Jean-David Fermanian

Available identifiers

zbMath Open fermanian.jean-davidMaRDI QIDQ443764

List of research outcomes

Publication	Date of Publication	Type
Risk budgeting portfolios: existence and computation	2024-11-20	Paper
Sparse M-estimators in semi-parametric copula models	2024-07-02	Paper
Testing for equality between conditional copulas given discretized conditioning events	2024-01-22	Paper
Estimation of Copulas via Maximum Mean Discrepancy	2023-10-18	Paper
A corrected Clarke test for model selection and beyond	2023-06-09	Paper
Conditional empirical copula processes and generalized measures of association	2022-12-19	Paper
Identifiability and estimation of meta-elliptical copula generators	2022-07-01	Paper
Identifiability and estimation of meta-elliptical copula generators	2022-05-23	Paper
High-dimensional penalized arch processes	2022-03-04	Paper
The finite sample properties of sparse M-estimators with pseudo-observations	2022-02-14	Paper
Sparse M-estimators in semi-parametric copula models	2021-12-22	Paper
Testing for equality between conditional copulas given discretized conditioning events	2020-08-21	Paper
Conditional empirical copula processes and generalized dependence measures	2020-08-21	Paper
On Kendall's regression	2020-05-19	Paper
On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior	2020-05-12	Paper
A classification point-of-view about conditional Kendall's tau	2019-03-29	Paper
DYNAMIC ASSET CORRELATIONS BASED ON VINES	2019-03-27	Paper
Combining Cumulative Sum Change‐Point Detection Tests for Assessing the Stationarity of Univariate Time Series	2019-03-05	Paper
On break-even correlation: the way to price structured credit derivatives by replication	2018-09-19	Paper
A classification point-of-view about conditional Kendall's tau	2018-06-23	Paper
Single-index copulas	2018-04-12	Paper
About tests of the ``simplifying assumption for conditional copulas	2018-02-15	Paper
ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS	2017-08-22	Paper
Asymptotic total variation tests for copulas	2015-08-05	Paper
Hedging default risks of CDOs in Markovian contagion models	2013-12-13	Paper
An Overview of the Goodness-of-Fit Test Problem for Copulas	2013-09-20	Paper
Time-dependent copulas	2012-08-13	Paper
An empirical central limit theorem with applications to copulas under weak dependence	2011-02-15	Paper
Kernel estimation of Greek weights by parameter randomization	2008-01-28	Paper
A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD	2006-01-17	Paper
Goodness-of-fit tests for copulas	2005-06-30	Paper
Weak convergence of empirical copula processes	2005-03-30	Paper
Nonparametric estimation of competing risks models with covariates	2003-06-09	Paper
Lower bounds on bandwidth selection in hazard estimation	2002-04-07	Paper
A new bandwidth selector in hazard estimation	2000-10-19	Paper
Multivariate hazard rates under random censorship	1999-04-08	Paper

Research outcomes over time

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