10
H index
12
i10 index
507
Citations
Auckland University of Technology | 10 H index 12 i10 index 507 Citations RESEARCH PRODUCTION: 26 Articles 4 Papers RESEARCH ACTIVITY: 22 years (2002 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pda421 |
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: |
Journals with more than one article published | # docs |
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Journal of Futures Markets | 7 |
Quantitative Finance | 3 |
Energy Economics | 2 |
Insurance: Mathematics and Economics | 2 |
Applied Economics | 2 |
Journal of Economic Dynamics and Control | 2 |
Working Papers Series with more than one paper published | # docs |
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Papers / arXiv.org | 2 |
Year | Title of citing document |
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2023 | What Drives Credit Spreads of Oil Companies? Evidence from the Upstream, Integrated and Downstream Industries. (2023). Ha, Quan Tran ; Yihong, Simon Cottrell. In: The Energy Journal. RePEc:aen:journl:ej44-5-delpachitra. Full description at Econpapers || Download paper |
2023 | A fractional Hawkes process for illiquidity modeling. (2023). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023001. Full description at Econpapers || Download paper |
2023 | A mutually exciting rough jump diffusion for financial modelling. (2023). Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023011. Full description at Econpapers || Download paper |
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 |
2023 | Physics-Informed Convolutional Transformer for Predicting Volatility Surface. (2022). Hong, Youngjoon ; Lee, Muhyun ; Bae, Hyeong-Ohk ; Yun, Seok-Bae ; Kim, Soohan. In: Papers. RePEc:arx:papers:2209.10771. Full description at Econpapers || Download paper |
2023 | Multi-kernel property in high-frequency price dynamics under Hawkes model. (2023). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2302.11822. Full description at Econpapers || Download paper |
2023 | FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs. (2023). Bergeron, Maxime ; Jaimungal, Sebastian ; Choudhary, Vedant. In: Papers. RePEc:arx:papers:2303.00859. Full description at Econpapers || Download paper |
2023 | Learning Volatility Surfaces using Generative Adversarial Networks. (2023). Wan, Justin ; Zhang, Meixin ; Na, Andrew. In: Papers. RePEc:arx:papers:2304.13128. Full description at Econpapers || Download paper |
2023 | Estimation of an Order Book Dependent Hawkes Process for Large Datasets. (2023). Sancetta, Alessio ; Mucciante, Luca. In: Papers. RePEc:arx:papers:2307.09077. Full description at Econpapers || Download paper |
2023 | Investigating Short-Term Dynamics in Green Bond Markets. (2023). Rroji, Edit ; Perchiazzo, Andrea ; Mercuri, Lorenzo. In: Papers. RePEc:arx:papers:2308.12179. 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 |
2023 | Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps. (2023). Kwok, Yue Kuen ; Jiang, Pingping ; Xu, Ziqing ; Zeng, Pingping. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:842-890. 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 |
2023 | Price convergence between credit default swap and put option: New evidence. (2023). Poon, Ser-Huang ; Lin, Ming-Tsung ; Kolokolova, Olga ; Chan, Ka Kei. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:188-213. Full description at Econpapers || Download paper |
2023 | Economic policy uncertainty, jump dynamics, and oil price volatility. (2023). Qi, YU ; Pan, NA ; Li, Xin ; Shao, Shuai ; Liu, Feng. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001330. Full description at Econpapers || Download paper |
2023 | Correlation versus co-fractality: Evidence from foreign-exchange-rate variances. (2023). Grobys, Klaus. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000479. Full description at Econpapers || Download paper |
2023 | Traders’ heterogeneous beliefs about stock volatility and the implied volatility skew in financial options markets. (2023). Vagnani, Gianluca ; Marchetti, Fabio Massimo ; Nappo, Giovanna. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000387. Full description at Econpapers || Download paper |
2023 | Co-jump dynamicity in the cryptocurrency market: A network modelling perspective. (2023). Chen, Yan ; Bouri, Elie ; Zhang, Lei. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323007444. Full description at Econpapers || Download paper |
2023 | Firm fundamentals and the cross-section of implied volatility shapes. (2023). Zhou, Guofu ; Guo, Biao ; Chen, Ding. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000611. 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 |
2023 | Systemwide directional connectedness from Crude Oil to sovereign credit risk. (2023). Singh, Vipul Kumar ; Kumar, Pawan ; Bajaj, Vimmy. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000290. Full description at Econpapers || Download paper |
2023 | Explaining intraday crude oil returns with higher order risk-neutral moments. (2023). Wong, Patrick. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000211. Full description at Econpapers || Download paper |
2023 | Carr and Wu’s (2020) framework in the oil ETF option market. (2023). Zhang, Jin E ; Ruan, Xinfeng ; Jia, Xiaolan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000247. Full description at Econpapers || Download paper |
2023 | Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm. (2023). Hamdi, Abdelouahed ; Noorani, Idin ; Mehrdoust, Farshid. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:204:y:2023:i:c:p:660-678. 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 |
2023 | The empirical performance of option implied volatility surface-driven optimal portfolios. (2023). Guidolin, Massimo ; Wang, Kai. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:618:y:2023:i:c:s0378437123000511. Full description at Econpapers || Download paper |
2023 | Nonlinear Poisson autoregression and nonlinear Hawkes processes. (2023). Khabou, Mahmoud ; Huang, Lorick. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:161:y:2023:i:c:p:201-241. Full description at Econpapers || Download paper |
2023 | Valuing Exchange Options under an Ornstein-Uhlenbeck Covariance Model. (2023). Olivares, Pablo ; Villamor, Enrique. In: IJFS. RePEc:gam:jijfss:v:11:y:2023:i:2:p:55-:d:1108730. 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 |
2023 | Multivariate Regime Switching Model Estimation and Asset Allocation. (2023). Zhang, Xili ; Xu, Weidong ; Zheng, Kai. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:1:d:10.1007_s10614-021-10203-9. Full description at Econpapers || Download paper |
2023 | Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach. (2023). Grith, Maria ; Chen, Ying. In: MPRA Paper. RePEc:pra:mprapa:119022. Full description at Econpapers || Download paper |
2023 | Implied volatility smoothing at COVID-19 times. (2023). Giana, Gabriele ; Kopa, Milo ; Vitali, Sebastiano. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00465-z. Full description at Econpapers || Download paper |
2023 | Crisis transmission degree measurement under crisis propagation model. (2023). Jilani, Faouzi ; Hallara, Slaheddine ; Bedoui-Belghith, Imen. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00361-9. Full description at Econpapers || Download paper |
2023 | The effect of macroeconomic news announcements on the implied volatility of commodities: The role of survey releases. (2023). Lopez, Raquel ; Fernandezperez, Adrian. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1499-1530. Full description at Econpapers || Download paper |
2023 | Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach. (2023). Agarwalla, Sobhesh Kumar ; Kumar, Sudarshan ; Virmani, Vineet ; Varma, Jayanth R. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1615-1644. Full description at Econpapers || Download paper |
2023 | Credit default swaps and firm risk. (2023). Nguyen, Binh Hoang ; Lin, Hai ; Zhang, Cheng ; Wang, Junbo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1668-1692. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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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 |
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 | 12 |
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 |
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 | 68 |
2016 | A joint analysis of market indexes in credit default swap, volatility and stock markets In: Applied Economics. [Full Text][Citation analysis] | article | 3 |
2018 | Volatility spillovers and connectedness among credit default swap sector indexes In: Applied Economics. [Full Text][Citation analysis] | article | 8 |
2011 | Riding on the smiles In: Quantitative Finance. [Full Text][Citation analysis] | article | 28 |
2002 | Dynamics of implied volatility surfaces In: Quantitative Finance. [Full Text][Citation analysis] | article | 158 |
2008 | A multifactor volatility Heston model In: Quantitative Finance. [Full Text][Citation analysis] | article | 70 |
In: . [Full Text][Citation analysis] | article | 1 | |
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 | 38 |
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 |
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