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 2 2 8
A flexible matrix Libor model with smiles 0 0 0 9 0 0 6 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 2 2 51 0 3 4 44
Total Working Papers 0 2 2 67 0 5 13 145

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 2 48
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 1 1 1 12 1 1 4 34
A multifactor volatility Heston model 1 1 1 237 2 2 4 529
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy 0 0 0 1 0 0 3 9
Clustering and Mean Reversion in a Hawkes Microstructure Model 0 0 1 11 0 0 5 62
Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model 0 0 1 8 0 1 3 24
Cross-hedging strategies between CDS spreads and option volatility during crises 0 0 1 31 0 0 1 159
Dynamics of implied volatility surfaces 5 9 21 106 11 17 49 381
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function 2 2 2 34 3 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 1 2 15
Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit 0 1 3 51 0 1 6 119
Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition 0 0 0 8 0 0 3 53
Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market 0 0 1 15 0 1 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 1 1 1 101 1 2 3 269
Pricing guaranteed annuity options in a linear-rational Wishart mortality model 0 0 1 1 1 1 6 6
Pricing range notes within Wishart affine models 0 0 1 8 0 0 6 54
Riding on the smiles 0 0 1 4 0 0 1 14
Semivariance and semiskew risk premiums in currency markets 0 0 1 5 0 0 4 19
Stochastic Models of Implied Volatility Surfaces 0 0 2 10 0 0 3 36
The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets 0 0 2 6 0 1 6 23
The α-hypergeometric stochastic volatility model 0 0 0 6 0 0 3 33
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 1 7 0 0 3 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 0 1 2 16
Total Journal Articles 10 15 44 701 19 33 138 2,304

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Statistics updated 2025-06-06