10
H index
12
i10 index
533
Citations
José DA FONSECA : Citation Profile
Auckland University of Technology | RESEARCH PRODUCTION: 28 Articles 4 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
22 years (2002 - 2024). 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:
| Cites to:
|
Main data
Where José DA FONSECA has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Futures Markets | 7 |
| Quantitative Finance | 3 |
| Energy Economics | 2 |
| Insurance: Mathematics and Economics | 2 |
| Journal of Economic Dynamics and Control | 2 |
| Applied Economics | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 2 |
Recent works citing José DA FONSECA (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | The Laplace transform of the integrated Volterra Wishart process. (2019). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1911.07719. Full description at Econpapers || Download paper |
| 2024 | Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939. Full description at Econpapers || Download paper |
| 2024 | Option pricing in Volterra sandwiched volatility model. (2022). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2209.10688. Full description at Econpapers || Download paper |
| 2024 | Limit Order Book Simulations: A Review. (2024). Treleaven, Philip ; Kochems, Jonathan ; Firoozye, Nick ; Jain, Konark. In: Papers. RePEc:arx:papers:2402.17359. Full description at Econpapers || Download paper |
| 2024 | Crypto Inverse-Power Options and Fractional Stochastic Volatility. (2024). Xia, Weixuan ; Li, Boyi. In: Papers. RePEc:arx:papers:2403.16006. Full description at Econpapers || Download paper |
| 2024 | Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates. (2024). Meissner, Gunter A ; Ter-Avanesov, Boris. In: Papers. RePEc:arx:papers:2411.16617. Full description at Econpapers || Download paper |
| 2024 | Diffusion on the circle and a stochastic correlation model. (2024). Laha, Arnab Kumar ; Majumdar, Sourav. In: Papers. RePEc:arx:papers:2412.06343. Full description at Econpapers || Download paper |
| 2024 | Simulation schemes for the Heston model with Poisson conditioning. (2024). Kwok, Yue Kuen ; Choi, Jaehyuk. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:363-376. Full description at Econpapers || Download paper |
| 2024 | Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models. (2024). Wong, Patrick ; Ignatieva, Katja. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000549. Full description at Econpapers || Download paper |
| 2024 | How do market volatility and risk aversion sentiment inter-influence over time? Evidence from Chinese SSE 50 ETF options. (2024). Wang, Gang-Jin ; Uddin, Gazi ; Gong, Jue ; Xie, Chi. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003727. Full description at Econpapers || Download paper |
| 2024 | Limit Order Book dynamics and order size modelling using Compound Hawkes Process. (2024). Firoozye, Nikan ; Treleaven, Philip ; Kochems, Jonathan ; Jain, Konark. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324011863. Full description at Econpapers || Download paper |
| 2024 | Time-varying co-movement of sovereign credit default swaps markets: Evidence from Asia-Pacific countries. (2024). Kim, Hyunseok ; Lee, Hyunchul. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s154461232401198x. Full description at Econpapers || Download paper |
| 2024 | Volatility feedback and dealership position: Evidence from the CDS Index, Corporate Bonds, and Government Bonds. (2024). Chen, Steven Shu-Hsiu. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324012054. Full description at Econpapers || Download paper |
| 2024 | A Hawkes model with CARMA(p,q) intensity. (2024). Rroji, Edit ; Perchiazzo, Andrea ; Mercuri, Lorenzo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:1-26. Full description at Econpapers || Download paper |
| 2024 | Scenario selection with LASSO regression for the valuation of variable annuity portfolios. (2024). Ziveyi, Jonathan ; Villegas, Andres M ; Sherris, Michael ; Nguyen, Hang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:27-43. Full description at Econpapers || Download paper |
| 2024 | The value of say on pay. (2024). Zaia, Johannes ; Poltera, Marco ; Kind, Axel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:169:y:2024:i:c:s0378426624002255. Full description at Econpapers || Download paper |
| 2024 | Equilibrium pricing of European crude oil options with stochastic behaviour and jump risks. (2024). Yue, Jia ; He, Xin-Jiang ; Yang, Ben-Zhang ; Hu, Zhihao. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:219:y:2024:i:c:p:212-230. Full description at Econpapers || Download paper |
| 2025 | Multiscale cross-sector tail credit risk spillovers in China: Evidence from EEMD-based VAR quantile analysis. (2025). Wu, Xinyu ; Liu, Xiaoli ; Hau, Liya. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003957. Full description at Econpapers || Download paper |
| 2025 | Multivariate Hawkes process allowing for common shocks. (2025). Zhang, Zhehao ; Xing, Ruina. In: Statistics & Probability Letters. RePEc:eee:stapro:v:216:y:2025:i:c:s0167715224002396. Full description at Econpapers || Download paper |
| 2024 | A New Proxy for Estimating the Roughness of Volatility. (2024). Chronopoulou, Alexandra ; Zhao, QI. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:4:p:131-:d:1361912. Full description at Econpapers || Download paper |
| 2024 | A hybrid variable annuity contract embedded with living and death benefit riders. (2024). Ziveyi, Jonathan ; Thirurajah, Samuel ; Garcia, Jennifer Alonso. In: ULB Institutional Repository. RePEc:ulb:ulbeco:2013/385588. Full description at Econpapers || Download paper |
Works by José DA FONSECA:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2012 | A flexible matrix Libor model with smiles In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2013 | A flexible matrix Libor model with smiles.(2013) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2014 | The $\alpha$-Hypergeometric Stochastic Volatility Model In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Stochastic Models of Implied Volatility Surfaces In: Economic Notes. [Full Text][Citation analysis] | article | 17 |
| 2020 | The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets In: International Review of Finance. [Full Text][Citation analysis] | article | 6 |
| 2014 | Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 14 |
| 2021 | A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 3 |
| 2021 | A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy.(2021) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2016 | On moment non-explosions for Wishart-based stochastic volatility models In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 3 |
| 2016 | Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market In: Energy Economics. [Full Text][Citation analysis] | article | 13 |
| 2017 | Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition In: Energy Economics. [Full Text][Citation analysis] | article | 7 |
| 2024 | Pricing guaranteed annuity options in a linear-rational Wishart mortality model In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 0 |
| 2014 | Pricing range notes within Wishart affine models In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 6 |
| 2019 | Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 13 |
| 2014 | Cross-hedging strategies between CDS spreads and option volatility during crises In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 5 |
| 2016 | The α-hypergeometric stochastic volatility model In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 8 |
| 2023 | A Linear-Rational Multi-Curve Term Structure Model with Stochastic Spread In: Working Papers. [Citation analysis] | paper | 0 |
| 2007 | Option pricing when correlations are stochastic: an analytical framework In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 70 |
| 2016 | A joint analysis of market indexes in credit default swap, volatility and stock markets In: Applied Economics. [Full Text][Citation analysis] | article | 4 |
| 2018 | Volatility spillovers and connectedness among credit default swap sector indexes In: Applied Economics. [Full Text][Citation analysis] | article | 9 |
| 2011 | Riding on the smiles In: Quantitative Finance. [Full Text][Citation analysis] | article | 29 |
| 2002 | Dynamics of implied volatility surfaces In: Quantitative Finance. [Full Text][Citation analysis] | article | 161 |
| 2008 | A multifactor volatility Heston model In: Quantitative Finance. [Full Text][Citation analysis] | article | 70 |
| In: . [Full Text][Citation analysis] | article | 2 | |
| 2013 | A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface In: Journal of Futures Markets. [Citation analysis] | article | 5 |
| 2014 | Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 40 |
| 2015 | Clustering and Mean Reversion in a Hawkes Microstructure Model In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 10 |
| 2017 | Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 2 |
| 2019 | Variance and skew risk premiums for the volatility market: The VIX evidence In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 3 |
| 2019 | Volatility of volatility is (also) rough In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 10 |
| 2021 | Semivariance and semiskew risk premiums in currency markets In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 2 |
| 2011 | HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 12 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team