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The limits of granularity adjustments
Fermanian, Jean-David - In: Journal of banking & finance 45 (2014), pp. 9-25
Persistent link: https://www.econbiz.de/10010466685
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A top-down approach for asset-backed securities : a consistent way od managing prepayment, default and interest rate risks
Fermanian, Jean-David - In: The journal of real estate finance and economics 46 (2013) 3, pp. 480-515
Persistent link: https://www.econbiz.de/10009727565
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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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A root n bandwidth selector in hazard estimation
Fermanian, Jean-David - 1996
Persistent link: https://www.econbiz.de/10000945861
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Multivariate hazard rates under random censorship
Fermanian, Jean-David - 1996
Persistent link: https://www.econbiz.de/10000927789
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On the link between volatilities, regime switching probabilities and correlation dynamics
Fermanian, Jean-David; Malongo, Hassan - In: Annals of economics and statistics 131 (2018), pp. 1-24
Persistent link: https://www.econbiz.de/10011995894
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Single-index copulae
Fermanian, Jean-David; Lopez, Olivier - 2015
Persistent link: https://www.econbiz.de/10011854699
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On the stationarity of dynamic conditional correlation models
Fermanian, Jean-David; Malongo, Hassan - In: Econometric theory 33 (2017) 3, pp. 636-663
Persistent link: https://www.econbiz.de/10011810178
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Multifactor granularity adjustments for market and counterparty risks
Fermanian, Jean-David; Florentin, Clément - In: Journal of risk 20 (2017/2018) 6, pp. 1-27
Persistent link: https://www.econbiz.de/10011962402
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Nonparametric estimation of copulas for time series
Fermanian, Jean-David; Scaillet, Olivier - 2002
Persistent link: https://www.econbiz.de/10001732499