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 5 84
A linear-rational multi-curve term structure model with stochastic spread 0 0 0 0 1 1 1 2
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy 0 0 0 7 0 1 1 10
The $\alpha$-Hypergeometric Stochastic Volatility Model 0 0 2 51 2 3 7 47
Total Working Papers 0 0 2 67 3 6 17 152

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 1 1 3 50
A flexible matrix Libor model with smiles 0 0 0 7 0 1 2 76
A joint analysis of market indexes in credit default swap, volatility and stock markets 0 0 1 12 0 1 5 37
A multifactor volatility Heston model 0 0 2 238 3 4 9 535
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy 0 0 0 1 1 2 4 12
Clustering and Mean Reversion in a Hawkes Microstructure Model 0 0 1 11 0 0 3 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 0 0 0 159
Dynamics of implied volatility surfaces 2 3 22 114 6 9 48 399
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function 0 1 3 35 1 4 9 123
Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market 0 0 0 14 1 4 6 61
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS 0 0 0 2 1 2 3 17
Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit 0 1 4 53 0 1 7 121
Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition 0 0 1 9 0 0 2 55
Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market 0 0 1 15 1 1 5 53
On moment non-explosions for Wishart-based stochastic volatility models 0 0 0 4 0 0 0 18
Option pricing when correlations are stochastic: an analytical framework 0 0 2 102 1 1 4 271
Pricing guaranteed annuity options in a linear-rational Wishart mortality model 1 1 2 2 3 5 10 12
Pricing range notes within Wishart affine models 0 0 0 8 0 0 2 54
Riding on the smiles 0 0 0 4 0 1 2 16
Semivariance and semiskew risk premiums in currency markets 0 0 0 5 0 2 2 21
Stochastic Models of Implied Volatility Surfaces 0 0 0 10 1 2 3 39
The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets 0 0 0 6 2 2 4 25
The α-hypergeometric stochastic volatility model 0 0 0 6 1 1 3 35
Valuing variable annuity guarantees on multiple assets 0 0 0 1 1 3 3 4
Variance and skew risk premiums for the volatility market: The VIX evidence 0 0 0 7 1 1 1 34
Volatility of volatility is (also) rough 0 0 0 7 1 1 3 47
Volatility spillovers and connectedness among credit default swap sector indexes 0 0 0 4 1 1 3 18
Total Journal Articles 3 7 40 717 27 51 149 2,380

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Statistics updated 2025-11-08