Jean-David Fermanian

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Person:443764

Available identifiers

zbMath Open fermanian.jean-davidMaRDI QIDQ443764

List of research outcomes





PublicationDate of PublicationType
Risk budgeting portfolios: existence and computation2024-11-20Paper
Sparse M-estimators in semi-parametric copula models2024-07-02Paper
Testing for equality between conditional copulas given discretized conditioning events2024-01-22Paper
Estimation of Copulas via Maximum Mean Discrepancy2023-10-18Paper
A corrected Clarke test for model selection and beyond2023-06-09Paper
Conditional empirical copula processes and generalized measures of association2022-12-19Paper
Identifiability and estimation of meta-elliptical copula generators2022-07-01Paper
Identifiability and estimation of meta-elliptical copula generators2022-05-23Paper
High-dimensional penalized arch processes2022-03-04Paper
The finite sample properties of sparse M-estimators with pseudo-observations2022-02-14Paper
Sparse M-estimators in semi-parametric copula models2021-12-22Paper
Testing for equality between conditional copulas given discretized conditioning events2020-08-21Paper
Conditional empirical copula processes and generalized dependence measures2020-08-21Paper
On Kendall's regression2020-05-19Paper
On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior2020-05-12Paper
A classification point-of-view about conditional Kendall's tau2019-03-29Paper
DYNAMIC ASSET CORRELATIONS BASED ON VINES2019-03-27Paper
Combining Cumulative Sum Change‐Point Detection Tests for Assessing the Stationarity of Univariate Time Series2019-03-05Paper
On break-even correlation: the way to price structured credit derivatives by replication2018-09-19Paper
A classification point-of-view about conditional Kendall's tau2018-06-23Paper
Single-index copulas2018-04-12Paper
About tests of the ``simplifying assumption for conditional copulas2018-02-15Paper
ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS2017-08-22Paper
Asymptotic total variation tests for copulas2015-08-05Paper
Hedging default risks of CDOs in Markovian contagion models2013-12-13Paper
An Overview of the Goodness-of-Fit Test Problem for Copulas2013-09-20Paper
Time-dependent copulas2012-08-13Paper
An empirical central limit theorem with applications to copulas under weak dependence2011-02-15Paper
Kernel estimation of Greek weights by parameter randomization2008-01-28Paper
A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD2006-01-17Paper
Goodness-of-fit tests for copulas2005-06-30Paper
Weak convergence of empirical copula processes2005-03-30Paper
Nonparametric estimation of competing risks models with covariates2003-06-09Paper
Lower bounds on bandwidth selection in hazard estimation2002-04-07Paper
A new bandwidth selector in hazard estimation2000-10-19Paper
Multivariate hazard rates under random censorship1999-04-08Paper

Research outcomes over time

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