Jean-David Fermanian

Finance · 2002–2012

A researcher in the Science corpus: 6 papers; trusts 38 researchers and is trusted by 81 researchers here, as inferred from the citation graph.

Subfields

• Finance — 53 citations into it; #234 of 10,518 by trust here, #1,099 by citations
• Economics and Econometrics — 31 citations into it; #7,498 of 23,481 by trust here, #18,597 by citations
• Statistics and Probability — 26 citations into it; #498 of 12,932 by trust here, #1,989 by citations
• Management Science and Operations Research — 11 citations into it
• Artificial Intelligence — 6 citations into it
• Demography — 5 citations into it; #518 of 4,236 by trust here, #545 by citations

Whom Jean-David Fermanian trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Christian Genest
2. Andrew J. Patton
3. Xiaohong Chen
4. Johan Segers
5. Olivier Scaillet
6. Weijing Wang
7. Daniel McFadden
8. Markus Junker
9. Axel Bucher
10. C. Savu

Who trusts Jean-David Fermanian overall

1. Andrew J. Patton
2. Christian Genest
3. Xiaohong Chen
4. Daniel Berg
5. Yanqin Fan
6. Jun Yan
7. S. Chen
8. Nikolai Kolev
9. Fateh Chebana
10. Friedrich Schmid

Papers from Jean-David Fermanian's perspective

Ordered by how strongly the researchers Jean-David Fermanian trusts endorse each paper. Same corpus, a different order for every researcher.

1. Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls
2. MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE a
3. Fonctions de repartition a n dimensions et leurs marges
4. Testing the Gaussian copula hypothesis for financial assets dependences
5. RANK-BASED INFERENCE FOR BIVARIATE EXTREME-VALUE COPULAS
6. The t Copula and Related Copulas
7. Measurement of Aggregate Risk with Copulas
8. Goodness-of-fit tests for copulas
9. Mixing: Properties and Examples
10. Dependence structures for multivariate high-frequency data in finance

Their papers

• Goodness-of-fit tests for copulas (2005) — 409 citations
• A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD (2004) — 73 citations
• An Overview of the Goodness-of-Fit Test Problem for Copulas (2012) — 48 citations
• Weak Convergence of Empirical Copula Processes (2004) — 459 citations
• Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements (2003) — 56 citations
• Nonparametric Estimation of Copulas for Time Series (2002) — 261 citations