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Jose DA Fonseca
(José DA FONSECA)

Personal Details

First Name:Jose
Middle Name:
Last Name:DA Fonseca
Suffix:
RePEc Short-ID:pda421
http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=296739

Affiliation

Auckland Centre for Financial Research
Faculty of Business, Economics and Law
Auckland University of Technology

Auckland, New Zealand
http://www.acfr.aut.ac.nz/

: +64 9 917-9721
+64 9 917-9976
+64 9 917-9721
RePEc:edi:acfranz (more details at EDIRC)

Research output

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Jump to: Working papers Articles

Working papers

  1. Jos'e Da Fonseca & Claude Martini, 2014. "The $\alpha$-Hypergeometric Stochastic Volatility Model," Papers 1409.5142, arXiv.org.
  2. Jos'e Da Fonseca & Alessandro Gnoatto & Martino Grasselli, 2012. "A flexible matrix Libor model with smiles," Papers 1203.4786, arXiv.org.

Articles

  1. José Da Fonseca & Katja Ignatieva, 2018. "Volatility spillovers and connectedness among credit default swap sector indexes," Applied Economics, Taylor & Francis Journals, vol. 50(36), pages 3923-3936, August.
  2. Da Fonseca, José & Xu, Yahua, 2017. "Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition," Energy Economics, Elsevier, vol. 67(C), pages 410-422.
  3. José Da Fonseca & Riadh Zaatour, 2017. "Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(3), pages 260-285, March.
  4. Da Fonseca, José & Martini, Claude, 2016. "The α-hypergeometric stochastic volatility model," Stochastic Processes and their Applications, Elsevier, vol. 126(5), pages 1472-1502.
  5. Da Fonseca, José, 2016. "On moment non-explosions for Wishart-based stochastic volatility models," European Journal of Operational Research, Elsevier, vol. 254(3), pages 889-894.
  6. Da Fonseca, José & Ignatieva, Katja & Ziveyi, Jonathan, 2016. "Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market," Energy Economics, Elsevier, vol. 56(C), pages 215-228.
  7. José Da Fonseca & Peiming Wang, 2016. "A joint analysis of market indexes in credit default swap, volatility and stock markets," Applied Economics, Taylor & Francis Journals, vol. 48(19), pages 1767-1784, April.
  8. José Da Fonseca & Riadh Zaatour, 2015. "Clustering and Mean Reversion in a Hawkes Microstructure Model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(9), pages 813-838, September.
  9. Da Fonseca, José & Gottschalk, Katrin, 2014. "Cross-hedging strategies between CDS spreads and option volatility during crises," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 386-400.
  10. Da Fonseca José & Grasselli Martino & Ielpo Florian, 2014. "Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 1-37, May.
  11. Chiarella, Carl & Da Fonseca, José & Grasselli, Martino, 2014. "Pricing range notes within Wishart affine models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 193-203.
  12. José Da Fonseca & Riadh Zaatour, 2014. "Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(6), pages 548-579, June.
  13. José Da Fonseca & Katrin Gottschalk, 2013. "A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(6), pages 494-517, June.
  14. Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino, 2013. "A flexible matrix Libor model with smiles," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 774-793.
  15. José da Fonseca & Martino Grasselli, 2011. "Riding on the smiles," Quantitative Finance, Taylor & Francis Journals, vol. 11(11), pages 1609-1632.
  16. José Da Fonseca & Martino Grasselli & Florian Ielpo, 2011. "Hedging (Co)Variance Risk With Variance Swaps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(06), pages 899-943.
  17. JosE Da Fonseca & Martino Grasselli & Claudio Tebaldi, 2008. "A multifactor volatility Heston model," Quantitative Finance, Taylor & Francis Journals, vol. 8(6), pages 591-604.
  18. José Fonseca & Martino Grasselli & Claudio Tebaldi, 2007. "Option pricing when correlations are stochastic: an analytical framework," Review of Derivatives Research, Springer, vol. 10(2), pages 151-180, May.
  19. Rama Cont & Jose da Fonseca, 2002. "Dynamics of implied volatility surfaces," Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 45-60.
  20. Rama Cont & Jose da Fonseca & Valdo Durrleman, 2002. "Stochastic Models of Implied Volatility Surfaces," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 31(2), pages 361-377, July.

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (1) 2014-10-22

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