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Lower bounds in hazard estimation

Fermanian, Jean-David - 2000

Persistent link: https://www.econbiz.de/10001470521

Multivariate hazard rates under random censorship

Fermanian, Jean-David - 1996

Persistent link: https://www.econbiz.de/10000927789

A root n bandwidth selector in hazard estimation

Fermanian, Jean-David - 1996

Persistent link: https://www.econbiz.de/10000945861

Nonparametric estimation of competing risks models with covariates

Fermanian, Jean-David - 2001

Persistent link: https://www.econbiz.de/10001577411

A nonparametric simulated maximum likelihood estimation method

Fermanian, Jean-David; Salanié, Bernard - 2001

Persistent link: https://www.econbiz.de/10001577508

Nonparametric estimation of copulas for time series

Fermanian, Jean-David; Scaillet, Olivier - 2002

Persistent link: https://www.econbiz.de/10001732499

A nonparametric simulated maximum likelihood estimation method

Fermanian, Jean-David; Salanié, Bernard - In: Econometric theory 20 (2004) 4, pp. 701-734

Persistent link: https://www.econbiz.de/10002163077

On the Stationarity of Dynamic Conditional Correlation Models

Fermanian, Jean-David - 2014

We provide conditions for the existence and the unicity of strictly stationary solutions of the usual Dynamic Conditional Correlation GARCH models (DCC-GARCH). The proof is based on Tweedie's (1988) criteria, after having rewritten DCC-GARCH models as nonlinear Markov chains. Moreover, we study...

Persistent link: https://www.econbiz.de/10013053425

Vine-GARCH process : stationarity and asymptotic properties

Poignard, Benjamin; Fermanian, Jean-David - 2016

Persistent link: https://www.econbiz.de/10011854705

The finite sample properties of sparse M-estimators with pseudo-observations

Poignard, Benjamin; Fermanian, Jean-David - 2019

Persistent link: https://www.econbiz.de/10012237251