Jean-David FERMANIAN

Jean-David FERMANIAN
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2022

  • Identifiability and estimation of meta-elliptical copula generators

    Journal of multivariate analysis, vol. 190, 2022.
    By A. Derumigny and J. -D. Fermanian

    [DOI] [Bibtex] 

    @article{Derumigny2022,
author={Derumigny, A. and Fermanian, J.-D.},
title={Identifiability and estimation of meta-elliptical copula generators},
journal={Journal of Multivariate Analysis},
year={2022},
volume={190},
doi={10.1016/j.jmva.2022.104962},
art_number={104962},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85124907208&doi=10.1016%2fj.jmva.2022.104962&partnerID=40&md5=184a2289b0010cdd4a50c644b3382610},
publisher={Academic Press Inc.},
}

  • The finite sample properties of sparse m-estimators with pseudo-observations

    Annals of the institute of statistical mathematics, vol. 74, iss. 1, 2022.
    By B. Poignard and J. -D. Fermanian

    [DOI] [Bibtex] 

    @article{Poignard2022,
author={Poignard, B. and Fermanian, J.-D.},
title={The finite sample properties of sparse M-estimators with pseudo-observations},
journal={Annals of the Institute of Statistical Mathematics},
year={2022},
volume={74},
number={1},
doi={10.1007/s10463-021-00785-4},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85103906957&doi=10.1007%2fs10463-021-00785-4&partnerID=40&md5=8294fb94ad1df2e4ed137fd70e8a3379},
publisher={Springer Japan},
}

  • Testing for equality between conditional copulas given discretized conditioning events

    Canadian journal of statistics, , 2022.
    By A. Derumigny, J. -D. Fermanian, and A. Min

    [DOI] [Bibtex] 

    @article{Derumigny2022,
author={Derumigny, A. and Fermanian, J.-D. and Min, A.},
title={Testing for equality between conditional copulas given discretized conditioning events},
journal={Canadian Journal of Statistics},
year={2022},
doi={10.1002/cjs.11742},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85142195276&doi=10.1002%2fcjs.11742&partnerID=40&md5=a495dc18d087aa3c3adde8ed56a06f2d},
publisher={Statistical Society of Canada},
}

  • Estimation of copulas via maximum mean discrepancy

    Journal of the american statistical association, , 2022.
    By P. Alquier, B. -E. Chérief-Abdellatif, A. Derumigny, and J. -D. Fermanian

    [DOI] [Bibtex] 

    @article{Alquier2022,
author={Alquier, P. and Chérief-Abdellatif, B.-E. and Derumigny, A. and Fermanian, J.-D.},
title={Estimation of Copulas via Maximum Mean Discrepancy},
journal={Journal of the American Statistical Association},
year={2022},
doi={10.1080/01621459.2021.2024836},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85129125328&doi=10.1080%2f01621459.2021.2024836&partnerID=40&md5=7e6a0a313d17652a8fbe29f4f3efe4f1},
publisher={American Statistical Association},
}

  • A corrected clarke test for model selection and beyond

    Journal of econometrics, , 2022.
    By F. Brück, J. -D. Fermanian, and A. Min

    [DOI] [Bibtex] 

    @article{Brück2022,
author={Brück, F. and Fermanian, J.-D. and Min, A.},
title={A corrected Clarke test for model selection and beyond},
journal={Journal of Econometrics},
year={2022},
doi={10.1016/j.jeconom.2021.12.013},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85127360068&doi=10.1016%2fj.jeconom.2021.12.013&partnerID=40&md5=114bdbb162dc4f9087f6798bd4a54ad9},
publisher={Elsevier Ltd},
}

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},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85082534817&doi=10.1016%2fj.jmva.2020.104610&partnerID=40&md5=3c6806ffa4571bd1b66284f37491c428},
publisher={Academic Press Inc.},
}

  • 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},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85084839880&doi=10.1080%2f07474938.2020.1761153&partnerID=40&md5=0ef7e42a56b5a299d088e34d0f219231},
publisher={Taylor and Francis Inc.},
}

2019

  • 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},
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},
publisher={Elsevier B.V.},
}

  • 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},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85045649269&doi=10.1017%2fS026646661800004X&partnerID=40&md5=369a73e08887ad00bd79709fce0dc33b},
publisher={Cambridge University Press},
}

  • 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},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85073830106&doi=10.1515%2fdemo-2019-0016&partnerID=40&md5=3dbd3a5264044440e5434b87e0850412},
publisher={De Gruyter Open Ltd},
}

  • 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. Bücher, J. -D. Fermanian, and I. Kojadinovic

    [DOI] [Bibtex] 

    @article{Bücher2019124,
author={Bücher, 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},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85055475735&doi=10.1111%2fjtsa.12431&partnerID=40&md5=a7d43969e6cff1bff8d5ce8e98a770d4},
publisher={Blackwell Publishing Ltd},
}

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},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85057817857&doi=10.15609%2fannaeconstat2009.131.0001&partnerID=40&md5=0ecdeed0d7ad163accfc4ee23c95d514},
publisher={GENES (Groupe des Ecoles en Economie et Statistiques)},
}

  • 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},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85052737415&doi=10.21314%2fJOR.2018.387&partnerID=40&md5=ca9ec9d894eba32d0957910e909542f7},
publisher={Infopro digital},
}

  • 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},
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},
publisher={Academic Press Inc.},
}

2017

  • Recent developments in copula models

    Econometrics, vol. 5, iss. 3, 2017.
    By J. -D. Fermanian

    [DOI] [Bibtex] 

    @article{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},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85030448832&doi=10.3390%2feconometrics5030034&partnerID=40&md5=6ec7ff5999684393449bcd5d14656e7c},
publisher={MDPI AG},
}

  • 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},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84965053045&doi=10.1017%2fS0266466616000116&partnerID=40&md5=e3cc478c5e1b4b6aa8a2b20693f22e62},
publisher={Cambridge University Press},
}

2015

  • 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},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84938563757&doi=10.3150%2f14-BEJ632&partnerID=40&md5=66051faa5458ca7e22ad6d5598d6410a},
publisher={International Statistical Institute},
}

  • 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},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84927174055&doi=10.1080%2f14697688.2013.812233&partnerID=40&md5=29d8b4f27fab8bf14785d2b9e3bf5e17},
publisher={Routledge},
}

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},
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},
publisher={Elsevier},
}

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},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84874956562&doi=10.1007%2fs11146-011-9331-2&partnerID=40&md5=c56b3a65c78944d22f7cf74421406be6},
publisher={Kluwer Academic Publishers},
}

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},
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},
}

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},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-61849161751&doi=10.1007%2fs11203-008-9026-3&partnerID=40&md5=9d025fd825745c06fd937b5093ca0c8e},
}

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},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-52949086846&doi=10.1214%2f105051607000000186&partnerID=40&md5=26b184c651f1380cbc7f9043c6a64212},
}

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},
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},
}

  • 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},
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},
}

2004

  • A nonparametric simulated maximum likelihood estimation method

    Econometric theory, vol. 20, iss. 4, pp. 701-734, 2004.
    By J. -D. Fermanian and B. Salanié

    [DOI] [Bibtex] 

    @article{Fermanian2004701,
author={Fermanian, J.-D. and Salanié, 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},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-4344651234&doi=10.1017%2fS0266466604204054&partnerID=40&md5=17526bfd5bcf8d58e3715a4e944ccdfd},
}

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},
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},
publisher={Academic Press Inc.},
}

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},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0347748074&doi=10.1080%2f10485250108832864&partnerID=40&md5=5db5d82b4f27627ba67a00db93758636},
publisher={Taylor and Francis Inc.},
}

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},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0345825183&doi=10.1080%2f10485259908832758&partnerID=40&md5=6aa67dd02579c1635ebc7c9239e0d4c4},
publisher={Taylor and Francis Inc.},
}