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 1 1 3 9
A flexible matrix Libor model with smiles 0 0 0 9 0 0 5 83
A linear-rational multi-curve term structure model with stochastic spread 0 0 0 0 0 0 0 1
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy 0 0 0 7 0 0 1 9
The $\alpha$-Hypergeometric Stochastic Volatility Model 0 0 2 51 0 0 4 44
Total Working Papers 0 0 2 67 1 1 13 146

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 2 49
A flexible matrix Libor model with smiles 0 0 0 7 0 0 1 75
A joint analysis of market indexes in credit default swap, volatility and stock markets 0 1 1 12 2 3 6 36
A multifactor volatility Heston model 0 2 2 238 1 4 6 531
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy 0 0 0 1 0 1 4 10
Clustering and Mean Reversion in a Hawkes Microstructure Model 0 0 1 11 1 1 3 63
Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model 0 0 0 8 0 0 2 24
Cross-hedging strategies between CDS spreads and option volatility during crises 0 0 0 31 0 0 0 159
Dynamics of implied volatility surfaces 1 10 24 111 3 20 51 390
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function 0 2 2 34 0 3 8 119
Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market 0 0 0 14 0 0 2 57
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS 0 0 0 2 0 0 2 15
Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit 0 1 4 52 0 1 7 120
Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition 0 1 1 9 0 2 4 55
Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market 0 0 1 15 0 0 4 52
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 2 2 102 0 2 4 270
Pricing guaranteed annuity options in a linear-rational Wishart mortality model 0 0 1 1 1 2 7 7
Pricing range notes within Wishart affine models 0 0 0 8 0 0 4 54
Riding on the smiles 0 0 1 4 1 1 2 15
Semivariance and semiskew risk premiums in currency markets 0 0 0 5 0 0 1 19
Stochastic Models of Implied Volatility Surfaces 0 0 0 10 1 1 2 37
The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets 0 0 2 6 0 0 6 23
The α-hypergeometric stochastic volatility model 0 0 0 6 1 1 3 34
Valuing variable annuity guarantees on multiple assets 0 0 1 1 0 0 1 1
Variance and skew risk premiums for the volatility market: The VIX evidence 0 0 0 7 0 0 2 33
Volatility of volatility is (also) rough 0 0 0 7 0 0 3 46
Volatility spillovers and connectedness among credit default swap sector indexes 0 0 1 4 1 1 3 17
Total Journal Articles 1 19 44 710 13 44 140 2,329

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Statistics updated 2025-08-05