Author

Name:
José da Fonseca
e-mail:
jose.dafonseca@aut.ac.nz
Articles 12:

Correlation and Lead-Lag Relationships in a Hawkes Microstructure Model
José da Fonseca, Riadh Zaatour
Journal of Futures Markets, vol. 37, 2017, p. 260-285.

A Joint Analysis of Market Indexes in Credit Default Swap, Volatility and Stock Markets
José da Fonseca, Peiming Wang
Applied Economics, vol. 48, 2016, p. 1767-1784.

Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market
José da Fonseca, Katja Ignatieva, Jonathan Ziveyi
Energy Economics, vol. 56, 2016, p. 215-228.

Clustering and Mean Reversion in a Hawkes Microstructure Model
José da Fonseca, Riadh Zaatour
Journal of Futures Markets, vol. 35, 2015, p. 813-838.

Cross-Hedging Strategies between CDS Spreads and Option Volatility during Crises
José da Fonseca, Katrin Gottschalk
Journal of International Money and Finance, vol. 49, 2014, p. 386-400.

Estimating the Wishart Affine Stochastic Correlation Model Using the Empirical Characteristic Function
José da Fonseca, Martino Grasselli, Florian Ielpo
Studies In Nonlinear Dynamics And Econometrics, vol. 18, 2014, p. 253-289.

Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit
José da Fonseca, Riadh Zaatour
Journal of Futures Markets, vol. 34, 2014, p. 548-579.

Pricing Range Notes within Wishart Affine Models
Carl Chiarella, José da Fonseca, Martino Grasselli
Insurance: Mathematics And Economics, vol. 58, 2014, p. 193-203.

A Flexible Matrix Libor Model with Smiles
José da Fonseca, Alessandro Gnoatto, Martino Grasselli
Journal of Economic Dynamics and Control, vol. 37, 2013, p. 774-793.

A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface
José da Fonseca, Katrin Gottschalk
Journal of Futures Markets, vol. 33, 2013, p. 494-517.

Hedging (Co)variance Risk with Variance Swaps
José da Fonseca, Martino Grasselli, Florian Ielpo
International Journal Of Theoretical And Applied Finance, vol. 14, 2011, p. 899-943.

Riding on the Smiles
José da Fonseca, Martino Grasselli
Quantitative Finance, vol. 11, 2011, p. 1609-1632.

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