José DA FONSECA : Citation Profile

Auckland University of Technology

11

H index

13

i10 index

584

Citations

RESEARCH PRODUCTION:

29

Articles

6

Papers

RESEARCH ACTIVITY:

   24 years (2002 - 2026). See details.
   Cites by year: 24
   Journals where José DA FONSECA has often published
   Relations with other researchers
   Recent citing documents: 42.    Total self citations: 21 (3.47 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pda421
   Updated: 2026-07-18    RAS profile: 2026-07-14    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Malevergne, Yannick (3)

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 (25)

Härdle, Wolfgang (20)

Escobar Anel, Marcos (18)

Platen, Eckhard (13)

Fengler, Matthias (13)

Lee, Kyungsub (8)

Roubaud, David (6)

Asai, Manabu (5)

Shahzad, Syed Jawad Hussain (5)

Wang, Gang-Jin (5)

Bouri, Elie (5)

Cites to:

Sévi, Benoît (19)

Tebaldi, Claudio (15)

Duffie, Darrell (15)

Wu, Liuren (13)

Singleton, Kenneth (12)

gourieroux, christian (11)

Diebold, Francis (10)

Chevallier, Julien (9)

Bollerslev, Tim (7)

Zhou, Hao (7)

Andersen, Torben (7)

Main data

Where José DA FONSECA has published?

Journals with more than one article published# docs
Journal of Futures Markets7
Insurance: Mathematics and Economics3
Quantitative Finance3
Energy Economics2
Applied Economics2
Journal of Economic Dynamics and Control2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org4

Recent works citing José DA FONSECA (2026 and 2025)

YearTitle of citing document
2026Estimation of an Order Book Dependent Hawkes Process for Large Datasets. (2023). Mucciante, Luca ; Sancetta, Alessio. In: Papers. RePEc:arx:papers:2307.09077.

Full description at Econpapers || Download paper

2025Implied volatility (also) is path-dependent. (2024). Herv'e Andr`es, ; Jourdain, Benjamin ; Boumezoued, Alexandre. In: Papers. RePEc:arx:papers:2312.15950.

Full description at Econpapers || Download paper

2026Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Lo\`eve expansions. (2024). Choi, Jaehyuk. In: Papers. RePEc:arx:papers:2402.09243.

Full description at Econpapers || Download paper

2025Crypto 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

2026Heat modulated affine stochastic volatility models for forward curve dynamics. (2024). Karbach, Sven. In: Papers. RePEc:arx:papers:2409.13070.

Full description at Econpapers || Download paper

2026Diffusion on the circle and a stochastic correlation model. (2025). Laha, Arnab Kumar ; Majumdar, Sourav. In: Papers. RePEc:arx:papers:2412.06343.

Full description at Econpapers || Download paper

2025Empirical Models of the Time Evolution of SPX Option Prices. (2025). Hsieh, David A ; Brini, Alessio ; Kuiper, Patrick ; Moushegian, Sean ; Ye, David. In: Papers. RePEc:arx:papers:2506.17511.

Full description at Econpapers || Download paper

2025Controllable Generation of Implied Volatility Surfaces with Variational Autoencoders. (2025). Wang, Jing ; Vuik, Cornelis ; Liu, Shuaiqiang. In: Papers. RePEc:arx:papers:2509.01743.

Full description at Econpapers || Download paper

2025Dynamics of Liquidity Surfaces in Uniswap v3. (2025). Risk, Jimmy ; Wang, Tai-Ho ; Tung, Shen-Ning. In: Papers. RePEc:arx:papers:2509.05013.

Full description at Econpapers || Download paper

2025An Efficient Calibration Framework for Volatility Derivatives under Rough Volatility with Jumps. (2025). Wu, Keyuan ; Ouyang, Yuxuan ; Zhong, Tenghan. In: Papers. RePEc:arx:papers:2510.19126.

Full description at Econpapers || Download paper

2026Forecasting implied volatility surface with generative diffusion models. (2025). Agarwal, Ankush ; Jin, Chen. In: Papers. RePEc:arx:papers:2511.07571.

Full description at Econpapers || Download paper

2026A stochastic correlation extension of the Vasicek credit risk model. (2026). Majumdar, Sourav ; Goud, Mayank ; Bansal, Dhruv. In: Papers. RePEc:arx:papers:2603.01109.

Full description at Econpapers || Download paper

2026A Laplace-based perspective on conditional mean risk sharing. (2026). Blier-Wong, Christopher. In: Papers. RePEc:arx:papers:2603.01434.

Full description at Econpapers || Download paper

2026Semi-Static Variance-Optimal Hedging of Covariance Risk in Multi-Asset Derivatives. (2026). Karbach, Sven ; Chatziandreou, Konstantinos. In: Papers. RePEc:arx:papers:2603.25320.

Full description at Econpapers || Download paper

2026Synthetic American Option Pricing via Jump-HMM-Driven Heston Implied Volatility. (2026). Varner, Jeffrey D ; Zhang, Jiawei ; Jin, Zheyu ; Sun, Julia. In: Papers. RePEc:arx:papers:2605.13998.

Full description at Econpapers || Download paper

2026Beyond the Smile: A Hybrid Convolutional VAE for Crypto Volatility Surfaces. (2026). Chopra, Manan ; Reddy, Allam ; Singh, Sadanand. In: Papers. RePEc:arx:papers:2606.16961.

Full description at Econpapers || Download paper

2025Does the VIX act as the main transmitter of mispricing in index futures markets? Insights from European and American regions. (2025). Jayakumar, Manju ; Tripathy, Sasikanta ; Pradhan, Rudra P ; Samarakoon, S. M. R. K., . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002663.

Full description at Econpapers || Download paper

2025A general valuation framework for rough stochastic local volatility models and applications. (2025). Ma, Jingtang ; Yang, Wensheng ; Cui, Zhenyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:322:y:2025:i:1:p:307-324.

Full description at Econpapers || Download paper

2025Does asynchronous market update matter? Re-examining the price discovery of stock index and futures in China. (2025). Chen, Jing ; Zhao, Chengzhi ; Han, Qian ; Guo, Qian. In: Emerging Markets Review. RePEc:eee:ememar:v:67:y:2025:i:c:s1566014125000561.

Full description at Econpapers || Download paper

2025Tail risk premium in the crude oil market. (2025). Li, Shenru. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001057.

Full description at Econpapers || Download paper

2025Modelling jumps with CARMA(p,q)-Hawkes: An application to corporate bond markets. (2025). Rroji, Edit ; Perchiazzo, Andrea ; Mercuri, Lorenzo. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324015927.

Full description at Econpapers || Download paper

2025The European tango between market risk and credit risk: A non-linear approach. (2025). Ferreira, Paulo ; Almeida, Dora ; Dionsio, Andreia. In: Finance Research Letters. RePEc:eee:finlet:v:83:y:2025:i:c:s1544612325010025.

Full description at Econpapers || Download paper

2025A lattice-based approach for life insurance pricing in a stochastic correlation framework. (2025). Costabile, Massimo ; Massab, Ivar ; Russo, Emilio ; Staino, Alessandro ; Mamon, Rogemar ; Zhao, Yixing. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:235:y:2025:i:c:p:145-159.

Full description at Econpapers || Download paper

2025Evolution of the relative efficiency of CDS and equity markets in Japan: Does one market have a long-term informational advantage over the other?. (2025). Procasky, William J ; Yin, Anwen. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:92:y:2025:i:c:s0927538x25001441.

Full description at Econpapers || Download paper

2026Learn to explain the smile: An interpretable hybrid machine learning model to understand the implied volatility of CSI 300 options. (2026). Lin, Yan ; Huang, Jinbo. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:96:y:2026:i:c:s0927538x25003750.

Full description at Econpapers || Download paper

2026How do return and volatility spillovers shape futures markets? Insights from index, commodity, and carbon emission futures. (2026). Samarakoon, S. M. R. K., ; Pradhan, Rudra P. In: Renewable Energy. RePEc:eee:renene:v:256:y:2026:i:pd:s0960148125017744.

Full description at Econpapers || Download paper

2025Multiscale 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

2025Multivariate 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

2025Markov-Modulated and Shifted Wishart Processes with Applications in Derivatives Pricing. (2025). Arian, Hamid ; Faraz, Behzad-Hussein Azadie ; Escobar-Anel, Marcos. In: IJFS. RePEc:gam:jijfss:v:13:y:2025:i:2:p:91-:d:1666424.

Full description at Econpapers || Download paper

2025Local Stochastic Correlation Models for Derivative Pricing. (2025). Escobar Anel, Marcos ; Escobar-Anel, Marcos. In: Stats. RePEc:gam:jstats:v:8:y:2025:i:3:p:65-:d:1704566.

Full description at Econpapers || Download paper

2026Optimal Trade Execution Under Endogenous Order Flow. (2026). Tran, Hoang Hai ; Horst, Ulrich ; Chen, Ying. In: Operations Research. RePEc:inm:oropre:v:74:y:2026:i:1:p:72-92.

Full description at Econpapers || Download paper

2026Predicting option prices from their price history via machine learning. (2026). Weiss, Gregor ; Irresberger, Felix ; Fritzsch, Simon. In: Review of Derivatives Research. RePEc:kap:revdev:v:29:y:2026:i:1:d:10.1007_s11147-026-09228-9.

Full description at Econpapers || Download paper

2025Profit testing of profit sharing life insurance policies when asset returns are variance gamma distributed. (2025). le Courtois, Olivier ; Shen, LI. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:48:y:2025:i:2:d:10.1007_s10203-024-00440-6.

Full description at Econpapers || Download paper

2025Option pricing mechanisms driven by backward stochastic differential equations. (2025). Teng, Bin ; Wang, Sicong ; Shi, Yufeng. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00714-3.

Full description at Econpapers || Download paper

2026Black–scholes equation in quantitative finance with variable parameters: a path to a generalized schrodinger equation. (2026). Anukool, Waranont ; El-Nabulsi, Rami Ahmad. In: Financial Innovation. RePEc:spr:fininn:v:12:y:2026:i:1:d:10.1186_s40854-025-00877-7.

Full description at Econpapers || Download paper

2025A fractional Hawkes process for illiquidity modeling. (2025). Dupret, Jean-Loup ; Hainaut, Donatien. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:19:y:2025:i:1:d:10.1007_s11579-024-00379-7.

Full description at Econpapers || Download paper

2025Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets. (2025). Liang, Zongxia ; Xia, YI ; Guan, Guohui. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:19:y:2025:i:3:d:10.1007_s11579-025-00391-5.

Full description at Econpapers || Download paper

2025Conditional Correlation via Generalized Random Forests with Application to Hedge Funds. (2025). Escobar Anel, Marcos ; Aghapour, Ahmad ; Escobar-Anel, Marcos ; Arian, Hamid ; Seco, Luis. In: SN Operations Research Forum. RePEc:spr:snopef:v:6:y:2025:i:3:d:10.1007_s43069-025-00548-4.

Full description at Econpapers || Download paper

2025Measuring and Explaining the CDS-Bond Basis Term-Structure Shape and Dynamics. (2025). Seeger, Norman ; Lucas, Andrae ; Khanna, Yonas. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250037.

Full description at Econpapers || Download paper

2025Performance of Pairs Trading Strategies Based on Principal Component Analysis Methods. (2025). Sun, Yufei. In: Working Papers. RePEc:war:wpaper:2025-21.

Full description at Econpapers || Download paper

2026Topology and Economics: from Sard’s Theorem to Social Choice. (2026). Ryłow, Jakub ; Ryow, Jakub. In: Working Papers. RePEc:war:wpaper:2026-9.

Full description at Econpapers || Download paper

2025Unveiling Bidirectional Forecasting Between Volatility of VIX and Stock Market: Insights From Asymmetric Jumps and Cojumps. (2025). Jiang, Gongyue ; Qiao, Gaoxiu ; Liang, Chao. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:10:p:1717-1739.

Full description at Econpapers || Download paper

Works by José DA FONSECA:

YearTitleTypeCited
2012A flexible matrix Libor model with smiles In: Papers.
[Full Text][Citation analysis]		paper9
2013A 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
2014The $\alpha$-Hypergeometric Stochastic Volatility Model In: Papers.
[Full Text][Citation analysis]		paper0
2026Wishart conditional tail risk measures: An analytic approach In: Papers.
[Full Text][Citation analysis]		paper1
2026Joint survival annuity derivative valuation in the linear-rational Wishart mortality model In: Papers.
[Full Text][Citation analysis]		paper0
2002Stochastic Models of Implied Volatility Surfaces In: Economic Notes.
[Full Text][Citation analysis]		article18
2020The 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]		article8
2014Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article16
2021A 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]		article3
2021A 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
2016On moment non-explosions for Wishart-based stochastic volatility models In: European Journal of Operational Research.
[Full Text][Citation analysis]		article3
2016Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market In: Energy Economics.
[Full Text][Citation analysis]		article15
2017Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition In: Energy Economics.
[Full Text][Citation analysis]		article8
2024Pricing guaranteed annuity options in a linear-rational Wishart mortality model In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article1
2025Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article0
2014Pricing range notes within Wishart affine models In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article6
2019Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article14
2014Cross-hedging strategies between CDS spreads and option volatility during crises In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article6
2016The α-hypergeometric stochastic volatility model In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article9
2023A Linear-Rational Multi-Curve Term Structure Model with Stochastic Spread In: Working Papers.
[Citation analysis]		paper0
2007Option pricing when correlations are stochastic: an analytical framework In: Review of Derivatives Research.
[Full Text][Citation analysis]		article75
2016A joint analysis of market indexes in credit default swap, volatility and stock markets In: Applied Economics.
[Full Text][Citation analysis]		article4
2018Volatility spillovers and connectedness among credit default swap sector indexes In: Applied Economics.
[Full Text][Citation analysis]		article11
2011Riding on the smiles In: Quantitative Finance.
[Full Text][Citation analysis]		article31
2002Dynamics of implied volatility surfaces In: Quantitative Finance.
[Full Text][Citation analysis]		article172
2008A multifactor volatility Heston model In: Quantitative Finance.
[Full Text][Citation analysis]		article77
2017Valuing variable annuity guarantees on multiple assets In: Scandinavian Actuarial Journal.
[Full Text][Citation analysis]		article3
2013A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface In: Journal of Futures Markets.
[Citation analysis]		article6
2014Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit In: Journal of Futures Markets.
[Full Text][Citation analysis]		article45
2015Clustering and Mean Reversion in a Hawkes Microstructure Model In: Journal of Futures Markets.
[Full Text][Citation analysis]		article10
2017Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model In: Journal of Futures Markets.
[Full Text][Citation analysis]		article3
2019Variance and skew risk premiums for the volatility market: The VIX evidence In: Journal of Futures Markets.
[Full Text][Citation analysis]		article3
2019Volatility of volatility is (also) rough In: Journal of Futures Markets.
[Full Text][Citation analysis]		article12
2021Semivariance and semiskew risk premiums in currency markets In: Journal of Futures Markets.
[Full Text][Citation analysis]		article2
2011HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article13

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated July, 10 2026. Contact: CitEc Team