José DA FONSECA : Citation Profile

Auckland University of Technology

11

H index

13

i10 index

568

Citations

RESEARCH PRODUCTION:

28

Articles

4

Papers

RESEARCH ACTIVITY:

   22 years (2002 - 2024). See details.
   Cites by year: 25
   Journals where José DA FONSECA has often published
   Relations with other researchers
   Recent citing documents: 58.    Total self citations: 19 (3.24 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pda421
   Updated: 2026-01-17    RAS profile: 2024-04-09    
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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)

Shahzad, Syed Jawad Hussain (5)

Stentoft, Lars (5)

Wang, Gang-Jin (5)

Asai, Manabu (5)

Cites to:

Sévi, Benoît (19)

Wu, Liuren (13)

Duffie, Darrell (13)

Tebaldi, Claudio (12)

Singleton, Kenneth (12)

Diebold, Francis (10)

gourieroux, christian (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
Quantitative Finance3
Energy Economics2
Applied Economics2
Insurance: Mathematics and Economics2
Journal of Economic Dynamics and Control2

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

Recent works citing José DA FONSECA (2025 and 2024)

YearTitle of citing document
2024The Laplace transform of the integrated Volterra Wishart process. (2024). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1911.07719.

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2024Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2024). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

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2024Option pricing in Sandwiched Volterra Volatility model. (2024). Mishura, Yuliya ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Papers. RePEc:arx:papers:2209.10688.

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

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2024Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches. (2024). Jeleskovic, Vahidin ; Chinazzo, Cristina. In: Papers. RePEc:arx:papers:2401.02049.

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2024Exact 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.

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2024Limit Order Book Simulations: A Review. (2024). Firoozye, Nikan ; Treleaven, Philip ; Jain, Konark ; Kochems, Jonathan. In: Papers. RePEc:arx:papers:2402.17359.

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2025Crypto Inverse-Power Options and Fractional Stochastic Volatility. (2024). Xia, Weixuan ; Li, Boyi. In: Papers. RePEc:arx:papers:2403.16006.

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2024Degree of Irrationality: Sentiment and Implied Volatility Surface. (2024). Xie, Yan ; Weng, Jiahao. In: Papers. RePEc:arx:papers:2405.11730.

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

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2024Whack-a-mole Online Learning: Physics-Informed Neural Network for Intraday Implied Volatility Surface. (2024). Barucca, Paolo ; Phelan, Carolyn E ; Hoshisashi, Kentaro. In: Papers. RePEc:arx:papers:2411.02375.

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2024Pricing 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.

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

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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.

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

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

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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.

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

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2024Multi-kernel property in high-frequency price dynamics under Hawkes model. (2024). Kyungsub, Lee. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:4:p:605-624:n:1003.

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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.

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2024Simulation 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.

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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.

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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.

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2024Empirical 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.

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

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2024How 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.

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2024Limit 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.

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2024Time-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.

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2024Volatility 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.

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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.

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2024A Hawkes model with CARMA(p,q) intensity. (2024). Mercuri, Lorenzo ; Rroji, Edit ; Perchiazzo, Andrea. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:1-26.

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2024Scenario selection with LASSO regression for the valuation of variable annuity portfolios. (2024). Sherris, Michael ; Ziveyi, Jonathan ; Nguyen, Hang ; Villegas, Andres M. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:27-43.

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2025Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models. (2025). Wong, Patrick ; da Fonseca, Jos. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:123:y:2025:i:c:s0167668725000617.

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2024The value of say on pay. (2024). Kind, Axel ; Zaia, Johannes ; Poltera, Marco. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:169:y:2024:i:c:s0378426624002255.

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2024Equilibrium pricing of European crude oil options with stochastic behaviour and jump risks. (2024). Hu, Zhihao ; He, Xin-Jiang ; Yue, Jia ; Yang, Ben-Zhang. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:219:y:2024:i:c:p:212-230.

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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.

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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.

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2024Estimating time-varying factors’ variance in the string-term structure model with stochastic volatility. (2024). Almeida, Thiago Ramos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924001302.

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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.

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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.

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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.

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2024A New Proxy for Estimating the Roughness of Volatility. (2024). Zhao, QI ; Chronopoulou, Alexandra. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:4:p:131-:d:1361912.

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2024Pricing of a Binary Option Under a Mixed Exponential Jump Diffusion Model. (2024). Song, Ruili ; Lu, Yichen. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:20:p:3233-:d:1499426.

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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.

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2024Convertible Bond Arbitrage Smart Beta. (2024). Zeitsch, Peter J. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:1:d:10.1007_s10614-022-10335-6.

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2024CBI-time-changed Lévy processes for multi-currency modeling. (2024). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04982-z.

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2024Optimal order execution under price impact: a hybrid model. (2024). Giacinto, Marina ; Wang, Tai-Ho ; Tebaldi, Claudio. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05082-8.

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2024Commodity Asian option pricing and simulation in a 4-factor model with jump clusters. (2024). Brignone, Riccardo ; Sgarra, Carlo ; Gonzato, Luca. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05152-x.

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2024A general framework for a joint calibration of VIX and VXX options. (2024). Pallavicini, Andrea ; Mazzoran, Andrea ; Grasselli, Martino. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-023-05205-9.

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2024Deterministic modelling of implied volatility in cryptocurrency options with underlying multiple resolution momentum indicator and non-linear machine learning regression algorithm. (2024). Djeng, S K ; Law, M ; Leung, F. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00631-5.

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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.

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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.

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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.

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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.

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2024A hybrid variable annuity contract embedded with living and death benefit riders. (2024). Garcia, Jennifer Alonso ; Ziveyi, Jonathan ; Thirurajah, Samuel. In: ULB Institutional Repository. RePEc:ulb:ulbeco:2013/385588.

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

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2024Volatility spillovers during normal and high volatility states and their driving factors: A cross‐country and cross‐asset analysis. (2024). Iqbal, Najaf ; Liu, Guangrui ; Bouri, Elie ; Kumar, Ashish. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:1:p:975-995.

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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.

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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
2002Stochastic Models of Implied Volatility Surfaces In: Economic Notes.
[Full Text][Citation analysis]		article17
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]		article15
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
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]		article5
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]		article74
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]		article10
2011Riding on the smiles In: Quantitative Finance.
[Full Text][Citation analysis]		article31
2002Dynamics of implied volatility surfaces In: Quantitative Finance.
[Full Text][Citation analysis]		article167
2008A multifactor volatility Heston model In: Quantitative Finance.
[Full Text][Citation analysis]		article75
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]		article43
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]		article12

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