Qualitative Job Insecurity and Voice Behavior: Evaluation of the Mediating Effect of Affective Organizational Commitment
Felipe Munoz Medina,
Sergio Lopez Bohle,
Lixin Jiang,
Maria Jose Chambel,
Sebastian M. Ugarte
Economic And Industrial Democracy,
vol. 44, 2023, p. 986-1006.
A Simple Microstructure Model Based on the Cox-BESQ Process with Application to Optimal Execution Policy
José da Fonseca,
Yannick Malevergne
Journal of Economic Dynamics and Control,
vol. 128, 2021, p. .
Semivariance and Semiskew Risk Premiums in Currency Markets
José da Fonseca,
Edem Dawui
Journal of Futures Markets,
vol. 41, 2021, p. 290-324.
Jump Activity Analysis for Affine Jump-Diffusion Models: Evidence from the Commodity Market
José da Fonseca,
Katja Ignatieva
Journal of Banking and Finance,
vol. 99, 2019, p. 45-62.
Sequential Auctions and Auction Revenue
David Salant,
Luis Cabral
Economics Letters,
vol. 176, 2019, p. 1-4.
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.
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.
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.
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.