Jean-David FERMANIAN


Jean-David FERMANIAN
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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

    [DOI] [Bibtex]

    @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},
    }

2020

  • On kendall's regression

    Journal of multivariate analysis, vol. 178, 2020.
    By A. Derumigny and J. -D. Fermanian

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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}, }