José DA FONSECA : Citation Profile


Are you José DA FONSECA?

Auckland University of Technology

8

H index

7

i10 index

303

Citations

RESEARCH PRODUCTION:

20

Articles

2

Papers

RESEARCH ACTIVITY:

   16 years (2002 - 2018). See details.
   Cites by year: 18
   Journals where José DA FONSECA has often published
   Relations with other researchers
   Recent citing documents: 73.    Total self citations: 9 (2.88 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pda421
   Updated: 2020-01-25    RAS profile: 2019-04-11    
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Relations with other researchers


Works with:

Gottschalk, Katrin (2)

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 (14)

Platen, Eckhard (11)

Fengler, Matthias (10)

Stentoft, Lars (5)

McAleer, Michael (5)

Escobar Anel, Marcos (5)

Asai, Manabu (5)

Baldeaux, Jan (4)

Chiarella, Carl (3)

Violante, Francesco (3)

Cites to:

Tebaldi, Claudio (10)

gourieroux, christian (9)

Wu, Liuren (7)

Duffie, Darrell (7)

Zhou, Hao (6)

Singleton, Kenneth (6)

Ielpo, Florian (6)

Chevallier, Julien (5)

Campbell, John (4)

merton, robert (4)

Bollerslev, Tim (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 (2018 and 2017)


YearTitle of citing document
2018The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew. (2018). Brigo, Damiano ; Rapisarda, Francesco ; PISANI, CAMILLA . In: Papers. RePEc:arx:papers:1512.04741.

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2017Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps. (2017). Itkin, Andrey. In: Papers. RePEc:arx:papers:1701.02821.

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2017General Price Bounds for Guaranteed Annuity Options. (2017). Sabanis, Sotirios ; Bahl, Raj Kumari . In: Papers. RePEc:arx:papers:1707.00807.

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2017Managing Volatility Risk: An Application of Karhunen-Lo\`eve Decomposition and Filtered Historical Simulation. (2017). , Brice ; Laurent, Sabine ; Yao, Jinglun. In: Papers. RePEc:arx:papers:1710.00859.

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2017A buffer Hawkes process for limit order books. (2017). Caglar, Mine ; Kaj, Ingemar. In: Papers. RePEc:arx:papers:1710.03506.

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2017Valuing Exchange Options Under an Ornstein-Uhlenbeck Covariance Model. (2017). Enrique, Villamor ; Pablo, Olivares. In: Papers. RePEc:arx:papers:1711.10013.

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2018Variance swaps under L\{e}vy process with stochastic volatility and stochastic interest rate in incomplete markets. (2018). Huang, Nan-Jing ; Yue, Jia ; Yang, Ben-Zhang. In: Papers. RePEc:arx:papers:1712.10105.

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2018Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing. (2018). Tankov, Peter ; Krief, David ; Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:1806.06883.

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2019Lifting the Heston model. (2018). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1810.04868.

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2018Option market (in)efficiency and implied volatility dynamics after return jumps. (2018). Magris, Martin ; Kanniainen, Juho. In: Papers. RePEc:arx:papers:1810.12200.

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2018The Alpha-Heston Stochastic Volatility Model. (2018). Zhou, Chao ; Scotti, Simone ; Ma, Chunhua ; Jiao, Ying. In: Papers. RePEc:arx:papers:1812.01914.

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2019Common 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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2019Marked Hawkes process modeling of price dynamics and volatility estimation. (2019). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:1907.12025.

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2019Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2019). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:1908.05089.

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2019Dynamics 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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2019Implied volatility surface predictability: the case of commodity markets. (2019). Shang, Han Lin ; Sheenan, Lisa ; Kearney, Fearghal. In: Papers. RePEc:arx:papers:1909.11009.

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

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

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2019Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism. (2019). Zhang, Zili ; Chen, Shengli. In: Papers. RePEc:arx:papers:1912.11059.

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2019Affine multiple yield curve models. (2019). Gnoatto, Alessandro ; Fontana, Claudio ; Cuchiero, Christa. In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:2:p:568-611.

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2018Sequential data assimilation for 1D self-exciting processes with application to urban crime data. (2018). Santitissadeekorn, N ; Lloyd, D. J. B., ; Short, M B. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:128:y:2018:i:c:p:163-183.

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2019It only takes a few moments to hedge options. (2019). Santucci de Magistris, Paolo ; Sloth, David ; Barletta, Andrea. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:251-269.

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2017Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2017). Lee, Kyungsub ; Ki, Byoung . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:154-183.

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2017A unified approach to Bermudan and barrier options under stochastic volatility models with jumps. (2017). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:75-100.

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2017Optimal portfolios when variances and covariances can jump. (2017). Branger, Nicole ; Weisheit, Stefan ; Seifried, Frank Thomas ; Muck, Matthias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:59-89.

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2018Dynamic derivative strategies with stochastic interest rates and model uncertainty. (2018). Escobar, Marcos ; Rubtsov, Alexey ; Ferrando, Sebastian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:49-71.

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2018Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like. (2018). Oliva, I ; Reno, R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:94:y:2018:i:c:p:242-256.

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2017Modelling the implied volatility surface based on Shanghai 50ETF options. (2017). Wang, Jinzhong ; Zhang, Ting ; Tao, Qizhi ; Chen, Shijiang . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:295-301.

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2017Equity market information and credit risk signaling: A quantile cointegrating regression approach. (2017). Gatfaoui, Hayette. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:48-59.

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2017Multivariate FX models with jumps: Triangles, Quantos and implied correlation. (2017). Rayée, Grégory ; Ballotta, Laura ; Rayee, Gregory ; Deelstra, Griselda. In: European Journal of Operational Research. RePEc:eee:ejores:v:260:y:2017:i:3:p:1181-1199.

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2017A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:381-400.

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2019A general framework for time-changed Markov processes and applications. (2019). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:2:p:785-800.

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2017Marked Hawkes process modeling of price dynamics and volatility estimation. (2017). Ki, Byoung ; Lee, Kyungsub. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:174-200.

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2018Crash risk and risk neutral densities. (2018). Chen, Ren-Raw ; Huang, Jeffrey ; Hsieh, Pei-Lin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:162-189.

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2017Directional predictability from oil market uncertainty to sovereign credit spreads of oil-exporting countries: Evidence from rolling windows and crossquantilogram analysis. (2017). Shahzad, Syed Jawad Hussain ; Roubaud, David ; Hammoudeh, Shawkat ; Naifar, Nader ; Hussain, Syed Jawad. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:327-339.

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2018Oil volatility and sovereign risk of BRICS. (2018). Shahzad, Syed Jawad Hussain ; Roubaud, David ; Bouri, Elie ; Raza, Naveed ; Hussain, Syed Jawad. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:258-269.

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2018Risk-neutral moments in the crude oil market. (2018). Ruan, Xinfeng ; Zhang, Jin E. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:583-600.

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2018On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach. (2018). Balcilar, Mehmet ; Toparli, Elif Akay ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:813-827.

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2019Moment spreads in the energy market. (2019). Zhang, Jin E ; Ruan, Xinfeng. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:598-609.

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2017A Unified Tree approach for options pricing under stochastic volatility models. (2017). Lo, C C ; Skindilias, K ; Nguyen, D. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:260-268.

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2017Hawkes process-based technology impact analysis. (2017). Jang, Hyun Jin ; Lee, Changyong ; Woo, Han-Gyun . In: Journal of Informetrics. RePEc:eee:infome:v:11:y:2017:i:2:p:511-529.

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2017Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:46-62.

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2018Distribution specific dependence and causality between industry-level U.S. credit and stock markets. (2018). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Balcilar, Mehmet ; Hammoudeh, Shawkat ; Mensi, Walid ; Hussain, Syed Jawad. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:114-133.

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2019Asset pricing factors and bank CDS spreads. (2019). Koutmos, Dimitrios. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:19-41.

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2019Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market. (2019). Ignatieva, Katja ; da Fonseca, Jose. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:45-62.

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2019Commodity volatility shocks and BRIC sovereign risk: A GARCH-quantile approach. (2019). Jalkh, Naji ; Bouri, Elie ; Roubaud, David. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:385-392.

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2017Pricing vulnerable options with stochastic volatility. (2017). Wang, Guanying ; Zhou, KE. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:485:y:2017:i:c:p:91-103.

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2019A jump model for credit default swaps with hierarchical clustering. (2019). Zeitsch, Peter J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:524:y:2019:i:c:p:737-775.

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2018Limit theorems for Markovian Hawkes processes with a large initial intensity. (2018). Gao, Xuefeng ; Zhu, Lingjiong. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:11:p:3807-3839.

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2018Financialized Commodities and Stock Indices Volatilities. (2018). Handika, Rangga ; Ashraf, Sania. In: European Research Studies Journal. RePEc:ers:journl:v:xx:y:2017:i:3b:p:153-164.

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2019Lifting the Heston model. (2019). Jaber, Eduardo Abi. In: Post-Print. RePEc:hal:journl:hal-01890751.

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2018Lifting the Heston model. (2018). Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-01890751.

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2019The European intraday electricity market : a modeling based on the Hawkes process. (2019). FAVETTO, BENJAMIN . In: Working Papers. RePEc:hal:wpaper:hal-02089289.

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

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2017Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps. (2017). Hata, Hiroaki ; Sekine, Jun. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:3:d:10.1007_s10690-017-9231-4.

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2018A multivariate stochastic volatility model with applications in the foreign exchange market. (2018). Escobar, Marcos ; Gschnaidtner, Christoph. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:1:d:10.1007_s11147-017-9132-8.

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2019Quantization meets Fourier: a new technology for pricing options. (2019). Grasselli, Martino ; Fiorin, Lucio ; Callegaro, Giorgia. In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-3048-z.

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2017Implied volatility and state price density estimation: arbitrage analysis. (2017). Kopa, Milo ; Hendrych, Radek ; Tich, Toma ; Vitali, Sebastiano. In: Computational Management Science. RePEc:spr:comgts:v:14:y:2017:i:4:d:10.1007_s10287-017-0283-8.

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2019Reliability analysis of load-sharing systems with memory. (2019). Wang, Dewei ; Park, Chanseok ; Jiang, Chendi. In: Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data. RePEc:spr:lifeda:v:25:y:2019:i:2:d:10.1007_s10985-018-9425-8.

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2018Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues. (2018). Gao, Xuefeng ; Zhu, Lingjiong. In: Queueing Systems: Theory and Applications. RePEc:spr:queues:v:90:y:2018:i:1:d:10.1007_s11134-018-9570-5.

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2017A fractionally integrated Wishart stochastic volatility model. (2017). McAleer, Michael ; Asai, Manabu. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:42-59.

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2017HARA utility maximization in a Markov-switching bond–stock market. (2017). Escobar, M ; Zagst, R ; Neykova, D. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:11:p:1715-1733.

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2017Optimal investment under multi-factor stochastic volatility. (2017). Escobar, Marcos ; Rubtsov, Alexey ; Ferrando, Sebastian. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:2:p:241-260.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:41.

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2019Correlation risk and international portfolio choice. (2019). Weisheit, Stefan ; Muck, Matthias ; Branger, Nicole. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:1:p:128-146.

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2019Pricing variance swaps under the Hawkes jump‐diffusion process. (2019). Zhu, Songping ; Liu, Weiyi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:6:p:635-655.

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2018Implied volatility surfaces during the period of global financial crisis. (2018). Wirjanto, Tony S ; Zhu, Anyi. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:01:n:s2424786318500019.

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2017LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS. (2017). Wagalath, Lakshithe. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500017.

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2018INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL. (2018). Han, Xixuan ; Yang, Hailiang ; Wei, Boyu. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:04:n:s0219024918500140.

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2017A Hawkes model of the transmission of European sovereign default risk. (2017). Holden, Tom ; DUMITRU, ANA-MARIA. In: EconStor Conference Papers. RePEc:zbw:esconf:168431.

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2019Quantifying the transmission of European sovereign default risk. (2019). Holden, Tom ; DUMITRU, ANA-MARIA. In: EconStor Preprints. RePEc:zbw:esprep:193632.

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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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article
2014The $\alpha$-Hypergeometric Stochastic Volatility Model In: Papers.
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paper0
2002Stochastic Models of Implied Volatility Surfaces In: Economic Notes.
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article10
2014Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function In: Studies in Nonlinear Dynamics & Econometrics.
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article12
2016On moment non-explosions for Wishart-based stochastic volatility models In: European Journal of Operational Research.
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article2
2016Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market In: Energy Economics.
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article5
2017Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition In: Energy Economics.
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article3
2014Pricing range notes within Wishart affine models In: Insurance: Mathematics and Economics.
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article1
2014Cross-hedging strategies between CDS spreads and option volatility during crises In: Journal of International Money and Finance.
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article0
2016The α-hypergeometric stochastic volatility model In: Stochastic Processes and their Applications.
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article5
2007Option pricing when correlations are stochastic: an analytical framework In: Review of Derivatives Research.
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article53
2016A joint analysis of market indexes in credit default swap, volatility and stock markets In: Applied Economics.
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article1
2018Volatility spillovers and connectedness among credit default swap sector indexes In: Applied Economics.
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article1
2011Riding on the smiles In: Quantitative Finance.
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article4
2002Dynamics of implied volatility surfaces In: Quantitative Finance.
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article102
2008A multifactor volatility Heston model In: Quantitative Finance.
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article55
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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article3
2014Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit In: Journal of Futures Markets.
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article20
2015Clustering and Mean Reversion in a Hawkes Microstructure Model In: Journal of Futures Markets.
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article6
2017Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model In: Journal of Futures Markets.
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article0
2011HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS In: International Journal of Theoretical and Applied Finance (IJTAF).
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article11

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