Access Statistics for José DA FONSECA

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A flexible matrix Libor model with smiles 0 0 0 9 0 0 3 77
The $\alpha$-Hypergeometric Stochastic Volatility Model 0 0 0 48 1 1 7 33
Total Working Papers 0 0 0 57 1 1 10 110


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface 0 0 0 0 0 0 1 42
A flexible matrix Libor model with smiles 0 0 0 6 0 0 6 67
A joint analysis of market indexes in credit default swap, volatility and stock markets 0 0 0 5 1 2 5 17
A multifactor volatility Heston model 0 0 4 228 0 3 13 497
Clustering and Mean Reversion in a Hawkes Microstructure Model 0 0 0 4 0 1 3 31
Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model 1 1 1 4 1 1 1 10
Cross-hedging strategies between CDS spreads and option volatility during crises 0 0 1 19 1 4 12 124
Dynamics of implied volatility surfaces 0 1 13 47 2 6 38 184
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function 0 0 2 25 0 1 7 96
Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market 0 0 0 5 0 1 8 32
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS 0 0 0 0 0 0 5 8
Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit 1 1 8 28 1 2 11 65
Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition 0 1 2 5 1 4 7 23
On moment non-explosions for Wishart-based stochastic volatility models 0 0 0 3 0 0 1 13
Option pricing when correlations are stochastic: an analytical framework 0 1 2 95 0 2 8 251
Pricing range notes within Wishart affine models 0 0 0 5 0 0 7 38
Riding on the smiles 0 0 0 1 0 0 0 2
Stochastic Models of Implied Volatility Surfaces 1 1 1 2 1 3 4 19
The α-hypergeometric stochastic volatility model 0 0 3 5 0 1 5 17
Volatility spillovers and connectedness among credit default swap sector indexes 0 0 0 0 0 1 2 9
Total Journal Articles 3 6 37 487 8 32 144 1,545


Statistics updated 2020-09-04