Edit Profile (opens in new tab) Fermanian, Jean-David Co-Author Distance Author ID: fermanian.jean-david Published as: Fermanian, Jean-David; Fermanian, J.-D. Documents Indexed: 31 Publications since 1997, including 2 Additional arXiv Preprints Co-Authors: 20 Co-Authors with 25 Joint Publications 396 Co-Co-Authors all top 5 Co-Authors 6 single-authored 9 Derumigny, Alexis 4 Poignard, Benjamin 3 Wegkamp, Marten H. 2 Min, Aleksey 2 Radulović, Dragan 1 Alquier, Pierre 1 Brück, Florian 1 Bücher, Axel 1 Chérief-Abdellatif, Badr-Eddine 1 Cousin, Areski 1 Doukhan, Paul 1 Elie, Romuald 1 Kojadinovic, Ivan 1 Lang, Gabriel 1 Laurent, Jean Paul 1 Lopez, Olivier 1 Malongo, Hassan 1 Salanié, Bernard 1 Touzi, Nizar 1 Vigneron, Olivier all top 5 Serials 7 Journal of Multivariate Analysis 3 Econometric Theory 2 Bernoulli 2 Journal of Nonparametric Statistics 2 Quantitative Finance 2 Dependence Modeling 1 The Canadian Journal of Statistics 1 Annals of the Institute of Statistical Mathematics 1 Journal of the American Statistical Association 1 Journal of Econometrics 1 Journal of Time Series Analysis 1 Econometric Reviews 1 The Annals of Applied Probability 1 Computational Statistics and Data Analysis 1 Statistical Inference for Stochastic Processes 1 Electronic Journal of Statistics Fields 30 Statistics (62-XX) 5 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3 Probability theory and stochastic processes (60-XX) 2 Numerical analysis (65-XX) Publications by Year all cited Publications top 5 cited Publications 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 An empirical central limit theorem with applications to copulas under weak dependence. Zbl 1333.62207 Doukhan, Paul; Fermanian, Jean-David; Lang, Gabriel 13 2009 About tests of the “simplifying” assumption for conditional copulas. Zbl 1383.62159 Derumigny, Alexis; Fermanian, Jean-David 13 2017 Hedging default risks of CDOs in Markovian contagion models. Zbl 1277.91187 Laurent, J.-P.; Cousin, A.; Fermanian, J.-D. 11 2011 Nonparametric estimation of competing risks models with covariates. Zbl 1013.62036 Fermanian, Jean-David 7 2003 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 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 Kernel estimation of Greek weights by parameter randomization. Zbl 1214.62043 Elie, Romuald; Fermanian, Jean-David; Touzi, Nizar 3 2007 Asymptotic total variation tests for copulas. Zbl 1331.62282 Fermanian, Jean-David; Radulović, Dragan; Wegkamp, Marten 3 2015 A classification point-of-view about conditional Kendall’s tau. Zbl 1507.62044 Derumigny, Alexis; Fermanian, Jean-David 3 2019 A new bandwidth selector in hazard estimation. Zbl 0947.62028 Fermanian, Jean-David 1 1999 On the stationarity of dynamic conditional correlation models. Zbl 1442.62738 Fermanian, Jean-David; Malongo, Hassan 1 2017 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 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 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 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 all cited Publications top 5 cited Publications all top 5 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 all top 5 Cited in 16 Fields 301 Statistics (62-XX) 80 Probability theory and stochastic processes (60-XX) 54 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 44 Numerical analysis (65-XX) 4 Operations research, mathematical programming (90-XX) 2 Computer science (68-XX) 1 History and biography (01-XX) 1 Mathematical logic and foundations (03-XX) 1 Real functions (26-XX) 1 Special functions (33-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Approximations and expansions (41-XX) 1 Convex and discrete geometry (52-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Biology and other natural sciences (92-XX) 1 Systems theory; control (93-XX) Citations by Year