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Fermanian, Jean-David

Author ID: fermanian.jean-david Recent zbMATH articles by "Fermanian, Jean-David"
Published as: Fermanian, Jean-David; Fermanian, J.-D.

Publications by Year

Citations contained in zbMATH Open

23 Publications have been cited 392 times in 326 Documents Cited by Year
Weak convergence of empirical copula processes. Zbl 1068.62059
Fermanian, Jean-David; Radulović, Dragan; Wegkamp, Marten
172
2004
Goodness-of-fit tests for copulas. Zbl 1095.62052
Fermanian, Jean-David
86
2005
Time-dependent copulas. Zbl 1352.62073
Fermanian, Jean-David; Wegkamp, Marten H.
21
2012
A nonparametric simulated maximum likelihood estimation method. Zbl 1081.62107
Fermanian, Jean-David; Salanié, Bernard
16
2004
An overview of the goodness-of-fit test problem for copulas. Zbl 1273.62101
Fermanian, Jean-David
15
2013
About tests of the “simplifying” assumption for conditional copulas. Zbl 1383.62159
Derumigny, Alexis; Fermanian, Jean-David
13
2017
An empirical central limit theorem with applications to copulas under weak dependence. Zbl 1333.62207
Doukhan, Paul; Fermanian, Jean-David; Lang, Gabriel
13
2009
Hedging default risks of CDOs in Markovian contagion models. Zbl 1277.91187
Laurent, J.-P.; Cousin, A.; Fermanian, J.-D.
11
2011
Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series. Zbl 1418.62305
Bücher, Axel; Fermanian, Jean-David; Kojadinovic, Ivan
7
2019
Nonparametric estimation of competing risks models with covariates. Zbl 1013.62036
Fermanian, Jean-David
7
2003
On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior. Zbl 1439.62149
Derumigny, Alexis; Fermanian, Jean-David
6
2019
Single-index copulas. Zbl 1397.62179
Fermanian, Jean-David; Lopez, Olivier
5
2018
Multivariate hazard rates under random censorship. Zbl 0909.62024
Fermanian, Jean-David
4
1997
A classification point-of-view about conditional Kendall’s tau. Zbl 1507.62044
Derumigny, Alexis; Fermanian, Jean-David
3
2019
Asymptotic total variation tests for copulas. Zbl 1331.62282
Fermanian, Jean-David; Radulović, Dragan; Wegkamp, Marten
3
2015
Kernel estimation of Greek weights by parameter randomization. Zbl 1214.62043
Elie, Romuald; Fermanian, Jean-David; Touzi, Nizar
3
2007
A new bandwidth selector in hazard estimation. Zbl 0947.62028
Fermanian, Jean-David
1
1999
On break-even correlation: the way to price structured credit derivatives by replication. Zbl 1398.91585
Fermanian, Jean-David; Vigneron, Olivier
1
2015
Dynamic asset correlations based on vines. Zbl 1415.62154
Poignard, Benjamin; Fermanian, Jean-David
1
2019
On the stationarity of dynamic conditional correlation models. Zbl 1442.62738
Fermanian, Jean-David; Malongo, Hassan
1
2017
The finite sample properties of sparse M-estimators with pseudo-observations. Zbl 07473252
Poignard, Benjamin; Fermanian, Jean-David
1
2022
High-dimensional penalized ARCH processes. Zbl 1490.62264
Poignard, Benjamin; Fermanian, Jean-David
1
2021
Identifiability and estimation of meta-elliptical copula generators. Zbl 1493.62270
Derumigny, A.; Fermanian, J.-D.
1
2022
The finite sample properties of sparse M-estimators with pseudo-observations. Zbl 07473252
Poignard, Benjamin; Fermanian, Jean-David
1
2022
Identifiability and estimation of meta-elliptical copula generators. Zbl 1493.62270
Derumigny, A.; Fermanian, J.-D.
1
2022
High-dimensional penalized ARCH processes. Zbl 1490.62264
Poignard, Benjamin; Fermanian, Jean-David
1
2021
Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series. Zbl 1418.62305
Bücher, Axel; Fermanian, Jean-David; Kojadinovic, Ivan
7
2019
On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior. Zbl 1439.62149
Derumigny, Alexis; Fermanian, Jean-David
6
2019
A classification point-of-view about conditional Kendall’s tau. Zbl 1507.62044
Derumigny, Alexis; Fermanian, Jean-David
3
2019
Dynamic asset correlations based on vines. Zbl 1415.62154
Poignard, Benjamin; Fermanian, Jean-David
1
2019
Single-index copulas. Zbl 1397.62179
Fermanian, Jean-David; Lopez, Olivier
5
2018
About tests of the “simplifying” assumption for conditional copulas. Zbl 1383.62159
Derumigny, Alexis; Fermanian, Jean-David
13
2017
On the stationarity of dynamic conditional correlation models. Zbl 1442.62738
Fermanian, Jean-David; Malongo, Hassan
1
2017
Asymptotic total variation tests for copulas. Zbl 1331.62282
Fermanian, Jean-David; Radulović, Dragan; Wegkamp, Marten
3
2015
On break-even correlation: the way to price structured credit derivatives by replication. Zbl 1398.91585
Fermanian, Jean-David; Vigneron, Olivier
1
2015
An overview of the goodness-of-fit test problem for copulas. Zbl 1273.62101
Fermanian, Jean-David
15
2013
Time-dependent copulas. Zbl 1352.62073
Fermanian, Jean-David; Wegkamp, Marten H.
21
2012
Hedging default risks of CDOs in Markovian contagion models. Zbl 1277.91187
Laurent, J.-P.; Cousin, A.; Fermanian, J.-D.
11
2011
An empirical central limit theorem with applications to copulas under weak dependence. Zbl 1333.62207
Doukhan, Paul; Fermanian, Jean-David; Lang, Gabriel
13
2009
Kernel estimation of Greek weights by parameter randomization. Zbl 1214.62043
Elie, Romuald; Fermanian, Jean-David; Touzi, Nizar
3
2007
Goodness-of-fit tests for copulas. Zbl 1095.62052
Fermanian, Jean-David
86
2005
Weak convergence of empirical copula processes. Zbl 1068.62059
Fermanian, Jean-David; Radulović, Dragan; Wegkamp, Marten
172
2004
A nonparametric simulated maximum likelihood estimation method. Zbl 1081.62107
Fermanian, Jean-David; Salanié, Bernard
16
2004
Nonparametric estimation of competing risks models with covariates. Zbl 1013.62036
Fermanian, Jean-David
7
2003
A new bandwidth selector in hazard estimation. Zbl 0947.62028
Fermanian, Jean-David
1
1999
Multivariate hazard rates under random censorship. Zbl 0909.62024
Fermanian, Jean-David
4
1997
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Cited by 490 Authors

16 Bouzebda, Salim
16 Bücher, Axel
15 Fermanian, Jean-David
11 Genest, Christian
11 Segers, Johan
9 Dette, Holger
9 Rémillard, Bruno N.
9 Schmid, Friedrich
8 Derumigny, Alexis
8 Kojadinovic, Ivan
7 Durante, Fabrizio
7 Quessy, Jean-François
7 Volgushev, Stanislav
6 Gijbels, Irène
6 Veraverbeke, Noël
5 Nešlehová, Johanna G.
5 Zari, Tarek
4 Bouezmarni, Taoufik
4 Dobrić, Jadran
4 Fernández-Sánchez, Juan
4 Kristensen, Dennis
4 Okhrin, Ostap
4 Omelka, Marek
4 Peng, Liang
4 Portier, François
4 Schmidt, Rafael
4 Wegkamp, Marten H.
3 Berghaus, Betina Hedwig
3 Chen, Xiaohong
3 Fan, Yanqin
3 Faugeras, Olivier Paul
3 González-Barrios, José María
3 Janssen, Paul
3 Joe, Harry
3 Keziou, Amor
3 Ledwina, Teresa
3 Masiello, Esterina
3 Mendes, Beatriz Vaz de Melo
3 Mesfioui, Mhamed
3 Min, Aleksey
3 Nasri, Bouchra R.
3 Radulović, Dragan
3 Rullière, Didier
3 Scaillet, Olivier
3 Scherer, Matthias
3 Shi, Peng
3 Spanhel, Fabian
3 Swanepoel, Jan W. H.
3 Yan, Jun
2 Cai, Zongwu
2 Ćmiel, Bogdan
2 Corradi, Valentina
2 Craiu, Radu V.
2 Crujeiras, Rosa María
2 de Melo, Eduardo Fraga L.
2 Deheuvels, Paul
2 Di Bernardino, Elena
2 Dolati, Ali
2 El Faouzi, Nour-Eddin
2 Fang, Rui
2 Frahm, Gabriel
2 Fuchs, Sebastian L.
2 Gaißer, Sandra
2 González-Manteiga, Wenceslao
2 Grothe, Oliver
2 Hallin, Marc
2 Haug, Stephan
2 Heinrichs, Florian
2 Hoyos-Argüelles, Ricardo
2 Jaser, Miriam
2 Jeanblanc, Monique
2 Kallenberg, Wilbert C. M.
2 Kley, Tobias
2 Krupskii, Pavel
2 Kurz, Malte S.
2 Laloë, Thomas
2 Lee, Sangyeol
2 Li, Xiaohu
2 Linton, Oliver Bruce
2 Lopez, Olivier
2 Maume-Deschamps, Véronique
2 Patton, Andrew J.
2 Perrone, Elisa
2 Poignard, Benjamin
2 Potscher, Benedikt M.
2 Ruppert, Martin
2 Savu, Cornelia
2 Schellhase, Christian
2 Schepsmeier, Ulf
2 Seo, Juwon
2 Shao, Xiaofeng
2 Susam, Selim Orhun
2 Swanson, Norman Rasmus
2 Trede, Mark
2 Tribouley, Karine
2 Trutschnig, Wolfgang
2 Tsukahara, Hideatsu
2 Úbeda-Flores, Manuel
2 Van Keilegom, Ingrid
2 Wied, Dominik
...and 390 more Authors
all top 5

Cited in 83 Serials

46 Journal of Multivariate Analysis
21 Journal of Econometrics
11 Computational Statistics and Data Analysis
11 Dependence Modeling
10 Insurance Mathematics & Economics
10 Bernoulli
9 The Canadian Journal of Statistics
9 Statistics & Probability Letters
9 Communications in Statistics. Theory and Methods
9 Test
9 Mathematical Methods of Statistics
9 Econometric Theory
7 Scandinavian Journal of Statistics
7 Journal of Statistical Planning and Inference
7 Journal of Statistical Computation and Simulation
7 Electronic Journal of Statistics
6 The Annals of Statistics
6 Kybernetika
6 Communications in Statistics. Simulation and Computation
6 Journal of Nonparametric Statistics
6 Quantitative Finance
5 Journal of the American Statistical Association
5 Statistical Papers
4 Metrika
4 Annals of the Institute of Statistical Mathematics
4 Statistics
4 Econometric Reviews
3 International Journal of Theoretical and Applied Finance
3 Journal of Applied Statistics
2 Journal of Mathematical Analysis and Applications
2 Biometrics
2 Journal of Economic Dynamics & Control
2 Annals of Operations Research
2 The Annals of Applied Probability
2 Computational Statistics
2 Stochastic Processes and their Applications
2 Statistica Sinica
2 Lifetime Data Analysis
2 Extremes
2 Statistical Inference for Stochastic Processes
2 Statistical Methods and Applications
2 Journal of the Korean Statistical Society
2 The Annals of Applied Statistics
2 Statistics and Computing
1 Physica A
1 Applied Mathematics and Computation
1 Computing
1 Fuzzy Sets and Systems
1 Journal of Applied Probability
1 Journal of Computational and Applied Mathematics
1 Journal of Mathematical Psychology
1 Mathematics of Operations Research
1 Naval Research Logistics
1 Journal of Time Series Analysis
1 Journal of Classification
1 Statistical Science
1 Journal of Theoretical Probability
1 Applied Mathematical Modelling
1 European Journal of Operational Research
1 International Journal of Computer Mathematics
1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
1 SIAM Journal on Optimization
1 Applied Mathematical Finance
1 Finance and Stochastics
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Studies in Nonlinear Dynamics and Econometrics
1 Methodology and Computing in Applied Probability
1 Scandinavian Actuarial Journal
1 Journal of Systems Science and Complexity
1 Decisions in Economics and Finance
1 Stochastic Models
1 Statistical Applications in Genetics and Molecular Biology
1 Applications and Applied Mathematics
1 AStA. Advances in Statistical Analysis
1 Proceedings of the Estonian Academy of Sciences
1 Algorithms
1 Set-Valued and Variational Analysis
1 Afrika Statistika
1 Science China. Mathematics
1 Journal of Probability and Statistics
1 Journal of Mathematics
1 Journal of Statistical Distributions and Applications
1 Journal of Siberian Federal University. Mathematics & Physics

Citations by Year