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2021
The finite sample properties of sparse m-estimators with pseudo-observations
Annals of the institute of statistical mathematics, vol. None, iss. None, p. -, 2021.
By B. Poignard and J. D. Fermanian@ARTICLE{Poignard2021ThePseudo-Observations, author={Benjamin Poignard and Jean David Fermanian}, title={The finite sample properties of sparse M-estimators with pseudo-observations}, journal={Annals of the Institute of Statistical Mathematics}, year={2021}, volume={None}, number={None}, pages={-}, doi={10.1007/s10463-021-00785-4}, }
![[DOI]](https://crest.science/wp-content/plugins/papercite/img/external.png){kind=small}
2020
On kendall's regression
Journal of multivariate analysis, vol. 178, 2020.
By A. Derumigny and J. -D. Fermanian@ARTICLE{Derumigny2020, author={Derumigny, A. and Fermanian, J.-D.}, title={On Kendall's regression}, journal={Journal of Multivariate Analysis}, year={2020}, volume={178}, doi={10.1016/j.jmva.2020.104610}, art_number={104610}, note={cited
By 0}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85082534817&doi=10.1016%2fj.jmva.2020.104610&partnerID=40&md5=3c6806ffa4571bd1b66284f37491c428}, document_type={Article}, source={Scopus}, }High-dimensional penalized arch processes
Econometric reviews, , 2020.
By B. Poignard and J. -D. Fermanian@ARTICLE{Poignard2020, author={Poignard, B. and Fermanian, J.-D.}, title={High-dimensional penalized arch processes}, journal={Econometric Reviews}, year={2020}, doi={10.1080/07474938.2020.1761153}, note={cited
By 0}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85084839880&doi=10.1080%2f07474938.2020.1761153&partnerID=40&md5=0ef7e42a56b5a299d088e34d0f219231}, document_type={Article}, source={Scopus}, }
2019
Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series
Journal of time series analysis, vol. 40, iss. 1, pp. 124-150, 2019.
By A. Bucher, J. -D. Fermanian, and I. Kojadinovic@ARTICLE{Bucher2019124, author={Bucher, A. and Fermanian, J.-D. and Kojadinovic, I.}, title={Combining Cumulative Sum Change-Point Detection Tests for Assessing the Stationarity of Univariate Time Series}, journal={Journal of Time Series Analysis}, year={2019}, volume={40}, number={1}, pages={124-150}, doi={10.1111/jtsa.12431}, note={cited
By 5}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85055475735&doi=10.1111%2fjtsa.12431&partnerID=40&md5=a7d43969e6cff1bff8d5ce8e98a770d4}, document_type={Article}, source={Scopus}, }A classification point-of-view about conditional kendall's tau
Computational statistics and data analysis, vol. 135, pp. 70-94, 2019.
By A. Derumigny and J. -D. Fermanian@ARTICLE{Derumigny201970, author={Derumigny, A. and Fermanian, J.-D.}, title={A classification point-of-view about conditional Kendall's tau}, journal={Computational Statistics and Data Analysis}, year={2019}, volume={135}, pages={70-94}, doi={10.1016/j.csda.2019.01.013}, note={cited
By 2}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85061642376&doi=10.1016%2fj.csda.2019.01.013&partnerID=40&md5=65f068ee02cf453e7fc6a41eeb64dbfc}, document_type={Article}, source={Scopus}, }On kernel-based estimation of conditional kendall's tau: finite-distance bounds and asymptotic behavior
Dependence modeling, vol. 7, iss. 1, pp. 292-321, 2019.
By A. Derumigny and J. -D. Fermanian@ARTICLE{Derumigny2019292, author={Derumigny, A. and Fermanian, J.-D.}, title={On kernel-based estimation of conditional Kendall's tau: Finite-distance bounds and asymptotic behavior}, journal={Dependence Modeling}, year={2019}, volume={7}, number={1}, pages={292-321}, doi={10.1515/demo-2019-0016}, note={cited
By 1}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85073830106&doi=10.1515%2fdemo-2019-0016&partnerID=40&md5=3dbd3a5264044440e5434b87e0850412}, document_type={Article}, source={Scopus}, }Dynamic asset correlations based on vines
Econometric theory, vol. 35, iss. 1, pp. 167-197, 2019.
By B. Poignard and J. -D. Fermanian@ARTICLE{Poignard2019167, author={Poignard, B. and Fermanian, J.-D.}, title={Dynamic asset correlations based on vines}, journal={Econometric Theory}, year={2019}, volume={35}, number={1}, pages={167-197}, doi={10.1017/S026646661800004X}, note={cited
By 2}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85045649269&doi=10.1017%2fS026646661800004X&partnerID=40&md5=369a73e08887ad00bd79709fce0dc33b}, document_type={Article}, source={Scopus}, }
2018
On the link between volatilities, regime switching probabilities and correlation dynamics
Annals of economics and statistics, , iss. 131, pp. 1-24, 2018.
By J. -D. Fermanian and H. Malongo@ARTICLE{Fermanian20181, author={Fermanian, J.-D. and Malongo, H.}, title={On the link between volatilities, regime switching probabilities and correlation dynamics}, journal={Annals of Economics and Statistics}, year={2018}, number={131}, pages={1-24}, doi={10.15609/annaeconstat2009.131.0001}, note={cited
By 0}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85057817857&doi=10.15609%2fannaeconstat2009.131.0001&partnerID=40&md5=0ecdeed0d7ad163accfc4ee23c95d514}, document_type={Article}, source={Scopus}, }Multifactor granularity adjustments for market and counterparty risks
Journal of risk, vol. 20, iss. 6, pp. 1-27, 2018.
By J. -D. Fermanian and C. Florentin@ARTICLE{Fermanian20181, author={Fermanian, J.-D. and Florentin, C.}, title={Multifactor granularity adjustments for market and counterparty risks}, journal={Journal of Risk}, year={2018}, volume={20}, number={6}, pages={1-27}, doi={10.21314/JOR.2018.387}, note={cited
By 0}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85052737415&doi=10.21314%2fJOR.2018.387&partnerID=40&md5=ca9ec9d894eba32d0957910e909542f7}, document_type={Article}, source={Scopus}, }Single-index copulas
Journal of multivariate analysis, vol. 165, pp. 27-55, 2018.
By J. -D. Fermanian and O. Lopez@ARTICLE{Fermanian201827, author={Fermanian, J.-D. and Lopez, O.}, title={Single-index copulas}, journal={Journal of Multivariate Analysis}, year={2018}, volume={165}, pages={27-55}, doi={10.1016/j.jmva.2017.11.004}, note={cited
By 6}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85038244683&doi=10.1016%2fj.jmva.2017.11.004&partnerID=40&md5=970c2a0e84ba8be0d2c70c9b13906205}, document_type={Article}, source={Scopus}, }
2017
About tests of the simplifying assumption for conditional copulas
Dependence modeling, vol. 5, iss. 1, pp. 154-197, 2017.
By A. Derumigny and J. -D. Fermanian@ARTICLE{Derumigny2017154, author={Derumigny, A. and Fermanian, J.-D.}, title={About tests of the simplifying assumption for conditional copulas}, journal={Dependence Modeling}, year={2017}, volume={5}, number={1}, pages={154-197}, doi={10.1515/demo-2017-0011}, note={cited
By 6}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85041531185&doi=10.1515%2fdemo-2017-0011&partnerID=40&md5=6cf045ac59b773d543c3aa1a2062320d}, document_type={Article}, source={Scopus}, }Recent developments in copula models
Econometrics, vol. 5, iss. 3, 2017.
By J. -D. Fermanian@EDITORIAL{Fermanian2017, author={Fermanian, J.-D.}, title={Recent developments in copula models}, journal={Econometrics}, year={2017}, volume={5}, number={3}, doi={10.3390/econometrics5030034}, art_number={34}, note={cited
By 3}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85030448832&doi=10.3390%2feconometrics5030034&partnerID=40&md5=6ec7ff5999684393449bcd5d14656e7c}, document_type={Editorial}, source={Scopus}, }On the stationarity of dynamic conditional correlation models
Econometric theory, vol. 33, iss. 3, pp. 636-663, 2017.
By J. -D. Fermanian and H. Malongo@ARTICLE{Fermanian2017636, author={Fermanian, J.-D. and Malongo, H.}, title={ON the STATIONARITY of DYNAMIC CONDITIONAL CORRELATION MODELS}, journal={Econometric Theory}, year={2017}, volume={33}, number={3}, pages={636-663}, doi={10.1017/S0266466616000116}, note={cited
By 5}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84965053045&doi=10.1017%2fS0266466616000116&partnerID=40&md5=e3cc478c5e1b4b6aa8a2b20693f22e62}, document_type={Article}, source={Scopus}, }
2015
On break-even correlation: the way to price structured credit derivatives by replication
Quantitative finance, vol. 15, iss. 5, pp. 829-840, 2015.
By J. -D. Fermanian and O. Vigneron@ARTICLE{Fermanian2015829, author={Fermanian, J.-D. and Vigneron, O.}, title={On break-even correlation: the way to price structured credit derivatives by replication}, journal={Quantitative Finance}, year={2015}, volume={15}, number={5}, pages={829-840}, doi={10.1080/14697688.2013.812233}, note={cited
By 1}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84927174055&doi=10.1080%2f14697688.2013.812233&partnerID=40&md5=29d8b4f27fab8bf14785d2b9e3bf5e17}, document_type={Article}, source={Scopus}, }Asymptotic total variation tests for copulas
Bernoulli, vol. 21, iss. 3, pp. 1911-1945, 2015.
By J. -D. Fermanian, D. Radulović, and M. Wegkamp@ARTICLE{Fermanian20151911, author={Fermanian, J.-D. and Radulović, D. and Wegkamp, M.}, title={Asymptotic total variation tests for copulas}, journal={Bernoulli}, year={2015}, volume={21}, number={3}, pages={1911-1945}, doi={10.3150/14-BEJ632}, note={cited
By 2}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84938563757&doi=10.3150%2f14-BEJ632&partnerID=40&md5=66051faa5458ca7e22ad6d5598d6410a}, document_type={Article}, source={Scopus}, }
2014
The limits of granularity adjustments
Journal of banking and finance, vol. 45, iss. 1, pp. 9-25, 2014.
By J. -D. Fermanian@ARTICLE{Fermanian20149, author={Fermanian, J.-D.}, title={The limits of granularity adjustments}, journal={Journal of Banking and Finance}, year={2014}, volume={45}, number={1}, pages={9-25}, doi={10.1016/j.jbankfin.2014.04.023}, note={cited
By 8}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84901660604&doi=10.1016%2fj.jbankfin.2014.04.023&partnerID=40&md5=025da4ed354dc530ff29b3e60d442ade}, document_type={Article}, source={Scopus}, }
2013
A top-down approach for asset-backed securities: a consistent way of managing prepayment, default and interest rate risks
Journal of real estate finance and economics, vol. 46, iss. 3, pp. 480-515, 2013.
By J. -D. Fermanian@ARTICLE{Fermanian2013480, author={Fermanian, J.-D.}, title={A Top-Down Approach for Asset-Backed Securities: A Consistent Way of Managing Prepayment, Default and Interest Rate Risks}, journal={Journal of Real Estate Finance and Economics}, year={2013}, volume={46}, number={3}, pages={480-515}, doi={10.1007/s11146-011-9331-2}, note={cited
By 2}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84874956562&doi=10.1007%2fs11146-011-9331-2&partnerID=40&md5=c56b3a65c78944d22f7cf74421406be6}, document_type={Article}, source={Scopus}, }
2012
Time-dependent copulas
Journal of multivariate analysis, vol. 110, pp. 19-29, 2012.
By J. -D. Fermanian and M. H. Wegkamp@ARTICLE{Fermanian201219, author={Fermanian, J.-D. and Wegkamp, M.H.}, title={Time-dependent copulas}, journal={Journal of Multivariate Analysis}, year={2012}, volume={110}, pages={19-29}, doi={10.1016/j.jmva.2012.02.018}, note={cited
By 33}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84862000228&doi=10.1016%2fj.jmva.2012.02.018&partnerID=40&md5=2b196ecc700bbf80c85802e389a6fea9}, document_type={Article}, source={Scopus}, }
2011
Hedging default risks of cdos in markovian contagion models
Quantitative finance, vol. 11, iss. 12, pp. 1773-1791, 2011.
By J. -P. Laurent, A. Cousin, and J. -D. Fermanian@ARTICLE{Laurent20111773, author={Laurent, J.-P. and Cousin, A. and Fermanian, J.-D.}, title={Hedging default risks of CDOs in Markovian contagion models}, journal={Quantitative Finance}, year={2011}, volume={11}, number={12}, pages={1773-1791}, doi={10.1080/14697680903390126}, note={cited
By 13}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84859224548&doi=10.1080%2f14697680903390126&partnerID=40&md5=ca8f162361e75f8624dc819072d85617}, document_type={Article}, source={Scopus}, }
2009
An empirical central limit theorem with applications to copulas under weak dependence
Statistical inference for stochastic processes, vol. 12, iss. 1, pp. 65-87, 2009.
By P. Doukhan, J. -D. Fermanian, and G. Lang@ARTICLE{Doukhan200965, author={Doukhan, P. and Fermanian, J.-D. and Lang, G.}, title={An empirical central limit theorem with applications to copulas under weak dependence}, journal={Statistical Inference for Stochastic Processes}, year={2009}, volume={12}, number={1}, pages={65-87}, doi={10.1007/s11203-008-9026-3}, note={cited
By 16}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-61849161751&doi=10.1007%2fs11203-008-9026-3&partnerID=40&md5=9d025fd825745c06fd937b5093ca0c8e}, document_type={Article}, source={Scopus}, }
2007
Kernel estimation of greek weights by parameter randomization
Annals of applied probability, vol. 17, iss. 4, pp. 1399-1423, 2007.
By R. Elie, J. -D. Fermanian, and N. Touzi@ARTICLE{Elie20071399, author={Elie, R. and Fermanian, J.-D. and Touzi, N.}, title={Kernel estimation of Greek weights by parameter randomization}, journal={Annals of Applied Probability}, year={2007}, volume={17}, number={4}, pages={1399-1423}, doi={10.1214/105051607000000186}, note={cited
By 10}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-52949086846&doi=10.1214%2f105051607000000186&partnerID=40&md5=26b184c651f1380cbc7f9043c6a64212}, document_type={Article}, source={Scopus}, }
2005
Goodness-of-fit tests for copulas
Journal of multivariate analysis, vol. 95, iss. 1, pp. 119-152, 2005.
By J. -D. Fermanian@ARTICLE{Fermanian2005119, author={Fermanian, J.-D.}, title={Goodness-of-fit tests for copulas}, journal={Journal of Multivariate Analysis}, year={2005}, volume={95}, number={1}, pages={119-152}, doi={10.1016/j.jmva.2004.07.004}, note={cited
By 207}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-18744406022&doi=10.1016%2fj.jmva.2004.07.004&partnerID=40&md5=9ff0935e14d9d552601920be103aed89}, document_type={Article}, source={Scopus}, }Sensitivity analysis of var and expected shortfall for portfolios under netting agreements
Journal of banking and finance, vol. 29, iss. 4, pp. 927-958, 2005.
By J. -D. Fermanian and O. Scaillet@ARTICLE{Fermanian2005927, author={Fermanian, J.-D. and Scaillet, O.}, title={Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements}, journal={Journal of Banking and Finance}, year={2005}, volume={29}, number={4}, pages={927-958}, doi={10.1016/j.jbankfin.2004.08.007}, note={cited
By 29}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-12444253075&doi=10.1016%2fj.jbankfin.2004.08.007&partnerID=40&md5=6999da630d393152e963cf2a78d6bc6d}, document_type={Article}, source={Scopus}, }
2004
Weak convergence of empirical copula processes
Bernoulli, vol. 10, iss. 5, pp. 847-860, 2004.
By J. -D. Fermanian, D. Radulović, and M. Wegkamp@ARTICLE{Fermanian2004847, author={Fermanian, J.-D. and Radulović, D. and Wegkamp, M.}, title={Weak convergence of empirical copula processes}, journal={Bernoulli}, year={2004}, volume={10}, number={5}, pages={847-860}, doi={10.3150/bj/1099579158}, note={cited
By 202}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-20444459804&doi=10.3150%2fbj%2f1099579158&partnerID=40&md5=9467cb185881dd4e635e2237ba6439d3}, document_type={Article}, source={Scopus}, }A nonparametric simulated maximum likelihood estimation method
Econometric theory, vol. 20, iss. 4, pp. 701-734, 2004.
By J. -D. Fermanian and B. Salanie@ARTICLE{Fermanian2004701, author={Fermanian, J.-D. and Salanie, B.}, title={A nonparametric simulated maximum likelihood estimation method}, journal={Econometric Theory}, year={2004}, volume={20}, number={4}, pages={701-734}, doi={10.1017/S0266466604204054}, note={cited
By 27}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-4344651234&doi=10.1017%2fS0266466604204054&partnerID=40&md5=17526bfd5bcf8d58e3715a4e944ccdfd}, document_type={Article}, source={Scopus}, }
2003
Nonparametric estimation of competing risks models with covariates
Journal of multivariate analysis, vol. 85, iss. 1, pp. 156-191, 2003.
By J. -D. Fermanian@ARTICLE{Fermanian2003156, author={Fermanian, J.-D.}, title={Nonparametric estimation of competing risks models with covariates}, journal={Journal of Multivariate Analysis}, year={2003}, volume={85}, number={1}, pages={156-191}, doi={10.1016/S0047-259X(02)00069-6}, note={cited
By 12}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0038367861&doi=10.1016%2fS0047-259X%2802%2900069-6&partnerID=40&md5=d2c18d88918e36753787e21cae466a78}, document_type={Article}, source={Scopus}, }
2001
Lower bounds on bandwidth selection in hazard estimation
Journal of nonparametric statistics, vol. 13, iss. 4, pp. 515-567, 2001.
By J. -D. Fermanian@ARTICLE{Fermanian2001515, author={Fermanian, J.-D.}, title={Lower bounds on bandwidth selection in hazard estimation}, journal={Journal of Nonparametric Statistics}, year={2001}, volume={13}, number={4}, pages={515-567}, doi={10.1080/10485250108832864}, note={cited
By 0}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0347748074&doi=10.1080%2f10485250108832864&partnerID=40&md5=5db5d82b4f27627ba67a00db93758636}, document_type={Article}, source={Scopus}, }
1999
A new bandwidth selector in hazard estimation
Journal of nonparametric statistics, vol. 10, iss. 2, pp. 137-182, 1999.
By J. -D. Fermanian@ARTICLE{Fermanian1999137, author={Fermanian, J.-D.}, title={A new bandwidth selector in hazard estimation}, journal={Journal of Nonparametric Statistics}, year={1999}, volume={10}, number={2}, pages={137-182}, doi={10.1080/10485259908832758}, note={cited
By 2}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0345825183&doi=10.1080%2f10485259908832758&partnerID=40&md5=6aa67dd02579c1635ebc7c9239e0d4c4}, document_type={Article}, source={Scopus}, }
1997
Multivariate hazard rates under random censorship
Journal of multivariate analysis, vol. 62, iss. 2, pp. 273-309, 1997.
By J. -D. Fermanian@ARTICLE{Fermanian1997273, author={Fermanian, J.-D.}, title={Multivariate hazard rates under random censorship}, journal={Journal of Multivariate Analysis}, year={1997}, volume={62}, number={2}, pages={273-309}, doi={10.1006/jmva.1997.1692}, note={cited
By 4}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0031211788&doi=10.1006%2fjmva.1997.1692&partnerID=40&md5=7d710324f40c2ae6548d4e722f90dab6}, document_type={Article}, source={Scopus}, }