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	1	7	9	17
A flexible matrix Libor model with smiles	0	0	0	9	0	6	16	99
A linear-rational multi-curve term structure model with stochastic spread	0	0	0	0	2	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	3	19	44	189

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	0	3	8	83
A joint analysis of market indexes in credit default swap, volatility and stock markets	0	0	0	12	1	3	11	45
A multifactor volatility Heston model	0	0	2	239	0	1	13	542
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy	0	0	0	1	0	1	12	21
Clustering and Mean Reversion in a Hawkes Microstructure Model	0	0	0	11	0	4	12	74
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	4	15	174
Dynamics of implied volatility surfaces	6	6	16	122	23	35	68	449
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function	2	2	3	37	2	8	16	135
Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market	0	0	0	14	3	6	19	76
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS	0	0	1	3	1	4	14	29
Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit	0	1	4	55	0	2	13	132
Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition	0	0	1	9	0	3	10	63
Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market	0	0	2	17	0	2	20	72
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	1	1	2	103	3	5	10	279
Pricing guaranteed annuity options in a linear-rational Wishart mortality model	0	0	1	2	4	6	17	23
Pricing range notes within Wishart affine models	0	0	0	8	0	3	9	63
Riding on the smiles	0	0	0	4	0	4	9	23
Semivariance and semiskew risk premiums in currency markets	0	1	1	6	0	2	7	26
Stochastic Models of Implied Volatility Surfaces	0	0	1	11	1	6	15	51
The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets	1	1	1	7	1	20	30	53
The α-hypergeometric stochastic volatility model	0	0	0	6	0	3	7	40
Valuing variable annuity guarantees on multiple assets	1	1	1	2	1	6	14	15
Variance and skew risk premiums for the volatility market: The VIX evidence	0	0	0	7	0	8	20	53
Volatility of volatility is (also) rough	0	0	0	7	0	3	11	57
Volatility spillovers and connectedness among credit default swap sector indexes	0	0	0	4	0	0	5	21
Total Journal Articles	11	13	37	738	42	146	423	2,727

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Statistics updated 2026-06-04