High-dimensional penalized arch processes
arXiv:1204.2251v1 [q-fin.PR] 10 Apr 2012
TOULOUSE SCHOOL OF ECONOMICS FINANCIAL ECONOMETRICS CONFERENCE TOULOUSE, MAY 21 & 22, 2010 Friday, May 21 8h30-8h35 Welcome
Jean-David Fermanian | DeepAI
PDF) The Estimation of Copulas: Theory and Practice | Arthur Charpentier - Academia.edu
Research Paper Number 57 Nonparametric Estimation of Copulas for Time Series Authors: Jean-David FERMANIAN - CDC Ixis Capital M
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About tests of the “simplifying” assumption for conditional copulas
A top-down approach for Asset-Backed-Securities: a consistent way of managing prepayment, default and interest rate risks.
Weak Convergence of Empirical Copula Processes
Cette semaine, Jean-David FERMANIAN, professeur de finance à l'ENSAE Paris et chercheur au CREST, vous présente l'ingénieur data scientist financier : un... | By ENSAE Paris | Facebook
Jean-David Fermanian | DeepAI
On kernel-based estimation of conditional Kendall's tau: nite-distance bounds and asymptotic behavior
Jean-David Fermanian Professeur de Finance ENSAE
Dynamics hedging of CDO tranches in Markovian set-ups
Deutsche Bank plugs gaps in senior management - Risk.net
Technische Universität München Department of Mathematics Clarke's Test For Non-Nested Model Comparison
Jean-David FERMANIAN | CREST
Volatility Strategies for Global and Country Specific European Investors
Jean-David Fermanian | DeepAI
Single-index copulae
Asymptotic total variation tests for copulas
COPULAS OF A VECTOR-VALUED STATIONARY WEAKLY DEPENDENT PROCESS
New Tools for Financial Regulation”
