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Jean-David Fermanian
Jean-David Fermanian
Professeur of Finance and Statistics, Ensae-Crest
Verified email at ensae.fr
Title
Cited by
Cited by
Year
Weak convergence of empirical copula processes
JD Fermanian, D Radulovic, M Wegkamp
Bernoulli 10 (5), 847-860, 2004
5352004
Goodness-of-fit tests for copulas
JD Fermanian
Journal of multivariate analysis 95 (1), 119-152, 2005
5032005
Nonparametric estimation of copulas for time series
O Scaillet, JD Fermanian
FAME Research paper, 2002
3312002
The estimation of copulas: Theory and practice
A Charpentier, JD Fermanian, O Scaillet
Copulas: From theory to application in finance 35, 2007
2392007
Some statistical pitfalls in copula modeling for financial applications
JD Fermanian, O Scaillet
Capital formation, governance and banking, 57-72, 2005
1342005
Time-dependent copulas
JD Fermanian, MH Wegkamp
Journal of Multivariate Analysis 110, 19-29, 2012
133*2012
Hedging default risks of CDOs in Markovian contagion models
JP Laurent, A Cousin, JD Fermanian
Quantitative Finance 11 (12), 1773-1791, 2011
922011
Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements
JD Fermanian, O Scaillet
Journal of Banking & Finance 29 (4), 927-958, 2005
752005
A nonparametric simulated maximum likelihood estimation method
JD Fermanian, B Salanie
Econometric Theory 20 (4), 701-734, 2004
752004
Les horaires de travail dans le couple
JD Fermanian, S Lagarde
Economie et statistique 321 (1), 89-110, 1999
681999
An overview of the goodness-of-fit test problem for copulas
JD Fermanian
Copulae in Mathematical and Quantitative Finance: Proceedings of the …, 2013
562013
About tests of the “simplifying” assumption for conditional copulas
A Derumigny, JD Fermanian
Dependence Modeling 5 (1), 154-197, 2017
482017
An empirical central limit theorem with applications to copulas under weak dependence
P Doukhan, JD Fermanian, G Lang
Statistical Inference for Stochastic Processes 12, 65-87, 2009
48*2009
Le temps de travail des cadres
JD Fermanian
Insee Première, 1999
461999
Les rythmes de travail hors norme
P Boisard, JD Fermanian
Économie et statistique 321 (1), 111-131, 1999
401999
Single-index copulas
JD Fermanian, O Lopez
Journal of Multivariate Analysis 165, 27-55, 2018
392018
Dynamic frailties and credit portfolio modelling: The authors estimate and discuss a reduced-from credit portfolio model in a proportional hazard framework
M Delloye, J Fermanian, M Sbai
RISK-LONDON-RISK MAGAZINE LIMITED- 19 (10), 100, 2006
32*2006
Nonparametric estimation of competing risks models with covariates
JD Fermanian
Journal of Multivariate Analysis 85 (1), 156-191, 2003
312003
Combining Cumulative Sum Change‐Point Detection Tests for Assessing the Stationarity of Univariate Time Series
A Bücher, JD Fermanian, I Kojadinovic
Journal of Time Series Analysis 40 (1), 124-150, 2019
282019
The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms
JD Fermanian, O Guéant, J Pu
Market microstructure and liquidity 2 (03n04), 1750004, 2016
242016
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