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On the dependence between default risk and recovery rates in structural models
Fermanian, Jean-David - In: Annals of economics and statistics 140 (2020), pp. 45-82
Persistent link: https://www.econbiz.de/10012602600
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The finite sample properties of sparse M-estimators with pseudo-observations
Poignard, Benjamin; Fermanian, Jean-David - 2019
Persistent link: https://www.econbiz.de/10012237251
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Single-index copulae
Fermanian, Jean-David; Lopez, Olivier - 2015
Persistent link: https://www.econbiz.de/10011854699
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Nonparametric estimation of copulas for time series
Fermanian, Jean-David; Scaillet, Olivier - 2002
Persistent link: https://www.econbiz.de/10001732499
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Goodness of fit tests for copulas
Fermanian, Jean-David - 2003
Persistent link: https://www.econbiz.de/10001812439
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Weak convergence of empirical copula processes
Fermanian, Jean-David; Radulovic, Dragan; Wegkamp, Marten H. - 2002
Persistent link: https://www.econbiz.de/10001660114
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A asymptotic total variation test for copulas
Fermanian, Jean-David; Radulović, Dragan; Wegkamp, … - 2013
Persistent link: https://www.econbiz.de/10010342718
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Copulas of a vector-valued stationary weakly dependent process
Doukhan, Paul; Fermanian, Jean-David; Lang, Gabriel - 2004
Persistent link: https://www.econbiz.de/10003435092
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About tests of the "simplifying" assumption for conditional copulas
Derumigny, Alexis; Fermanian, Jean-David - 2017
Persistent link: https://www.econbiz.de/10012196359