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
4422004
Goodness-of-fit tests for copulas
JD Fermanian
Journal of multivariate analysis 95 (1), 119-152, 2005
4362005
Nonparametric estimation of copulas for time series
O Scaillet, JD Fermanian
FAME Research paper, 2002
2762002
The estimation of copulas: Theory and practice
A Charpentier, JD Fermanian, O Scaillet
Copulas: From theory to application in finance, 35-64, 2007
1542007
Some statistical pitfalls in copula modeling for financial applications
JD Fermanian, O Scaillet
FAME Working Paper, 2004
1152004
Time-dependent copulas
JD Fermanian, MH Wegkamp
Journal of Multivariate Analysis 110, 19-29, 2012
105*2012
Hedging default risks of CDOs in Markovian contagion models
JP Laurent, A Cousin, JD Fermanian
Quantitative Finance 11 (12), 1773-1791, 2011
872011
A nonparametric simulated maximum likelihood estimation method
JD Fermanian, B Salanie
Econometric Theory, 701-734, 2004
692004
Les horaires de travail dans le couple
JD Fermanian, S Lagarde
Insee, 1999
661999
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
622005
An empirical central limit theorem with applications to copulas under weak dependence
P Doukhan, JD Fermanian, G Lang
Statistical Inference for Stochastic Processes 12 (1), 65-87, 2009
45*2009
An overview of the goodness-of-fit test problem for copulas
JD Fermanian
Copulae in Mathematical and Quantitative Finance, 61-89, 2013
432013
Le temps de travail des cadres
JD Fermanian
Insee, 1999
431999
Single-index copulas
JD Fermanian, O Lopez
Journal of Multivariate Analysis 165, 27-55, 2018
292018
Les rythmes de travail hors norme
P Boisard, JD Fermanian
Insee, 1999
291999
Nonparametric estimation of competing risks models with covariates
JD Fermanian
Journal of Multivariate Analysis 85 (1), 156-191, 2003
272003
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
26*2006
About tests of the “simplifying” assumption for conditional copulas
A Derumigny, JD Fermanian
Dependence Modeling 5 (1), 154-197, 2017
222017
Kernel estimation of Greek weights by parameter randomization
R Elie, JD Fermanian, N Touzi
The Annals of Applied Probability 17 (4), 1399-1423, 2007
182007
Multivariate hazard rates under random censorship
JD Fermanian
journal of multivariate analysis 62 (2), 273-309, 1997
151997
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