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Jean-David Fermanian

Personal Details

First Name:Jean-David
Middle Name:
Last Name:Fermanian
Suffix:
RePEc Short-ID:pfe659
[This author has chosen not to make the email address public]
https://sites.google.com/view/jdfermanian/

Affiliation

Centre de Recherche en Économie et Statistique (CREST)

Palaiseau, France
http://crest.science/
RePEc:edi:crestfr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Books

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.
  2. Adil Rengim Cetingoz & Jean-David Fermanian & Olivier Guéant, 2022. "Stochastic Algorithms for Advanced Risk Budgeting," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03857964, HAL.
  3. Jean-David Fermanian & Dominique Guegan, 2021. "Fair learning with bagging," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500906, HAL.
  4. Benjamin Poignard & Jean-David Fermanian, 2019. "The finite sample properties of Sparse M-estimators with Pseudo-Observations," Working Papers 2019-01, Center for Research in Economics and Statistics.
  5. Alexis Derumigny & Jean-David Fermanian, 2018. "About Kendall's regression," Working Papers 2018-01, Center for Research in Economics and Statistics.
  6. 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.
  7. Jean-David Fermanian & Clément Florentin, 2016. "Multi-factor Granularity Adjustments for Market and Counterparty Risks," Working Papers 2016-35, Center for Research in Economics and Statistics.
  8. Benjamin Poignard & Jean-David Fermanian, 2016. "Vine-GARCH process: Stationarity and Asymptotic Properties," Working Papers 2016-03, Center for Research in Economics and Statistics.
  9. 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.
  10. 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.
  11. Jean-David Fermanian & Olivier Lopez, 2015. "Single-index copulae," Working Papers 2015-12, Center for Research in Economics and Statistics.
  12. Benjamin Poignard & Jean-Davis Fermanian, 2014. "Dynamic Asset Correlations Based on Vines," Working Papers 2014-46, Center for Research in Economics and Statistics.
  13. Jean-David Fermanian & Hassan Malongo, 2014. "On the stationarity of Dynamic Conditional Correlation models," Papers 1405.6905, arXiv.org, revised Mar 2016.
  14. Jean-David Fermanian, 2013. "The Limits of Granularity Adjustments," Working Papers 2013-27, Center for Research in Economics and Statistics.
  15. 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.
  16. Jean-David Fermanian & Olivier Vigneron, 2012. "On break-even correlation: the way to price structured credit derivatives by replication," Papers 1204.2251, arXiv.org.
  17. Marie Brière & Jean-David Fermanian & Hassan Malongo & Ombretta Signori, 2012. "Volatility Strategies for Global and Country Specific European Investors," Post-Print hal-01494509, HAL.
  18. Jean-David Fermanian, 2012. "An overview of the goodness-of-fit test problem for copulas," Papers 1211.4416, arXiv.org.
  19. Jean-Paul Laurent & Areski Cousin & Jean-David Fermanian, 2011. "Hedging default risks of CDOs in Markovian contagion models," Post-Print hal-03676198, HAL.
  20. 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.
  21. 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.
  22. Romuald Elie & Jean-David Fermanian & Nizar Touzi, 2004. "Optimal Greek Weight by Kernel Estimation," Working Papers 2004-26, Center for Research in Economics and Statistics.
  23. Jean-David Fermanian, 2003. "Goodness of Fit Tests for Copulas," Working Papers 2003-34, Center for Research in Economics and Statistics.
  24. 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.
  25. 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.
  26. Jean-David FERMANIAN & Olivier SCAILLET, 2003. "Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements," FAME Research Paper Series rp89, International Center for Financial Asset Management and Engineering.
  27. Jean-David Fermanian & Dragan Radulovic & Marten Wegkamp, 2002. "Weak Convergence of Empirical Copula Processes," Working Papers 2002-06, Center for Research in Economics and Statistics.
  28. Jean-David Fermanian, 2001. "Nonparametric Estimation of Competing Risks Models with Covariates," Working Papers 2001-10, Center for Research in Economics and Statistics.
  29. Jean-David Fermanian & Bernard Salanié, 2001. "A Nonparametric Simulated Maximum Likelihood Estimation Method," Working Papers 2001-13, Center for Research in Economics and Statistics.
  30. Jean-David Fermanian, 2000. "Lower Bounds in Hazard Estimation," Working Papers 2000-09, Center for Research in Economics and Statistics.

Articles

  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. Brück, Florian & Fermanian, Jean-David & Min, Aleksey, 2023. "A corrected Clarke test for model selection and beyond," Journal of Econometrics, Elsevier, vol. 235(1), pages 105-132.
  3. 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.
  4. 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.
  5. Benjamin Poignard & Jean-David Fermanian, 2021. "High-dimensional penalized arch processes," Econometric Reviews, Taylor & Francis Journals, vol. 40(1), pages 86-107, January.
  6. Derumigny, Alexis & Fermanian, Jean-David, 2020. "On Kendall’s regression," Journal of Multivariate Analysis, Elsevier, vol. 178(C).
  7. 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.
  8. 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.
  9. 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.
  10. Poignard, Benjamin & Fermanian, Jean-David, 2019. "Dynamic Asset Correlations Based On Vines," Econometric Theory, Cambridge University Press, vol. 35(1), pages 167-197, February.
  11. Fermanian, Jean-David & Lopez, Olivier, 2018. "Single-index copulas," Journal of Multivariate Analysis, Elsevier, vol. 165(C), pages 27-55.
  12. Jean-David Fermanian & Hassan Malongo, 2018. "On the Link between Volatilities, Regime Switching Probabilities and Correlation Dynamics," Annals of Economics and Statistics, GENES, issue 131, pages 1-24.
  13. Jean-David Fermanian, 2017. "Recent Developments in Copula Models," Econometrics, MDPI, vol. 5(3), pages 1-3, July.
  14. 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.
  15. 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.
  16. Jean-David Fermanian & Olivier Vigneron, 2015. "On break-even correlation: the way to price structured credit derivatives by replication," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 829-840, May.
  17. Fermanian, Jean-David, 2014. "The limits of granularity adjustments," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 9-25.
  18. 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.
  19. Fermanian, Jean-David & Wegkamp, Marten H., 2012. "Time-dependent copulas," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 19-29.
  20. 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.
  21. 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.
  22. Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 119-152, July.
  23. 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.
  24. Fermanian, Jean-David, 2003. "Nonparametric estimation of competing risks models with covariates," Journal of Multivariate Analysis, Elsevier, vol. 85(1), pages 156-191, April.
  25. 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.
  26. Jean-David Fermanian & Bénédicte Galtier & Sylvie Lagarde, 1999. "Réduction collective et individuelle du temps de travail : que souhaitent les salariés ?," Économie et Statistique, Programme National Persée, vol. 321(1), pages 161-185.
  27. Pierre Boisard & Jean-David Fermanian, 1999. "Les rythmes de travail hors norme," Économie et Statistique, Programme National Persée, vol. 321(1), pages 111-131.
  28. Fermanian, Jean-David, 1997. "Multivariate Hazard Rates under Random Censorship," Journal of Multivariate Analysis, Elsevier, vol. 62(2), pages 273-309, August.
  29. Jean-David Fermanian & Olivier Scaillet, . "Nonparametric estimation of copulas for time series," Journal of Risk, Journal of Risk.
  30. Jean-David Fermanian & Clément Florentin, . "Multifactor granularity adjustments for market and counterparty risks," Journal of Risk, Journal of Risk.

Books

  1. Malongo, Hassan, 2014. "Couverture du risque de volatilité et de corrélation dans un portefeuille," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/14035 edited by Fermanian, Jean-David.

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Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 12 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (8) 2004-06-13 2004-06-13 2012-12-06 2014-06-02 2018-01-22 2018-08-13 2019-04-01 2022-01-10. Author is listed
  2. NEP-BIG: Big Data (3) 2022-01-10 2022-01-31 2022-02-21
  3. NEP-CMP: Computational Economics (1) 2022-01-10
  4. NEP-ETS: Econometric Time Series (1) 2014-06-02
  5. NEP-MST: Market Microstructure (1) 2015-12-01
  6. NEP-RMG: Risk Management (1) 2022-12-19

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