Access Statistics for José DA FONSECA

Author contact details at EconPapers.

Working Paper	File Downloads				Abstract Views
Working Paper	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	4	9	17
A flexible matrix Libor model with smiles	0	0	0	9	1	6	17	100
A linear-rational multi-curve term structure model with stochastic spread	0	0	0	0	0	4	8	9
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy	0	0	0	7	0	1	5	14
The $\alpha$-Hypergeometric Stochastic Volatility Model	0	0	0	51	0	1	6	50
Total Working Papers	0	0	0	67	1	16	45	190

Journal Article	File Downloads				Abstract Views
Journal Article	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	2	4	52
A flexible matrix Libor model with smiles	0	0	0	7	1	4	9	84
A joint analysis of market indexes in credit default swap, volatility and stock markets	0	0	0	12	1	4	12	46
A multifactor volatility Heston model	0	0	1	239	0	0	12	542
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy	0	0	0	1	0	1	11	21
Clustering and Mean Reversion in a Hawkes Microstructure Model	0	0	0	11	1	4	13	75
Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model	0	0	1	9	0	1	4	28
Cross-hedging strategies between CDS spreads and option volatility during crises	0	0	0	31	2	5	17	176
Dynamics of implied volatility surfaces	1	7	13	123	15	45	77	464
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function	0	2	3	37	2	8	18	137
Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market	0	0	0	14	0	5	19	76
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS	0	0	1	3	0	4	14	29
Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit	0	1	3	55	0	1	12	132
Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition	0	0	0	9	3	4	11	66
Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market	0	0	2	17	2	4	22	74
On moment non-explosions for Wishart-based stochastic volatility models	0	0	0	4	0	1	30	48
Option pricing when correlations are stochastic: an analytical framework	0	1	1	103	0	5	9	279
Pricing guaranteed annuity options in a linear-rational Wishart mortality model	0	0	1	2	14	20	31	37
Pricing range notes within Wishart affine models	0	0	0	8	0	3	9	63
Riding on the smiles	0	0	0	4	0	2	9	23
Semivariance and semiskew risk premiums in currency markets	0	1	1	6	0	2	7	26
Stochastic Models of Implied Volatility Surfaces	1	1	2	12	1	4	16	52
The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets	0	1	1	7	2	8	32	55
The α-hypergeometric stochastic volatility model	0	0	0	6	0	2	7	40
Valuing variable annuity guarantees on multiple assets	0	1	1	2	0	4	14	15
Variance and skew risk premiums for the volatility market: The VIX evidence	0	0	0	7	0	7	20	53
Volatility of volatility is (also) rough	0	0	0	7	0	1	11	57
Volatility spillovers and connectedness among credit default swap sector indexes	0	0	0	4	0	0	5	21
Total Journal Articles	2	15	31	740	44	151	455	2,771

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Authors with no registered papers

LogEc provides access and usage statistics for services based on the RePEc data set.

LogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-07-10