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 1 1 5 85
A linear-rational multi-curve term structure model with stochastic spread 0 0 0 0 1 2 2 3
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 2 6 47
Total Working Papers 0 0 2 67 2 5 17 154

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 4 78
A joint analysis of market indexes in credit default swap, volatility and stock markets 0 0 1 12 2 3 7 40
A multifactor volatility Heston model 1 1 3 239 1 5 10 537
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy 0 0 0 1 3 4 7 15
Clustering and Mean Reversion in a Hawkes Microstructure Model 0 0 0 11 5 5 6 68
Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model 0 0 1 9 1 1 3 26
Cross-hedging strategies between CDS spreads and option volatility during crises 0 0 0 31 0 5 5 164
Dynamics of implied volatility surfaces 1 3 23 115 10 17 57 410
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function 0 0 3 35 0 2 9 124
Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market 0 0 0 14 4 7 11 67
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS 0 0 0 2 4 6 8 22
Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit 1 1 5 54 4 5 12 126
Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition 0 0 1 9 1 2 4 57
Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market 0 0 1 15 13 16 19 68
On moment non-explosions for Wishart-based stochastic volatility models 0 0 0 4 21 22 22 40
Option pricing when correlations are stochastic: an analytical framework 0 0 2 102 0 2 5 272
Pricing guaranteed annuity options in a linear-rational Wishart mortality model 0 1 2 2 1 5 10 14
Pricing range notes within Wishart affine models 0 0 0 8 1 1 1 55
Riding on the smiles 0 0 0 4 2 2 4 18
Semivariance and semiskew risk premiums in currency markets 0 0 0 5 0 0 2 21
Stochastic Models of Implied Volatility Surfaces 0 0 0 10 1 4 6 42
The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets 0 0 0 6 2 6 8 29
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 2 4 6 7
Variance and skew risk premiums for the volatility market: The VIX evidence 0 0 0 7 7 8 8 41
Volatility of volatility is (also) rough 0 0 0 7 1 2 4 48
Volatility spillovers and connectedness among credit default swap sector indexes 0 0 0 4 0 2 4 19
Total Journal Articles 3 6 42 720 87 140 248 2,493

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Statistics updated 2026-01-09