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 0 77
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy 0 0 0 0 0 0 1 2
The $\alpha$-Hypergeometric Stochastic Volatility Model 0 0 0 48 0 0 1 37
Total Working Papers 0 0 0 57 0 0 2 116

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 45
A flexible matrix Libor model with smiles 0 0 0 7 0 0 0 73
A joint analysis of market indexes in credit default swap, volatility and stock markets 0 0 0 10 0 0 2 28
A multifactor volatility Heston model 0 0 1 235 0 0 3 520
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy 0 0 1 1 0 0 2 6
Clustering and Mean Reversion in a Hawkes Microstructure Model 0 1 3 9 0 1 7 49
Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model 0 0 0 6 0 1 3 20
Cross-hedging strategies between CDS spreads and option volatility during crises 0 0 5 29 0 0 9 154
Dynamics of implied volatility surfaces 0 0 10 77 2 4 33 290
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function 0 0 1 27 0 2 3 104
Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market 1 1 6 12 1 3 12 50
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS 0 0 1 2 0 0 2 13
Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit 1 2 9 44 1 2 17 104
Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition 0 0 0 7 0 0 5 48
Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market 0 1 1 12 1 2 2 39
On moment non-explosions for Wishart-based stochastic volatility models 0 0 0 4 0 0 1 18
Option pricing when correlations are stochastic: an analytical framework 0 0 1 98 0 0 2 262
Pricing range notes within Wishart affine models 0 0 1 7 0 2 3 48
Riding on the smiles 0 0 1 3 0 0 1 10
Semivariance and semiskew risk premiums in currency markets 0 0 0 3 0 0 1 13
Stochastic Models of Implied Volatility Surfaces 0 0 1 4 0 1 4 26
The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets 0 0 0 3 1 1 4 13
The α-hypergeometric stochastic volatility model 0 0 0 6 0 0 3 25
Variance and skew risk premiums for the volatility market: The VIX evidence 0 0 0 4 0 0 2 25
Volatility of volatility is (also) rough 0 0 2 6 0 0 3 38
Volatility spillovers and connectedness among credit default swap sector indexes 0 0 0 2 0 0 0 13
Total Journal Articles 2 5 44 618 6 19 125 2,034

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Statistics updated 2023-06-05