José DA FONSECA : Citation Profile


Are you José DA FONSECA?

Auckland University of Technology

9

H index

7

i10 index

378

Citations

RESEARCH PRODUCTION:

20

Articles

2

Papers

RESEARCH ACTIVITY:

   16 years (2002 - 2018). See details.
   Cites by year: 23
   Journals where José DA FONSECA has often published
   Relations with other researchers
   Recent citing documents: 58.    Total self citations: 10 (2.58 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pda421
   Updated: 2021-10-16    RAS profile: 2020-02-06    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with José DA FONSECA.

Is cited by:

Gnoatto, Alessandro (18)

Härdle, Wolfgang (13)

Escobar Anel, Marcos (11)

Platen, Eckhard (11)

Fengler, Matthias (10)

Lee, Kyungsub (8)

Roubaud, David (5)

McAleer, Michael (5)

Stentoft, Lars (5)

Asai, Manabu (5)

Bouri, Elie (4)

Cites to:

Tebaldi, Claudio (10)

gourieroux, christian (9)

Duffie, Darrell (9)

Singleton, Kenneth (7)

Wu, Liuren (7)

Zhou, Hao (6)

Ielpo, Florian (5)

Nelson, Charles (4)

Sévi, Benoît (4)

Campbell, John (4)

merton, robert (4)

Main data


Where José DA FONSECA has published?


Journals with more than one article published# docs
Journal of Futures Markets4
Quantitative Finance3
Energy Economics2
Applied Economics2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org2

Recent works citing José DA FONSECA (2021 and 2020)


YearTitle of citing document
2020Wishart-Gamma mixtures for multiperil experience ratemaking, frequency-severity experience rating and micro-loss reserving. (2020). Lu, Yang ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020016.

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2020Common Decomposition of Correlated Brownian Motions and its Financial Applications. (2019). Yang, Jingping ; Cheng, Xue. In: Papers. RePEc:arx:papers:1907.03295.

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2021Dynamics of symmetric SSVI smiles and implied volatility bubbles. (2019). Martini, Claude ; Jacquier, Antoine ; el Amrani, Mehdi. In: Papers. RePEc:arx:papers:1909.10272.

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2020Robust portfolio optimization with multi-factor stochastic volatility. (2019). Zhu, Song-Ping ; Ma, Guiyuan ; Lu, Xiaoping ; Yang, Ben-Zhang. In: Papers. RePEc:arx:papers:1910.06872.

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2020Asset Prices with Investor Protection in Approximate Fractional Economy. (2019). Huang, Nan-Jing ; Wang, Ming-Hui ; Yang, Ben-Zhang ; Yue, Jia. In: Papers. RePEc:arx:papers:1911.00281.

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2020The Laplace transform of the integrated Volterra Wishart process. (2019). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1911.07719.

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2020Pricing Exchange Options under Stochastic Correlation. (2020). Olivares, Pablo ; Villamor, Enrique. In: Papers. RePEc:arx:papers:2001.03967.

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2020PCA for Implied Volatility Surfaces. (2020). Papanicolaou, George ; Healy, Brian ; Avellaneda, Marco. In: Papers. RePEc:arx:papers:2002.00085.

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2020Sector connectedness in the Chinese stock markets. (2020). Zhou, Wei-Xing ; Wang, Gang-Jin ; Ma, Jun-Chao ; Jiang, Zhi-Qiang ; Shen, Ying-Ying. In: Papers. RePEc:arx:papers:2002.09097.

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2020Predicting tail events in a RIA-EVT-Copula framework. (2020). Zhou, Wei-Xing ; Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhai, Jin-Rui ; Li, Wei-Zhen. In: Papers. RePEc:arx:papers:2004.03190.

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2021Hedging with Neural Networks. (2020). Wang, Weiguan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:2004.08891.

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2020Model-driven statistical arbitrage on LETF option markets. (2020). Hardle, Wolfgang Karl ; Nasekin, Sergey. In: Papers. RePEc:arx:papers:2009.09713.

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2020Implied Basket Correlation Dynamics. (2020). Silyakova, Elena ; Hardle, Wolfgang Karl. In: Papers. RePEc:arx:papers:2009.09770.

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2020Hierarchical PCA and Modeling Asset Correlations. (2020). Serur, Juan Andr'Es ; Avellaneda, Marco. In: Papers. RePEc:arx:papers:2010.04140.

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2020Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach. (2020). Lee, Kyungsub ; Jang, Hyun Jin. In: Papers. RePEc:arx:papers:2012.04181.

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2020High-frequency dynamics of the implied volatility surface. (2020). Baldacci, Bastien. In: Papers. RePEc:arx:papers:2012.10875.

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2021Deep Equal Risk Pricing of Financial Derivatives with Multiple Hedging Instruments. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2102.12694.

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2021Deep Hedging: Learning Risk-Neutral Implied Volatility Dynamics. (2021). Wood, Ben ; Pakkanen, Mikko S ; Murray, Phillip ; Buehler, Hans. In: Papers. RePEc:arx:papers:2103.11948.

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2021Arbitrage-free neural-SDE market models. (2021). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2105.11053.

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2021Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes. (2021). Mandjes, Michel ; Karim, Raviar. In: Papers. RePEc:arx:papers:2106.03560.

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2021A Two-Step Framework for Arbitrage-Free Prediction of the Implied Volatility Surface. (2021). Zhang, Gongqiu ; Li, Lingfei. In: Papers. RePEc:arx:papers:2106.07177.

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2021Deep equal risk pricing of financial derivatives with non-translation invariant risk measures. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2107.11340.

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2020The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets. (2020). Gottschalk, Katrin ; da Fonseca, Jose. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:551-579.

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2020Optimal consumption and portfolio decision with stochastic covariance in incomplete markets. (2020). Hu, Zhijun ; Wang, Hang. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:138:y:2020:i:c:s0960077920301776.

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2020A consistent stochastic model of the term structure of interest rates for multiple tenors. (2020). Schlogl, Erik ; Grasselli, Martino ; Alfeus, Mesias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188920300312.

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2021Optimal market-Making strategies under synchronised order arrivals with deep neural networks. (2021). Zheng, Harry ; Lee, Kyungsub ; Jang, Hyun Jin ; Choi, So Eun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:125:y:2021:i:c:s0165188921000336.

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2021A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy. (2021). Malevergne, Yannick ; da Fonseca, Jose. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000725.

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2021CTMC integral equation method for American options under stochastic local volatility models. (2021). Cui, Zhenyu ; Yang, Wensheng ; Ma, Jingtang. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000804.

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2020Spillover effects in oil-related CDS markets during and after the sub-prime crisis. (2020). Ozdemir, Zeynel ; Balcilar, Mehmet ; Wohar, Mark E. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301467.

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2021Closed-form implied volatility surfaces for stochastic volatility models with jumps. (2021). Xu, Chen ; Li, Chenxu ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:364-392.

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2021Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations. (2021). Nguyen, Duy ; Kirkby, Lars J ; Cui, Zhenyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:3:p:1046-1062.

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2021Carbon emissions and credit ratings. (2021). Miah, Mohammad Dulal ; Kabir, Md Nurul ; Safiullah, MD. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s014098832100236x.

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2021Exogenous factors for order arrivals on the intraday electricity market. (2021). Kiesel, Rudiger ; Kramer, Anke. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000918.

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2021Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging. (2021). Sgarra, Carlo ; Gonzato, Luca. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321001845.

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2020Oil market conditions and sovereign risk in MENA oil exporters and importers. (2020). Roubaud, David ; Kachacha, Imad ; Bouri, Elie. In: Energy Policy. RePEc:eee:enepol:v:137:y:2020:i:c:s0301421519306603.

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2020Volatility persistence in the Russian stock market. (2020). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Tripathy, Trilochan. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s154461231830624x.

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2020Do it with a smile: Forecasting volatility with currency options. (2020). Pincheira, Pablo ; Carrasco, Jose A ; Reus, Lorenzo. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319302831.

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2021Option pricing in regime-switching frameworks with the Extended Girsanov Principle. (2021). Trottier, Denis-Alexandre ; Godin, Frederic. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:116-129.

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2020The surface of implied firm’s asset volatility. (2020). Silaghi, Florina ; Lovreta, Lidija. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302789.

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2021International stochastic discount factors and covariance risk. (2021). Muck, Matthias ; Herold, Michael ; Branger, Nicole. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s037842662030279x.

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2020Incorporating stochastic correlations into mining project evaluation using the Jacobi process. (2020). Kumral, Mustafa ; Ardian, Aldin. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719306191.

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2020A Bayesian estimation of exponential Lévy models for implied volatility smile. (2020). Oh, Gabjin ; Yang, Seungho. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119320953.

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2020Dynamics and determinants of spillovers across the option-implied volatilities of US equities. (2020). lucey, brian ; Bouri, Elie ; Roubaud, David. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:75:y:2020:i:c:p:257-264.

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2020Geometric ergodicity of affine processes on cones. (2020). Vestweber, Johanna ; Stelzer, Robert ; Mayerhofer, Eberhard. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:7:p:4141-4173.

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2020Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model. (2020). Angelopoulos, Jason ; Visvikis, Ilias D ; Sahoo, Satya. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:133:y:2020:i:c:s1366554519311081.

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2021The Laplace transform of the integrated Volterra Wishart process. (2020). Jaber, Eduardo Abi. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-02367200.

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2021The Laplace transform of the integrated Volterra Wishart process. (2021). Jaber, Eduardo Abi. In: Post-Print. RePEc:hal:journl:hal-02367200.

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2020The Laplace transform of the integrated Volterra Wishart process. (2019). Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-02367200.

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2021The multivariate mixture dynamics model: shifted dynamics and correlation skew. (2021). Brigo, Damiano ; Rapisarda, Francesco ; PISANI, CAMILLA . In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03239-6.

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2021On the application of Wishart process to the pricing of equity derivatives: the multi-asset case. (2021). Marazzina, Daniele ; Bua, Gaetano. In: Computational Management Science. RePEc:spr:comgts:v:18:y:2021:i:2:d:10.1007_s10287-021-00388-7.

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2020Regime switching affine processes with applications to finance. (2020). Beek, Misha ; Winands, Erik ; Spreij, Peter ; Mandjes, Michel. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00419-2.

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2020Robust Portfolio Optimization with Multi-Factor Stochastic Volatility. (2020). Yang, Ben-Zhang ; Zhu, Song-Ping ; Ma, Guiyuan ; Lu, Xiaoping. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:186:y:2020:i:1:d:10.1007_s10957-020-01687-w.

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2020Conic quantization: stochastic volatility and market implied liquidity. (2020). Schoutens, Wim ; Fiorin, Lucio. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:4:p:531-542.

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2020What do we know about individual equity options?. (2020). Verousis, Thanos ; Bernales, Alejandro ; Zhang, Mengyu ; Voukelatos, Nikolaos. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:1:p:67-91.

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2020Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach. (2020). Lee, Kiseop ; Jang, Hyun Jin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:2:p:247-275.

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2020Pricing VIX options with volatility clustering. (2020). Jing, BO ; Ma, Yong ; Li, Shenghong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:6:p:928-944.

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2021The implied volatility smirk of commodity options. (2021). Ruan, Xinfeng ; Jia, Xiaolan ; Zhang, Jin E. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:1:p:72-104.

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2021The term structure of the VXX option smirk: Pricing VXX option with a two?factor model and asymmetry jumps. (2021). Zhang, Zili ; Zhao, Xuejun ; Li, Shenghong ; Lin, Wei ; Wang, Chengxiang ; Tan, Xiaoyu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:4:p:439-457.

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Works by José DA FONSECA:


YearTitleTypeCited
2012A flexible matrix Libor model with smiles In: Papers.
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paper9
2013A flexible matrix Libor model with smiles.(2013) In: Journal of Economic Dynamics and Control.
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This paper has another version. Agregated cites: 9
article
2014The $\alpha$-Hypergeometric Stochastic Volatility Model In: Papers.
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2002Stochastic Models of Implied Volatility Surfaces In: Economic Notes.
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article12
2014Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function In: Studies in Nonlinear Dynamics & Econometrics.
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article13
2016On moment non-explosions for Wishart-based stochastic volatility models In: European Journal of Operational Research.
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article3
2016Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market In: Energy Economics.
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article8
2017Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition In: Energy Economics.
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article4
2014Pricing range notes within Wishart affine models In: Insurance: Mathematics and Economics.
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article5
2014Cross-hedging strategies between CDS spreads and option volatility during crises In: Journal of International Money and Finance.
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article1
2016The ?-hypergeometric stochastic volatility model In: Stochastic Processes and their Applications.
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article8
2007Option pricing when correlations are stochastic: an analytical framework In: Review of Derivatives Research.
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article60
2016A joint analysis of market indexes in credit default swap, volatility and stock markets In: Applied Economics.
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article2
2018Volatility spillovers and connectedness among credit default swap sector indexes In: Applied Economics.
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article5
2011Riding on the smiles In: Quantitative Finance.
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article8
2002Dynamics of implied volatility surfaces In: Quantitative Finance.
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article122
2008A multifactor volatility Heston model In: Quantitative Finance.
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article62
2013A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface In: Journal of Futures Markets.
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article4
2014Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit In: Journal of Futures Markets.
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article30
2015Clustering and Mean Reversion in a Hawkes Microstructure Model In: Journal of Futures Markets.
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article9
2017Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model In: Journal of Futures Markets.
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article1
2011HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS In: International Journal of Theoretical and Applied Finance (IJTAF).
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article12

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