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 0 0 3 9
A flexible matrix Libor model with smiles 0 0 0 9 0 1 4 84
A linear-rational multi-curve term structure model with stochastic spread 0 0 0 0 0 1 1 2
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy 0 0 0 7 0 0 1 10
The $\alpha$-Hypergeometric Stochastic Volatility Model 0 0 2 51 0 3 7 47
Total Working Papers 0 0 2 67 0 5 16 152

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 1 3 50
A flexible matrix Libor model with smiles 0 0 0 7 1 2 3 77
A joint analysis of market indexes in credit default swap, volatility and stock markets 0 0 1 12 1 2 6 38
A multifactor volatility Heston model 0 0 2 238 1 5 9 536
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy 0 0 0 1 0 1 4 12
Clustering and Mean Reversion in a Hawkes Microstructure Model 0 0 0 11 0 0 2 63
Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model 0 1 1 9 0 1 3 25
Cross-hedging strategies between CDS spreads and option volatility during crises 0 0 0 31 5 5 5 164
Dynamics of implied volatility surfaces 0 3 22 114 1 8 49 400
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function 0 0 3 35 1 4 9 124
Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market 0 0 0 14 2 6 7 63
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS 0 0 0 2 1 2 4 18
Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit 0 0 4 53 1 1 8 122
Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition 0 0 1 9 1 1 3 56
Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market 0 0 1 15 2 3 6 55
On moment non-explosions for Wishart-based stochastic volatility models 0 0 0 4 1 1 1 19
Option pricing when correlations are stochastic: an analytical framework 0 0 2 102 1 2 5 272
Pricing guaranteed annuity options in a linear-rational Wishart mortality model 0 1 2 2 1 5 11 13
Pricing range notes within Wishart affine models 0 0 0 8 0 0 1 54
Riding on the smiles 0 0 0 4 0 0 2 16
Semivariance and semiskew risk premiums in currency markets 0 0 0 5 0 1 2 21
Stochastic Models of Implied Volatility Surfaces 0 0 0 10 2 3 5 41
The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets 0 0 0 6 2 4 6 27
The α-hypergeometric stochastic volatility model 0 0 0 6 0 1 3 35
Valuing variable annuity guarantees on multiple assets 0 0 0 1 1 3 4 5
Variance and skew risk premiums for the volatility market: The VIX evidence 0 0 0 7 0 1 1 34
Volatility of volatility is (also) rough 0 0 0 7 0 1 3 47
Volatility spillovers and connectedness among credit default swap sector indexes 0 0 0 4 1 2 4 19
Total Journal Articles 0 5 39 717 26 66 169 2,406

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Statistics updated 2025-12-06