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 Linear-Rational Multi-Curve Term Structure Model with Stochastic Spread 0 0 0 0 1 1 4 10
A flexible matrix Libor model with smiles 0 0 0 9 4 5 9 89
A linear-rational multi-curve term structure model with stochastic spread 0 0 0 0 2 3 4 5
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy 0 0 0 7 3 3 4 13
The $\alpha$-Hypergeometric Stochastic Volatility Model 0 0 2 51 2 2 8 49
Total Working Papers 0 0 2 67 12 14 29 166

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 3 50
A flexible matrix Libor model with smiles 0 0 0 7 2 4 6 80
A joint analysis of market indexes in credit default swap, volatility and stock markets 0 0 1 12 2 5 9 42
A multifactor volatility Heston model 0 1 3 239 3 5 13 540
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy 0 0 0 1 5 8 11 20
Clustering and Mean Reversion in a Hawkes Microstructure Model 0 0 0 11 1 6 7 69
Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model 0 0 1 9 1 2 4 27
Cross-hedging strategies between CDS spreads and option volatility during crises 0 0 0 31 4 9 9 168
Dynamics of implied volatility surfaces 1 2 21 116 3 14 56 413
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function 0 0 3 35 2 3 11 126
Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market 0 0 0 14 1 7 11 68
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS 1 1 1 3 3 8 11 25
Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit 0 1 5 54 2 7 13 128
Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition 0 0 1 9 2 4 6 59
Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market 0 0 0 15 0 15 17 68
On moment non-explosions for Wishart-based stochastic volatility models 0 0 0 4 5 27 27 45
Option pricing when correlations are stochastic: an analytical framework 0 0 2 102 2 3 7 274
Pricing guaranteed annuity options in a linear-rational Wishart mortality model 0 0 1 2 2 4 11 16
Pricing range notes within Wishart affine models 0 0 0 8 4 5 5 59
Riding on the smiles 0 0 0 4 0 2 4 18
Semivariance and semiskew risk premiums in currency markets 0 0 0 5 1 1 3 22
Stochastic Models of Implied Volatility Surfaces 1 1 1 11 3 6 9 45
The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets 0 0 0 6 3 7 11 32
The α-hypergeometric stochastic volatility model 0 0 0 6 2 2 5 37
Valuing variable annuity guarantees on multiple assets 0 0 0 1 2 5 8 9
Variance and skew risk premiums for the volatility market: The VIX evidence 0 0 0 7 3 10 11 44
Volatility of volatility is (also) rough 0 0 0 7 6 7 9 54
Volatility spillovers and connectedness among credit default swap sector indexes 0 0 0 4 1 2 5 20
Total Journal Articles 3 6 40 723 65 178 302 2,558

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Statistics updated 2026-02-12