Jean-David FERMANIAN


Jean-David FERMANIAN
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Full Professor
Finance
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Identifiability and estimation of meta-elliptical copula generators

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Derumigny Alexis,Fermanian Jean-David

Journal of Multivariate Analysis, 2022

The finite sample properties of sparse M-estimators with pseudo-observations

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Poignard Benjamin,Fermanian Jean-David

Annals of the Institute of Statistical Mathematics, 2022

Testing for equality between conditional copulas given discretized conditioning events

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Derumigny Alexis,Fermanian Jean-David,Min Aleksey

Canadian Journal of Statistics, 2022

Estimation of Copulas via Maximum Mean Discrepancy

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Alquier Pierre,Chérief-Abdellatif Badr-Eddine,Derumigny Alexis,Fermanian Jean-David

Journal of the American Statistical Association, 2022

A corrected Clarke test for model selection and beyond

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Brück F,Fermanian JD,Min A

Journal of Econometrics, 2022

On th edependence between default risk and recovery rates in structural models

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Fermanian JD

Annals of Economics and Statistics, 2020

On Kendall's regression

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Derumigny A,Fermanian JD

Journal of Multivariate Analysis, 2020

High-dimensional penalized arch processes

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Poignard B,Fermanian JD

Econometric Reviews, 2020

A classification point-of-view about conditional Kendall's tau

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Derumigny A,Fermanian JD

Computational Statistics and Data Analysis, 2019

Dynamic asset correlations based on vines

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Poignard B,Fermanian JD

Econometric Theory, 2019