José DA FONSECA : Citation Profile

Are you José DA FONSECA?

Auckland University of Technology

10

H index

12

i10 index

514

Citations

RESEARCH PRODUCTION:

27

Articles

4

Papers

RESEARCH ACTIVITY:

   22 years (2002 - 2024). See details.
   Cites by year: 23
   Journals where José DA FONSECA has often published
   Relations with other researchers
   Recent citing documents: 54.    Total self citations: 19 (3.56 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pda421
   Updated: 2024-12-03    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)

Platen, Eckhard (13)

Escobar Anel, Marcos (13)

Fengler, Matthias (13)

Lee, Kyungsub (8)

Roubaud, David (6)

Asai, Manabu (5)

Stentoft, Lars (5)

Shahzad, Syed Jawad Hussain (5)

Bouri, Elie (5)

Cites to:

Sévi, Benoît (19)

Duffie, Darrell (13)

Wu, Liuren (13)

Singleton, Kenneth (12)

Tebaldi, Claudio (12)

gourieroux, christian (10)

Diebold, Francis (10)

Chevallier, Julien (9)

Zhou, Hao (7)

Andersen, Torben (7)

Bollerslev, Tim (7)

Main data

Where José DA FONSECA has published?

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

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

Recent works citing José DA FONSECA (2024 and 2023)

YearTitle of citing document
2023What 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.

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2023A fractional Hawkes process for illiquidity modeling. (2023). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023001.

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2023A mutually exciting rough jump diffusion for financial modelling. (2023). Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023011.

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2024The Laplace transform of the integrated Volterra Wishart process. (2019). 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. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

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2024Option pricing in Volterra sandwiched volatility model. (2022). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2209.10688.

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2023Physics-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.

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2023Multi-kernel property in high-frequency price dynamics under Hawkes model. (2023). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2302.11822.

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2023FuNVol: 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.

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2023Learning Volatility Surfaces using Generative Adversarial Networks. (2023). Wan, Justin ; Zhang, Meixin ; Na, Andrew. In: Papers. RePEc:arx:papers:2304.13128.

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

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2023Investigating Short-Term Dynamics in Green Bond Markets. (2023). Rroji, Edit ; Perchiazzo, Andrea ; Mercuri, Lorenzo. In: Papers. RePEc:arx:papers:2308.12179.

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

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

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2023Wishart?gamma random effects models with applications to nonlife insurance. (2021). Lu, Yang ; Denuit, Michel. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:2:p:443-481.

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2023Analytical 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.

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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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2023Price 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.

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2023Economic 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.

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2023Correlation 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.

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2023Traders’ 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.

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2023Co-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.

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2023Firm 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.

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2024A 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.

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2024Scenario 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.

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2023Systemwide 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.

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2023Explaining 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.

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2023Carr 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.

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2023Two-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.

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2024Equilibrium 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.

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2023The 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.

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2023Nonlinear 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.

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2023Valuing 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.

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2024A 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.

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2023Multivariate 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.

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2023Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach. (2023). Grith, Maria ; Chen, Ying. In: MPRA Paper. RePEc:pra:mprapa:119022.

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2023Implied 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.

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2023Crisis 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.

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2023The 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.

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2023Harvesting 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.

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2023Credit 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.

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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]		article5
2014Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article14
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]		article13
2017Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition In: Energy Economics.
[Full Text][Citation analysis]		article7
2024Pricing guaranteed annuity options in a linear-rational Wishart mortality model 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]		article12
2014Cross-hedging strategies between CDS spreads and option volatility during crises In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article5
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]		article68
2016A joint analysis of market indexes in credit default swap, volatility and stock markets In: Applied Economics.
[Full Text][Citation analysis]		article3
2018Volatility spillovers and connectedness among credit default swap sector indexes In: Applied Economics.
[Full Text][Citation analysis]		article8
2011Riding on the smiles In: Quantitative Finance.
[Full Text][Citation analysis]		article29
2002Dynamics of implied volatility surfaces In: Quantitative Finance.
[Full Text][Citation analysis]		article159
2008A multifactor volatility Heston model In: Quantitative Finance.
[Full Text][Citation analysis]		article70
In: .
[Full Text][Citation analysis]		article1
2013A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface In: Journal of Futures Markets.
[Citation analysis]		article5
2014Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit In: Journal of Futures Markets.
[Full Text][Citation analysis]		article38
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]		article2
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]		article10
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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