9
H index
9
i10 index
389
Citations
Jean-David Fermanian : Citation Profile
Centre de Recherche en Économie et Statistique (CREST) | RESEARCH PRODUCTION: 30 Articles 39 Papers EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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28 years (1997 - 2025). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Jean-David Fermanian. | Is cited by:
| Cites to:
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Main data
Where Jean-David Fermanian has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Multivariate Analysis | 6 |
| conomie et Statistique | 3 |
| Econometric Theory | 3 |
| Dependence Modeling | 2 |
| Journal of Risk | 2 |
| Journal of Banking & Finance | 2 |
| Annals of Economics and Statistics | 2 |
Recent works citing Jean-David Fermanian (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | Distributional Effects with Two-Sided Measurement Error: An Application to Intergenerational Income Mobility. (2024). Murtazashvili, Irina ; Callaway, Brantly. In: Papers. RePEc:arx:papers:2107.09235. Full description at Econpapers || Download paper |
| 2024 | Fast estimation of Kendalls Tau and conditional Kendalls Tau matrices under structural assumptions. (2024). van der Spek, Rutger ; Derumigny, Alexis. In: Papers. RePEc:arx:papers:2204.03285. Full description at Econpapers || Download paper |
| 2025 | Impact of Climate transition on Credit portfolios loss with stochastic collateral. (2024). Sopgoui, Lionel. In: Papers. RePEc:arx:papers:2408.13266. Full description at Econpapers || Download paper |
| 2025 | Multi-Task Dynamic Pricing in Credit Market with Contextual Information. (2024). Xu, Renyuan ; Ji, Jingwei ; Javanmard, Adel. In: Papers. RePEc:arx:papers:2410.14839. Full description at Econpapers || Download paper |
| 2024 | Mirror Descent Algorithms for Risk Budgeting Portfolios. (2024). Frikha, Noufel ; Cetingoz, Adil Rengim ; Iglesias, Martin Arnaiz. In: Papers. RePEc:arx:papers:2411.12323. Full description at Econpapers || Download paper |
| 2025 | Shifting Power: Leveraging LLMs to Simulate Human Aversion in ABMs of Bilateral Financial Exchanges, A bond market study. (2025). Walsh, Toby ; Vidler, Alicia. In: Papers. RePEc:arx:papers:2503.00320. Full description at Econpapers || Download paper |
| 2025 | Weather-informed probabilistic forecasting and scenario generation in power systems. (2025). van Hentenryck, Pascal ; Tanneau, Mathieu ; Zandehshahvar, Reza ; Zhang, Hanyu. In: Applied Energy. RePEc:eee:appene:v:384:y:2025:i:c:s0306261925000996. Full description at Econpapers || Download paper |
| 2024 | Generalized divergences for statistical evaluation of uncertainty in long-memory processes. (2024). Yoshioka, Yumi. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:182:y:2024:i:c:s0960077924001784. Full description at Econpapers || Download paper |
| 2025 | Contagion network, portfolio credit risk, and financial crisis. (2025). Li, Bingqing ; Fu, Michael C ; Wu, Rongwen. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:3:p:942-957. Full description at Econpapers || Download paper |
| 2025 | Analysis of credit ABS based on Markov chain approaches. (2025). Liu, Fengming ; Song, Yingda. In: Finance Research Letters. RePEc:eee:finlet:v:71:y:2025:i:c:s1544612324014612. Full description at Econpapers || Download paper |
| 2024 | Commodity market downturn: Systemic risk and spillovers during left tail events. (2024). Çevik, Emrah ; Kirimhan, Destan ; Gunay, Samet. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000643. Full description at Econpapers || Download paper |
| 2025 | Spatial allocation of nature-based solutions in the form of public green infrastructure in relation to the socio-economic district profile–a GIS-based comparative study of Gdańsk and Rome. (2025). Luciani, Giulia ; Azadgar, Anahita ; Nyka, Lucyna. In: Land Use Policy. RePEc:eee:lauspo:v:150:y:2025:i:c:s0264837724004071. Full description at Econpapers || Download paper |
| 2025 | Preventive replacement policies of parallel/series systems with dependent components under deviation costs. (2025). Niu, Jiale ; Zhang, Jiandong ; Yan, Rongfang. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:260:y:2025:i:c:s0951832025002340. Full description at Econpapers || Download paper |
| 2024 | Simultaneous Search and Adverse Selection. (2024). Wolthoff, Ronald ; Gottardi, Piero ; Auster, Sarah. In: IZA Discussion Papers. RePEc:iza:izadps:dp16822. Full description at Econpapers || Download paper |
| 2024 | Semiparametric Conditional Mixture Copula Models with Copula Selection. (2024). Cai, Zongwu ; Luo, Xuelong ; Long, Wei ; Liu, Guannan. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202401. Full description at Econpapers || Download paper |
| 2024 | Penalized Convex Estimation in Dynamic Location-Scale models. (2024). Chentoufi, Reda Alami. In: MPRA Paper. RePEc:pra:mprapa:123283. Full description at Econpapers || Download paper |
| 2024 | Generalised Bayesian sample copula of order m. (2024). Nieto-Barajas, Luis E ; Hoyos-Argelles, Ricardo. In: Computational Statistics. RePEc:spr:compst:v:39:y:2024:i:4:d:10.1007_s00180-023-01383-z. Full description at Econpapers || Download paper |
| 2025 | Identifying the number of latent factors of stochastic volatility models. (2025). Mancino, Maria Elvira ; Allaj, Erindi ; Sanfelici, Simona. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:48:y:2025:i:1:d:10.1007_s10203-024-00479-5. Full description at Econpapers || Download paper |
| 2025 | Urban environmental evaluation using an affiliated private value auction model. (2025). Nakanishi, Hayato. In: Empirical Economics. RePEc:spr:empeco:v:68:y:2025:i:3:d:10.1007_s00181-024-02669-x. Full description at Econpapers || Download paper |
| 2024 | Relationships among return and liquidity of cryptocurrencies. (2024). Li, Ziyuan ; Jin, Siyuan ; Zhang, Mianmian ; Zhu, Bing ; Xia, Yong. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00532-z. Full description at Econpapers || Download paper |
| 2024 | New copula families and mixing properties. (2024). Longla, Martial. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:7:d:10.1007_s00362-024-01559-9. Full description at Econpapers || Download paper |
| 2024 | Nonparametric estimator of the tail dependence coefficient: balancing bias and variance. (2024). , Maxime ; Garcin, Matthieu. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:8:d:10.1007_s00362-024-01582-w. Full description at Econpapers || Download paper |
| 2024 | Dynamic kernel models. (2024). Vallarino, Pierluigi. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240082. Full description at Econpapers || Download paper |
| 2025 | Tree-based conditional copula estimation. (2025). Maud, Thomas ; Olivier, Lopez ; Francesco, Bonacina. In: Dependence Modeling. RePEc:vrs:demode:v:13:y:2025:i:1:p:25:n:1001. Full description at Econpapers || Download paper |
Jean-David Fermanian has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Jean-David Fermanian:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2018 | On the Link between Volatilities, Regime Switching Probabilities and Correlation Dynamics In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2020 | On the Dependence between Default Risk and Recovery Rates in Structural Models In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 1 |
| 2012 | On break-even correlation: the way to price structured credit derivatives by replication In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | On break-even correlation: the way to price structured credit derivatives by replication.(2015) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2012 | An overview of the goodness-of-fit test problem for copulas In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | On the stationarity of Dynamic Conditional Correlation models In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2013 | On the Stationarity of Dynamic Conditional Correlation Models.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2017 | ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS.(2017) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2017 | The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms In: Papers. [Full Text][Citation analysis] | paper | 11 |
| 2016 | The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2016 | The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms.(2016) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2016 | The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms.(2016) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2016 | The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms.(2016) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2023 | Risk Budgeting Portfolios: Existence and Computation In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2000 | Lower Bounds in Hazard Estimation In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2001 | Nonparametric Estimation of Competing Risks Models with Covariates In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2003 | Nonparametric estimation of competing risks models with covariates.(2003) In: Journal of Multivariate Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2001 | A Nonparametric Simulated Maximum Likelihood Estimation Method In: Working Papers. [Full Text][Citation analysis] | paper | 46 |
| 2004 | A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD.(2004) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | article | |
| 2002 | Weak Convergence of Empirical Copula Processes In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements In: Working Papers. [Full Text][Citation analysis] | paper | 21 |
| 2005 | Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements.(2005) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | article | |
| 2003 | Goodness of Fit Tests for Copulas In: Working Papers. [Full Text][Citation analysis] | paper | 114 |
| 2005 | Goodness-of-fit tests for copulas.(2005) In: Journal of Multivariate Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 114 | article | |
| 2004 | Optimal Greek Weight by Kernel Estimation In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Copulas of a Vector-Valued Stationary Weakly Dependent Process In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | A Asymptotic Total Variation Test for Copulas In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | The Limits of Granularity Adjustments In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2014 | The limits of granularity adjustments.(2014) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2014 | Dynamic Asset Correlations Based on Vines In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2019 | DYNAMIC ASSET CORRELATIONS BASED ON VINES.(2019) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2015 | Agents Behavior on Multi-Dealer-to-Client Bond Trading Platforms In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2015 | Single-index copulae In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 2018 | Single-index copulas.(2018) In: Journal of Multivariate Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2016 | Vine-GARCH process: Stationarity and Asymptotic Properties In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Multi-factor Granularity Adjustments for Market and Counterparty Risks In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| Multifactor granularity adjustments for market and counterparty risks.() In: Journal of Risk. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | ||
| 2017 | About tests of the “simplifying” assumption for conditional copulas In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2017 | About tests of the “simplifying” assumption for conditional copulas.(2017) In: Dependence Modeling. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2018 | About Kendalls regression In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2019 | The finite sample properties of Sparse M-estimators with Pseudo-Observations In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | The finite sample properties of sparse M-estimators with pseudo-observations.(2022) In: Annals of the Institute of Statistical Mathematics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2019 | A classification point-of-view about conditional Kendall’s tau In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 1 |
| 2023 | A corrected Clarke test for model selection and beyond In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2012 | Time-dependent copulas In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 14 |
| 2020 | On Kendall’s regression In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 2 |
| 1997 | Multivariate Hazard Rates under Random Censorship, In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 1 |
| 2004 | SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 15 |
| 2003 | Nonparametric Estimation of Copulas for Time Series In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 82 |
| 2003 | Nonparametric estimation of copulas for time series.(2003) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 82 | paper | |
| Nonparametric estimation of copulas for time series.() In: Journal of Risk. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 82 | article | ||
| 2003 | Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Recent Developments in Copula Models In: Econometrics. [Full Text][Citation analysis] | article | 4 |
| 2022 | Stochastic Algorithms for Advanced Risk Budgeting In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 0 |
| 2022 | Stochastic Algorithms for Advanced Risk Budgeting.(2022) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2021 | Fair learning with bagging In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 0 |
| 2021 | Fair learning with bagging.(2021) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2021 | Fair learning with bagging.(2021) In: Documents de travail du Centre d'Economie de la Sorbonne. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2012 | Volatility Strategies for Global and Country Specific European Investors In: Post-Print. [Full Text][Citation analysis] | paper | 3 |
| 2011 | Hedging default risks of CDOs in Markovian contagion models In: Post-Print. [Citation analysis] | paper | 2 |
| 2013 | A Top-Down Approach for Asset-Backed Securities: A Consistent Way of Managing Prepayment, Default and Interest Rate Risks In: The Journal of Real Estate Finance and Economics. [Full Text][Citation analysis] | article | 3 |
| 1999 | Les horaires de travail dans le couple In: Économie et Statistique. [Full Text][Citation analysis] | article | 14 |
| 1999 | Les rythmes de travail hors norme In: Économie et Statistique. [Full Text][Citation analysis] | article | 7 |
| 1999 | Réduction collective et individuelle du temps de travail : que souhaitent les salariés ? In: Économie et Statistique. [Full Text][Citation analysis] | article | 0 |
| 2025 | Model-based vs. agnostic methods for the prediction of time-varying covariance matrices In: Annals of Operations Research. [Full Text][Citation analysis] | article | 0 |
| 2009 | An empirical central limit theorem with applications to copulas under weak dependence In: Statistical Inference for Stochastic Processes. [Full Text][Citation analysis] | article | 12 |
| 2021 | High-dimensional penalized arch processes In: Econometric Reviews. [Full Text][Citation analysis] | article | 2 |
| 2023 | Estimation of Copulas via Maximum Mean Discrepancy In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 1 |
| 2019 | On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior In: Dependence Modeling. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 20 2025. Contact: CitEc Team