. Fousekis, Panos & Grigoriadis, Vasilis, 2016. "Spatial price dependence by time scale: Empirical evidence from the international butter markets," Economic Modelling, Elsevier, vol. 54(C), pages 195-204.
    50. Ng, Wing Lon, 2006. "Overreaction and multiple tail dependence at the high-frequency level: The copula rose," SFB 649 Discussion Papers 2006-086, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    51. Qu, Leming & Yin, Wotao, 2012. "Copula density estimation by total variation penalized likelihood with linear equality constraints," Computational Statistics & Data Analysis, Elsevier, vol. 56(2), pages 384-398.
    52. Matthieu Garcin & Maxime L. D. Nicolas, 2024. "Nonparametric estimator of the tail dependence coefficient: balancing bias and variance," Statistical Papers, Springer, vol. 65(8), pages 4875-4913, October.
    53. Gery Geenens & Arthur Charpentier & Davy Paindaveine, 2014. "Probit Transformation for Nonparametric Kernel Estimation of the Copula Density," Working Papers ECARES ECARES 2014-23, ULB -- Universite Libre de Bruxelles.
    54. Hernández-Lobato, José Miguel & Suárez, Alberto, 2011. "Semiparametric bivariate Archimedean copulas," Computational Statistics & Data Analysis, Elsevier, vol. 55(6), pages 2038-2058, June.
    55. Vedenov, Dmitry & Power, Gabriel J., 2022. "We don't need no fancy hedges! Or do we?," International Review of Financial Analysis, Elsevier, vol. 81(C).
    56. Chen, Jian & Peng, Liang & Zhao, Yichuan, 2009. "Empirical likelihood based confidence intervals for copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(1), pages 137-151, January.
    57. Geman, Hélyette & Kharoubi, Cécile, 2008. "WTI crude oil Futures in portfolio diversification: The time-to-maturity effect," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2553-2559, December.
    58. Luis E. Nieto-Barajas & Ricardo Hoyos-Argüelles, 2024. "Generalised Bayesian sample copula of order m," Computational Statistics, Springer, vol. 39(4), pages 2065-2082, June.
    59. O. Chatrabgoun & G. Parham & R. Chinipardaz, 2017. "A Legendre multiwavelets approach to copula density estimation," Statistical Papers, Springer, vol. 58(3), pages 673-690, September.
    60. Diers, Dorothea & Eling, Martin & Marek, Sebastian D., 2012. "Dependence modeling in non-life insurance using the Bernstein copula," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 430-436.
    61. Chollete, Loran & Ning, Cathy, 2010. "Asymmetric Dependence in US Financial Risk Factors?," UiS Working Papers in Economics and Finance 2011/2, University of Stavanger.
    62. Dominique Guegan & Matteo Iacopini, 2018. "Nonparametric forecasting of multivariate probability density functions," Post-Print halshs-01821815, HAL.
    63. Dominique Guégan & Matteo Iacopini, 2018. "Nonparameteric forecasting of multivariate probability density functions," Documents de travail du Centre d'Economie de la Sorbonne 18012, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    64. Chollete, Loran & Ning, Cathy, 2012. "Asymmetric Dependence in the US Economy: Application to Money and the Phillips Curve," UiS Working Papers in Economics and Finance 2012/1, University of Stavanger.
    65. Patton, Andrew J., 2012. "A review of copula models for economic time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 4-18.
    66. Manner, H., 2007. "Estimation and model selection of copulas with an application to exchange rates," Research Memorandum 056, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    67. Patton, Andrew, 2013. "Copula Methods for Forecasting Multivariate Time Series," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 899-960, Elsevier.
    68. Pengfei Wei & Zhenzhou Lu & Jingwen Song, 2014. "Moment‐Independent Sensitivity Analysis Using Copula," Risk Analysis, John Wiley & Sons, vol. 34(2), pages 210-222, February.
    69. Okhrin, Ostap, 2010. "Fitting high-dimensional copulae to data," SFB 649 Discussion Papers 2010-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  16. Jean-David Fermanian & Olivier Scaillet, 2003. "Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements," Working Papers 2003-33, Center for Research in Economics and Statistics.

    Cited by:

    1. Jin Peng, 2011. "Credibilistic value and average value at risk in fuzzy risk analysis," Fuzzy Information and Engineering, Springer, vol. 3(1), pages 69-79, March.
    2. Borgonovo, Emanuele & Hazen, Gordon B. & Jose, Victor Richmond R. & Plischke, Elmar, 2021. "Probabilistic sensitivity measures as information value," European Journal of Operational Research, Elsevier, vol. 289(2), pages 595-610.
    3. So Yeon Chun & Alexander Shapiro & Stan Uryasev, 2012. "Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics," Operations Research, INFORMS, vol. 60(4), pages 739-756, August.
    4. Hatem Salah & Marwa Souissi, 2016. "Financial Stability and Macro Prudential Regulation: Policy Implication of Systemic Expected Shortfall Measure," Working Papers 985, Economic Research Forum, revised Apr 2016.
    5. J. Christopher Westland, 2015. "Economics of eBay’s buyer protection plan," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 1(1), pages 1-20, December.
    6. Scaillet, Olivier & Trojani, Fabio & Camponovo, Lorenzo, 2016. "Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Working Papers unige:84999, University of Geneva, Geneva School of Economics and Management.
    7. Christian Gourieroux & Wei Liu, 2006. "Efficient Portfolio Analysis Using Distortion Risk Measures," Working Papers 2006-17, Center for Research in Economics and Statistics.
    8. Yao, Haixiang & Huang, Jinbo & Li, Yong & Humphrey, Jacquelyn E., 2021. "A general approach to smooth and convex portfolio optimization using lower partial moments," Journal of Banking & Finance, Elsevier, vol. 129(C).
    9. Monica Billio & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix," Working Papers 2016:01, Department of Economics, University of Venice "Ca' Foscari".
    10. Deepak Jadhav & T.V. Ramanathan & U.V. Naik-Nimbalkar, 2009. "Modified Estimators of the Expected Shortfall," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(2), pages 87-107, May.
    11. Brandtner, Mario & Kürsten, Wolfgang, 2015. "Decision making with Expected Shortfall and spectral risk measures: The problem of comparative risk aversion," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 268-280.
    12. Bauer, Daniel & Zanjani, George, 2021. "Economic capital and RAROC in a dynamic model," Journal of Banking & Finance, Elsevier, vol. 125(C).
    13. Banulescu, Georgiana-Denisa & Dumitrescu, Elena-Ivona, 2015. "Which are the SIFIs? A Component Expected Shortfall approach to systemic risk," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 575-588.
    14. Ivanov Roman V., 2018. "On risk measuring in the variance-gamma model," Statistics & Risk Modeling, De Gruyter, vol. 35(1-2), pages 23-33, January.
    15. Härdle, Wolfgang Karl & Ling, Chengxiu, 2018. "How Sensitive are Tail-related Risk Measures in a Contamination Neighbourhood?," IRTG 1792 Discussion Papers 2018-010, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    16. Christian Gourieroux & Wei Liu, 2006. "Sensitivity Analysis of Distortion Risk Measures," Working Papers 2006-33, Center for Research in Economics and Statistics.
    17. Gunay, Samet & Kirimhan, Destan & Cevik, Emrah Ismail, 2024. "Commodity market downturn: Systemic risk and spillovers during left tail events," Journal of Commodity Markets, Elsevier, vol. 36(C).
    18. Wang, Chuan-Sheng & Zhao, Zhibiao, 2016. "Conditional Value-at-Risk: Semiparametric estimation and inference," Journal of Econometrics, Elsevier, vol. 195(1), pages 86-103.
    19. Kellner, Ralf & Rösch, Daniel, 2016. "Quantifying market risk with Value-at-Risk or Expected Shortfall? – Consequences for capital requirements and model risk," Journal of Economic Dynamics and Control, Elsevier, vol. 68(C), pages 45-63.

  17. Jean-David Fermanian, 2001. "Nonparametric Estimation of Competing Risks Models with Covariates," Working Papers 2001-10, Center for Research in Economics and Statistics.

    Cited by:

    1. Sokbae (Simon) Lee, 2005. "Identification of a competing risks model with unknown transformations of latent failure times," CeMMAP working papers CWP17/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Julien Worms & Rym Worms, 2018. "Extreme value statistics for censored data with heavy tails under competing risks," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 81(7), pages 849-889, October.
    3. Bordes, Laurent & Gneyou, Kossi Essona, 2011. "Uniform convergence of nonparametric regressions in competing risk models with right censoring," Statistics & Probability Letters, Elsevier, vol. 81(11), pages 1654-1663, November.

  18. Jean-David Fermanian & Bernard Salanié, 2001. "A Nonparametric Simulated Maximum Likelihood Estimation Method," Working Papers 2001-13, Center for Research in Economics and Statistics.

    Cited by:

    1. Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2010. "Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data," NBER Working Papers 15928, National Bureau of Economic Research, Inc.
    2. Jean-Jacques Forneron & Serena Ng, 2015. "The ABC of Simulation Estimation with Auxiliary Statistics," Papers 1501.01265, arXiv.org, revised Oct 2017.
    3. Erindi Allaj & Maria Elvira Mancino & Simona Sanfelici, 2025. "Identifying the number of latent factors of stochastic volatility models," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 48(1), pages 571-602, June.
    4. Creel, Michael & Kristensen, Dennis, 2011. "Indirect Likelihood Inference," Dynare Working Papers 8, CEPREMAP.
    5. Corradi, Valentina & Swanson, Norman R., 2011. "Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models," Journal of Econometrics, Elsevier, vol. 161(2), pages 304-324, April.
    6. Dennis Kristensen & Bernard Salanie, 2013. "Higher-order properties of approximate estimators," CeMMAP working papers 45/13, Institute for Fiscal Studies.
    7. Knut Heggland & Arnoldo Frigessi, 2004. "Estimating functions in indirect inference," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(2), pages 447-462, May.
    8. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "Estimating Macroeconomic Models: A Likelihood Approach," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1059-1087.
    9. John Kennes & Daniel le Maire, 2013. "Competing Auctions of Skills," CAM Working Papers 2014_01, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
    10. Dennis Kristensen, 2008. "Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data," CREATES Research Papers 2008-37, Department of Economics and Business Economics, Aarhus University.
    11. Lee, Donghoon & Song, Kyungchul, 2015. "Simulated maximum likelihood estimation for discrete choices using transformed simulated frequencies," Journal of Econometrics, Elsevier, vol. 187(1), pages 131-153.
    12. Kristensen, Dennis & Mogensen, Patrick K. & Moon, Jong Myun & Schjerning, Bertel, 2021. "Solving dynamic discrete choice models using smoothing and sieve methods," Journal of Econometrics, Elsevier, vol. 223(2), pages 328-360.
    13. Santiago Carbo-Valverde & Héctor Pérez Saiz & Hongyu Xiao, 2023. "Geographical and Cultural Proximity in Retail Banking," Staff Working Papers 23-2, Bank of Canada.
    14. Corradi, Valentina & Distaso, Walter & Mele, Antonio, 2013. "Macroeconomic determinants of stock volatility and volatility premiums," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 203-220.
    15. Gutknecht, Daniel, 2016. "Testing for monotonicity under endogeneity," Journal of Econometrics, Elsevier, vol. 190(1), pages 100-114.
    16. Cai, Lili & Swanson, Norman R., 2011. "In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 743-764, September.
    17. Corradi, Valentina & Silvapulle, Mervyn J. & Swanson, Norman R., 2018. "Testing for jumps and jump intensity path dependence," Journal of Econometrics, Elsevier, vol. 204(2), pages 248-267.
    18. Pierluigi Vallarino, 2024. "Dynamic kernel models," Tinbergen Institute Discussion Papers 24-082/III, Tinbergen Institute.
    19. Bertl Johanna & Ewing Gregory & Kosiol Carolin & Futschik Andreas, 2017. "Approximate maximum likelihood estimation for population genetic inference," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 16(5-6), pages 291-312, December.
    20. Michael Creel, 2008. "Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments," UFAE and IAE Working Papers 725.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), revised 02 Jun 2008.
    21. Rubio-Ramírez, Juan Francisco & Fernández-Villaverde, Jesús & Koijen, Ralph & van Binsbergen, Jules, 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," CEPR Discussion Papers 7781, C.E.P.R. Discussion Papers.
    22. Nickl, Richard & Pötscher, Benedikt M., 2009. "Efficient Simulation-Based Minimum Distance Estimation and Indirect Inference," MPRA Paper 16608, University Library of Munich, Germany.
    23. Bruins, Marianne & Duffy, James A. & Keane, Michael P. & Smith, Anthony A., 2018. "Generalized indirect inference for discrete choice models," Journal of Econometrics, Elsevier, vol. 205(1), pages 177-203.
    24. Dennis Kristensen & Yongseok Shin, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-58, Department of Economics and Business Economics, Aarhus University.
    25. St'ephane Bonhomme & Martin Weidner, 2018. "Minimizing Sensitivity to Model Misspecification," Papers 1807.02161, arXiv.org, revised Oct 2021.
    26. Michela M. Tincani, 2021. "Teacher labor markets, school vouchers, and student cognitive achievement: Evidence from Chile," Quantitative Economics, Econometric Society, vol. 12(1), pages 173-216, January.
    27. Gach, Florian & Pötscher, Benedikt M., 2010. "Non-Parametric Maximum Likelihood Density Estimation and Simulation-Based Minimum Distance Estimators," MPRA Paper 27512, University Library of Munich, Germany.
    28. John Kennes & Daniel le Maire, 2013. "Job Heterogeneity and Coordination Frictions," Economics Working Papers 2013-09, Department of Economics and Business Economics, Aarhus University.
    29. Carrasco, Marine & Chernov, Mikhail & Florens, Jean-Pierre & Ghysels, Eric, 2007. "Efficient estimation of general dynamic models with a continuum of moment conditions," Journal of Econometrics, Elsevier, vol. 140(2), pages 529-573, October.
    30. Dennis Kristensen & Bernard Salanié, 2010. "Higher Order Improvements for Approximate Estimators," CAM Working Papers 2010-04, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
    31. Joakim Westerlund & Per Hjertstrand, 2014. "Indirect Estimation of Semiparametric Binary Choice Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(2), pages 298-314, April.
    32. Michael Creel & Dennis Kristensen, 2013. "Indirect Likelihood Inference (revised)," UFAE and IAE Working Papers 931.13, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    33. Jean-Jacques Forneron, 2019. "A Sieve-SMM Estimator for Dynamic Models," Papers 1902.01456, arXiv.org, revised Jan 2023.
    34. Kerem Tuzcuoglu, 2019. "Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects," Staff Working Papers 19-16, Bank of Canada.
    35. Daniel Gutknecht, 2013. "Testing for Monotonicity under Endogeneity An Application to the Reservation Wage Function," Economics Series Working Papers 673, University of Oxford, Department of Economics.

Articles

  1. Pierre Alquier & Badr-Eddine Chérief-Abdellatif & Alexis Derumigny & Jean-David Fermanian, 2023. "Estimation of Copulas via Maximum Mean Discrepancy," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 118(543), pages 1997-2012, July.

    Cited by:

    1. Bonacina Francesco & Lopez Olivier & Thomas Maud, 2025. "Tree-based conditional copula estimation," Dependence Modeling, De Gruyter, vol. 13(1), pages 1-25.

  2. Benjamin Poignard & Jean-David Fermanian, 2021. "High-dimensional penalized arch processes," Econometric Reviews, Taylor & Francis Journals, vol. 40(1), pages 86-107, January.

    Cited by:

    1. Benjamin Poignard & Manabu Asai, 2023. "High‐dimensional sparse multivariate stochastic volatility models," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 4-22, January.
    2. ALAMI CHENTOUFI, Reda, 2024. "Penalized Convex Estimation in Dynamic Location-Scale models," MPRA Paper 123283, University Library of Munich, Germany.

  3. Derumigny, Alexis & Fermanian, Jean-David, 2020. "On Kendall’s regression," Journal of Multivariate Analysis, Elsevier, vol. 178(C).

    Cited by:

    1. Rutger van der Spek & Alexis Derumigny, 2022. "Fast estimation of Kendall's Tau and conditional Kendall's Tau matrices under structural assumptions," Papers 2204.03285, arXiv.org, revised Dec 2024.

  4. Jean-David Fermanian, 2020. "On the Dependence between Default Risk and Recovery Rates in Structural Models," Annals of Economics and Statistics, GENES, issue 140, pages 45-82.

    Cited by:

    1. Lionel Sopgoui, 2024. "Impact of Climate transition on Credit portfolio's loss with stochastic collateral," Papers 2408.13266, arXiv.org, revised May 2025.

  5. Derumigny, Alexis & Fermanian, Jean-David, 2019. "A classification point-of-view about conditional Kendall’s tau," Computational Statistics & Data Analysis, Elsevier, vol. 135(C), pages 70-94.

    Cited by:

    1. Derumigny, Alexis & Fermanian, Jean-David, 2020. "On Kendall’s regression," Journal of Multivariate Analysis, Elsevier, vol. 178(C).
    2. Adrian Tantau & András Puskás-Tompos & Costel Stanciu & Laurentiu Fratila & Catalin Curmei, 2021. "Key Factors Which Contribute to the Participation of Consumers in Demand Response Programs and Enable the Proliferation of Renewable Energy Sources," Energies, MDPI, vol. 14(24), pages 1-22, December.
    3. Derumigny Alexis & Fermanian Jean-David, 2019. "On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior," Dependence Modeling, De Gruyter, vol. 7(1), pages 292-321, January.

  6. Poignard, Benjamin & Fermanian, Jean-David, 2019. "Dynamic Asset Correlations Based On Vines," Econometric Theory, Cambridge University Press, vol. 35(1), pages 167-197, February.
    See citations under working paper version above.
  7. Fermanian, Jean-David & Lopez, Olivier, 2018. "Single-index copulas," Journal of Multivariate Analysis, Elsevier, vol. 165(C), pages 27-55.
    See citations under working paper version above.
  8. Jean-David Fermanian, 2017. "Recent Developments in Copula Models," Econometrics, MDPI, vol. 5(3), pages 1-3, July.

    Cited by:

    1. David E. Allen & Michael McAleer & Abhay K. Singh, 2017. "Risk Measurement and Risk Modelling Using Applications of Vine Copulas," Sustainability, MDPI, vol. 9(10), pages 1-34, September.
    2. Woraphon Yamaka & Rangan Gupta & Sukrit Thongkairat & Paravee Maneejuk, 2023. "Structural and predictive analyses with a mixed copula‐based vector autoregression model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 223-239, March.
    3. Mianmian Zhang & Bing Zhu & Ziyuan Li & Siyuan Jin & Yong Xia, 2024. "Relationships among return and liquidity of cryptocurrencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-30, December.
    4. Liu, Yue & Sun, Huaping & Zhang, Jijian & Taghizadeh-Hesary, Farhad, 2020. "Detection of volatility regime-switching for crude oil price modeling and forecasting," Resources Policy, Elsevier, vol. 69(C).

  9. Fermanian, Jean-David & Malongo, Hassan, 2017. "On The Stationarity Of Dynamic Conditional Correlation Models," Econometric Theory, Cambridge University Press, vol. 33(3), pages 636-663, June.
    See citations under working paper version above.
  10. Derumigny Alexis & Fermanian Jean-David, 2017. "About tests of the “simplifying” assumption for conditional copulas," Dependence Modeling, De Gruyter, vol. 5(1), pages 154-197, August.
    See citations under working paper version above.
  11. Fermanian, Jean-David, 2014. "The limits of granularity adjustments," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 9-25.
    See citations under working paper version above.
  12. Jean-David Fermanian, 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, Springer, vol. 46(3), pages 480-515, April.

    Cited by:

    1. Lautier, Jackson P. & Pozdnyakov, Vladimir & Yan, Jun, 2023. "Pricing time-to-event contingent cash flows: A discrete-time survival analysis approach," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 53-71.
    2. Qiming Zhang & Linda Yin-nor Tjia & Biyue Wang & Aksel Ersoy, 2021. "Sustainable Construction and Financing—Asset-Backed Securitization of Expressway’s Usufruct with Redeemable Rights," Sustainability, MDPI, vol. 13(16), pages 1-17, August.
    3. Liu, Fengming & Song, Yingda, 2025. "Analysis of credit ABS based on Markov chain approaches," Finance Research Letters, Elsevier, vol. 71(C).

  13. Fermanian, Jean-David & Wegkamp, Marten H., 2012. "Time-dependent copulas," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 19-29.

    Cited by:

    1. Mensah, Jones Odei & Alagidede, Paul, 2017. "How are Africa's emerging stock markets related to advanced markets? Evidence from copulas," Economic Modelling, Elsevier, vol. 60(C), pages 1-10.
    2. Fermanian, Jean-David & Lopez, Olivier, 2018. "Single-index copulas," Journal of Multivariate Analysis, Elsevier, vol. 165(C), pages 27-55.
    3. Jean-David Fermanian, 2012. "An overview of the goodness-of-fit test problem for copulas," Papers 1211.4416, arXiv.org.
    4. Rutger van der Spek & Alexis Derumigny, 2022. "Fast estimation of Kendall's Tau and conditional Kendall's Tau matrices under structural assumptions," Papers 2204.03285, arXiv.org, revised Dec 2024.
    5. Jean-David Fermanian & Dragan Radulovic & Marten Wegkamp, 2013. "A Asymptotic Total Variation Test for Copulas," Working Papers 2013-25, Center for Research in Economics and Statistics.
    6. Marra, Giampiero & Radice, Rosalba, 2017. "Bivariate copula additive models for location, scale and shape," Computational Statistics & Data Analysis, Elsevier, vol. 112(C), pages 99-113.
    7. Fabrizio Durante & Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2022. "A Multivariate Dependence Analysis for Electricity Prices, Demand and Renewable Energy Sources," Papers 2201.01132, arXiv.org.
    8. Alexis Derumigny & Jean-David Fermanian, 2017. "About tests of the “simplifying” assumption for conditional copulas," Working Papers 2017-02, Center for Research in Economics and Statistics.
    9. Zongwu Cai & Guannan Liu & Wei Long & Xuelong Luo, 2024. "Semiparametric Conditional Mixture Copula Models with Copula Selection," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202401, University of Kansas, Department of Economics, revised Jan 2024.
    10. Vatter, Thibault & Chavez-Demoulin, Valérie, 2015. "Generalized additive models for conditional dependence structures," Journal of Multivariate Analysis, Elsevier, vol. 141(C), pages 147-167.
    11. Fang, Y. & Madsen, L., 2013. "Modified Gaussian pseudo-copula: Applications in insurance and finance," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 292-301.
    12. Zhang, Hanyu & Zandehshahvar, Reza & Tanneau, Mathieu & Van Hentenryck, Pascal, 2025. "Weather-informed probabilistic forecasting and scenario generation in power systems," Applied Energy, Elsevier, vol. 384(C).
    13. Rémillard, Bruno & Papageorgiou, Nicolas & Soustra, Frédéric, 2012. "Copula-based semiparametric models for multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 30-42.
    14. Alexis Derumigny & Jean-David Fermanian, 2018. "About Kendall's regression," Working Papers 2018-01, Center for Research in Economics and Statistics.
    15. Derumigny Alexis & Fermanian Jean-David, 2019. "On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior," Dependence Modeling, De Gruyter, vol. 7(1), pages 292-321, January.
    16. Jorge Navarro & Camilla Calì & Maria Longobardi & Fabrizio Durante, 2022. "Distortion representations of multivariate distributions," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(4), pages 925-954, October.
    17. Pircalabu, A. & Hvolby, T. & Jung, J. & Høg, E., 2017. "Joint price and volumetric risk in wind power trading: A copula approach," Energy Economics, Elsevier, vol. 62(C), pages 139-154.
    18. Derumigny, Alexis & Fermanian, Jean-David, 2019. "A classification point-of-view about conditional Kendall’s tau," Computational Statistics & Data Analysis, Elsevier, vol. 135(C), pages 70-94.
    19. Daniela Castro Camilo & Miguel de Carvalho & Jennifer Wadsworth, 2017. "Time-Varying Extreme Value Dependence with Application to Leading European Stock Markets," Papers 1709.01198, arXiv.org.
    20. Patton, Andrew J., 2012. "A review of copula models for economic time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 4-18.
    21. Spanhel, Fabian & Kurz, Malte S., 2016. "The partial copula: Properties and associated dependence measures," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 76-83.

  14. Paul Doukhan & Jean-David Fermanian & Gabriel Lang, 2009. "An empirical central limit theorem with applications to copulas under weak dependence," Statistical Inference for Stochastic Processes, Springer, vol. 12(1), pages 65-87, February.

    Cited by:

    1. Bücher, Axel & Ruppert, Martin, 2013. "Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 208-229.
    2. Morettin Pedro A. & Toloi Clelia M.C. & Chiann Chang & de Miranda José C.S., 2011. "Wavelet Estimation of Copulas for Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 3(3), pages 1-31, October.
    3. Gaißer, Sandra & Ruppert, Martin & Schmid, Friedrich, 2010. "A multivariate version of Hoeffding's Phi-Square," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2571-2586, November.
    4. Berghaus, Betina & Bücher, Axel, 2014. "Nonparametric tests for tail monotonicity," Journal of Econometrics, Elsevier, vol. 180(2), pages 117-126.
    5. Bücher, Axel & Volgushev, Stanislav, 2013. "Empirical and sequential empirical copula processes under serial dependence," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 61-70.
    6. Fermanian, Jean-David & Wegkamp, Marten H., 2012. "Time-dependent copulas," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 19-29.
    7. Axel Bücher, 2015. "A Note on Weak Convergence of the Sequential Multivariate Empirical Process Under Strong Mixing," Journal of Theoretical Probability, Springer, vol. 28(3), pages 1028-1037, September.
    8. Bucher, Axel, 2013. "A note on weak convergence of the sequential multivariate empirical process under strong mixing," LIDAM Discussion Papers ISBA 2013028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    9. Rémillard, Bruno & Papageorgiou, Nicolas & Soustra, Frédéric, 2012. "Copula-based semiparametric models for multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 30-42.
    10. Dobric Jadran & Frahm Gabriel & Schmid Friedrich, 2013. "Dependence of Stock Returns in Bull and Bear Markets," Dependence Modeling, De Gruyter, vol. 1(2013), pages 94-110, December.
    11. Martial Longla, 2024. "New copula families and mixing properties," Statistical Papers, Springer, vol. 65(7), pages 4331-4363, September.
    12. Seo, Juwon, 2018. "Tests of stochastic monotonicity with improved power," Journal of Econometrics, Elsevier, vol. 207(1), pages 53-70.

  15. Fermanian, Jean-David & Scaillet, Olivier, 2005. "Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 927-958, April.
    See citations under working paper version above.
  16. Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 119-152, July.
    See citations under working paper version above.
  17. Fermanian, Jean-David & Salanié, Bernard, 2004. "A Nonparametric Simulated Maximum Likelihood Estimation Method," Econometric Theory, Cambridge University Press, vol. 20(4), pages 701-734, August.
    See citations under working paper version above.
  18. Fermanian, Jean-David, 2003. "Nonparametric estimation of competing risks models with covariates," Journal of Multivariate Analysis, Elsevier, vol. 85(1), pages 156-191, April.
    See citations under working paper version above.
  19. Jean-David Fermanian & Sylvie Lagarde, 1999. "Les horaires de travail dans le couple," Économie et Statistique, Programme National Persée, vol. 321(1), pages 89-110.

    Cited by:

    1. Mark L. Bryan & Almudena Sevilla, 2017. "Flexible working in the UK and its impact on couples’ time coordination," Review of Economics of the Household, Springer, vol. 15(4), pages 1415-1437, December.
    2. C. Barnet-Verzat & A. Pailhé & A. Solaz, 2011. "Spending time together: the impact of children on couples’ leisure synchronization," Review of Economics of the Household, Springer, vol. 9(4), pages 465-486, December.
    3. Elena Stancanelli, 2006. "Les couples sur le marché de l'emploi," Post-Print hal-03389366, HAL.
    4. Olivier Bontout, 2000. "L'Earned Income Tax Credit, un crédit d'impôt ciblé sur les foyers de salariés modestes aux États-Unis," Économie et Statistique, Programme National Persée, vol. 335(1), pages 27-46.
    5. Muriel Letrait, 2002. "L'utilisation par les chômeurs du temps libéré par l'absence d'emploi," Économie et Statistique, Programme National Persée, vol. 352(1), pages 101-125.
    6. Laurent Lesnard & Thibaut de Saint Pol, 2008. "Organisation du travail dans la semaine des individus et des couples actifs : le poids des déterminants économiques et sociaux," Économie et Statistique, Programme National Persée, vol. 414(1), pages 53-74.
    7. Dominique Rouault, 2001. "Les revenus des indépendants et dirigeants : la valorisation du bagage personnel," Économie et Statistique, Programme National Persée, vol. 348(1), pages 35-59.
    8. Elena Stancanelli, 2006. "Les couples sur le marché de l'emploi," SciencePo Working papers Main hal-03389366, HAL.
    9. Elena Stancanelli, 2007. "Marriage and Work: an analysis for French couples in the last decade," Documents de Travail de l'OFCE 2007-10, Observatoire Francais des Conjonctures Economiques (OFCE).
    10. DUGUET Emmanuel & SIMONNET Veronique, 2004. "The participation of couples in the labor market: an econometric analysis," Labor and Demography 0411005, University Library of Munich, Germany.
    11. Karine Briard, 2020. "L’élasticité de l’offre de travail des femmes en France. Petite revue de méthodes et de résultats," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(5), pages 39-72.

  20. Pierre Boisard & Jean-David Fermanian, 1999. "Les rythmes de travail hors norme," Économie et Statistique, Programme National Persée, vol. 321(1), pages 111-131.

    Cited by:

    1. Lionel Prouteau & François-Charles Wolff, 2002. "La participation associative au regard des temps sociaux," Économie et Statistique, Programme National Persée, vol. 352(1), pages 57-80.
    2. Pierre Béret, 2000. "Les transformations de l'espace qualification des chercheurs des entreprises," Working Papers halshs-00005807, HAL.
    3. Olivia Sautory & Sandra Zilloniz, 2015. "De l'organisation des journées à l'organisation de la semaine : des rythmes de travail socialement différenciés," Économie et Statistique, Programme National Persée, vol. 478(1), pages 155-188.
    4. Jeanne Fagnani & Marie-Thérèse Letablier, 2004. "Work and Family Life Balance," Work, Employment & Society, British Sociological Association, vol. 18(3), pages 551-572, September.
    5. Jacques Bouteiller, 2001. "Durée du travail et déclin. De la norme du temps de travail : le sens de la mesure," Working Papers halshs-03732517, HAL.
    6. Marie Cottrell & Patrick Letremy & Simon Macaire & Christèle Meilland & François Michon, 2002. "Le temps de travail des formes particulières d'emploi," Économie et Statistique, Programme National Persée, vol. 352(1), pages 169-189.
    7. Cédric Afsa & Pierre Biscourp, 2004. "L'évolution des rythmes de travail entre 1995 et 2001 : quel impact des 35 heures ?," Économie et Statistique, Programme National Persée, vol. 376(1), pages 173-198.

  21. Fermanian, Jean-David, 1997. "Multivariate Hazard Rates under Random Censorship," Journal of Multivariate Analysis, Elsevier, vol. 62(2), pages 273-309, August.

    Cited by:

    1. Tian Dai & Ying Guo & Limin Peng & Amita K. Manatunga, 2018. "A local agreement pattern measure based on hazard functions for survival outcomes," Biometrics, The International Biometric Society, vol. 74(1), pages 86-99, March.

  22. Jean-David Fermanian & Olivier Scaillet, . "Nonparametric estimation of copulas for time series," Journal of Risk, Journal of Risk.
    See citations under working paper version above.

Books

    Sorry, no citations of books recorded.
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