Autor

Nome:
José da Fonseca
e-mail:
jose.dafonseca@aut.ac.nz
Artigos 12:
Ranking: CEF.UP+NIPE (average of all rankings) (2012).

Correlation and Lead-Lag Relationships in a Hawkes Microstructure Model 12.51
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 12.96
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 10.75
José da Fonseca, Katja Ignatieva, Jonathan Ziveyi
Energy Economics, vol. 56, 2016, p. 215-228.

Clustering and Mean Reversion in a Hawkes Microstructure Model 12.51
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 16.93
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 4.38
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 12.51
José da Fonseca, Riadh Zaatour
Journal of Futures Markets, vol. 34, 2014, p. 548-579.

Pricing Range Notes within Wishart Affine Models 7.83
Carl Chiarella, José da Fonseca, Martino Grasselli
Insurance: Mathematics And Economics, vol. 58, 2014, p. 193-203.

A Flexible Matrix Libor Model with Smiles 13.08
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 12.51
José da Fonseca, Katrin Gottschalk
Journal of Futures Markets, vol. 33, 2013, p. 494-517.

Hedging (Co)variance Risk with Variance Swaps 5.64
José da Fonseca, Martino Grasselli, Florian Ielpo
International Journal Of Theoretical And Applied Finance, vol. 14, 2011, p. 899-943.

Riding on the Smiles 11.16
José da Fonseca, Martino Grasselli
Quantitative Finance, vol. 11, 2011, p. 1609-1632.

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