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Details about José DA FONSECA

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Homepage:http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=296739
Workplace:Auckland Centre for Financial Research, Faculty of Business, Economics and Law, Auckland University of Technology, (more information at EDIRC)

Access statistics for papers by José DA FONSECA.

Last updated 2020-02-06. Update your information in the RePEc Author Service.

Short-id: pda421


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Working Papers

2014

  1. The $\alpha$-Hypergeometric Stochastic Volatility Model
    Papers, arXiv.org Downloads

2012

  1. A flexible matrix Libor model with smiles
    Papers, arXiv.org Downloads
    See also Journal Article in Journal of Economic Dynamics and Control (2013)

Journal Articles

2018

  1. Volatility spillovers and connectedness among credit default swap sector indexes
    Applied Economics, 2018, 50, (36), 3923-3936 Downloads View citations (1)

2017

  1. Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model
    Journal of Futures Markets, 2017, 37, (3), 260-285 Downloads
  2. Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition
    Energy Economics, 2017, 67, (C), 410-422 Downloads View citations (3)

2016

  1. A joint analysis of market indexes in credit default swap, volatility and stock markets
    Applied Economics, 2016, 48, (19), 1767-1784 Downloads View citations (1)
  2. Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market
    Energy Economics, 2016, 56, (C), 215-228 Downloads View citations (6)
  3. On moment non-explosions for Wishart-based stochastic volatility models
    European Journal of Operational Research, 2016, 254, (3), 889-894 Downloads View citations (2)
  4. The α-hypergeometric stochastic volatility model
    Stochastic Processes and their Applications, 2016, 126, (5), 1472-1502 Downloads View citations (6)

2015

  1. Clustering and Mean Reversion in a Hawkes Microstructure Model
    Journal of Futures Markets, 2015, 35, (9), 813-838 Downloads View citations (6)

2014

  1. Cross-hedging strategies between CDS spreads and option volatility during crises
    Journal of International Money and Finance, 2014, 49, (PB), 386-400 Downloads View citations (1)
  2. Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function
    Studies in Nonlinear Dynamics & Econometrics, 2014, 18, (3), 37 Downloads View citations (17)
  3. Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit
    Journal of Futures Markets, 2014, 34, (6), 548-579 Downloads View citations (20)
  4. Pricing range notes within Wishart affine models
    Insurance: Mathematics and Economics, 2014, 58, (C), 193-203 Downloads View citations (1)

2013

  1. A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface
    Journal of Futures Markets, 2013, 33, (6), 494-517 View citations (4)
  2. A flexible matrix Libor model with smiles
    Journal of Economic Dynamics and Control, 2013, 37, (4), 774-793 Downloads View citations (10)
    See also Working Paper (2012)

2011

  1. HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS
    International Journal of Theoretical and Applied Finance (IJTAF), 2011, 14, (06), 899-943 Downloads View citations (12)
  2. Riding on the smiles
    Quantitative Finance, 2011, 11, (11), 1609-1632 Downloads View citations (4)

2008

  1. A multifactor volatility Heston model
    Quantitative Finance, 2008, 8, (6), 591-604 Downloads View citations (59)

2007

  1. Option pricing when correlations are stochastic: an analytical framework
    Review of Derivatives Research, 2007, 10, (2), 151-180 Downloads View citations (57)

2002

  1. Dynamics of implied volatility surfaces
    Quantitative Finance, 2002, 2, (1), 45-60 Downloads View citations (105)
  2. Stochastic Models of Implied Volatility Surfaces
    Economic Notes, 2002, 31, (2), 361-377 Downloads View citations (10)
 
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