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	3	6	8	16
A flexible matrix Libor model with smiles	0	0	0	9	5	10	16	99
A linear-rational multi-curve term structure model with stochastic spread	0	0	0	0	2	2	6	7
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy	0	0	0	7	1	1	5	14
The $\alpha$-Hypergeometric Stochastic Volatility Model	0	0	0	51	1	1	6	50
Total Working Papers	0	0	0	67	12	20	41	186

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	2	2	4	52
A flexible matrix Libor model with smiles	0	0	0	7	3	3	8	83
A joint analysis of market indexes in credit default swap, volatility and stock markets	0	0	1	12	2	2	11	44
A multifactor volatility Heston model	0	0	3	239	0	2	15	542
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy	0	0	0	1	1	1	12	21
Clustering and Mean Reversion in a Hawkes Microstructure Model	0	0	0	11	3	5	12	74
Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model	0	0	1	9	1	1	4	28
Cross-hedging strategies between CDS spreads and option volatility during crises	0	0	0	31	1	4	13	172
Dynamics of implied volatility surfaces	0	0	15	116	7	13	56	426
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function	0	0	3	35	4	7	17	133
Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market	0	0	0	14	2	5	16	73
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS	0	0	1	3	3	3	13	28
Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit	1	1	4	55	1	4	13	132
Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition	0	0	1	9	1	4	10	63
Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market	0	2	2	17	2	4	20	72
On moment non-explosions for Wishart-based stochastic volatility models	0	0	0	4	1	3	30	48
Option pricing when correlations are stochastic: an analytical framework	0	0	2	102	2	2	8	276
Pricing guaranteed annuity options in a linear-rational Wishart mortality model	0	0	1	2	2	3	14	19
Pricing range notes within Wishart affine models	0	0	0	8	3	4	9	63
Riding on the smiles	0	0	0	4	2	5	9	23
Semivariance and semiskew risk premiums in currency markets	1	1	1	6	2	4	7	26
Stochastic Models of Implied Volatility Surfaces	0	0	1	11	2	5	14	50
The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets	0	0	0	6	5	20	29	52
The α-hypergeometric stochastic volatility model	0	0	0	6	2	3	7	40
Valuing variable annuity guarantees on multiple assets	0	0	0	1	3	5	13	14
Variance and skew risk premiums for the volatility market: The VIX evidence	0	0	0	7	7	9	20	53
Volatility of volatility is (also) rough	0	0	0	7	1	3	11	57
Volatility spillovers and connectedness among credit default swap sector indexes	0	0	0	4	0	1	5	21
Total Journal Articles	2	4	36	727	65	127	400	2,685

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Statistics updated 2026-05-06