A Simple Microstructure Model Based on the Cox-BESQ Process with Application to Optimal Execution Policy 10.0
José da Fonseca, Yannick Malevergne
Journal of Economic Dynamics and Control, vol. 128, 2021, p. .

Jump Activity Analysis for Affine Jump-Diffusion Models: Evidence from the Commodity Market 10.0
José da Fonseca, Katja Ignatieva
Journal of Banking and Finance, vol. 99, 2019, p. 45-62.

A Joint Analysis of Market Indexes in Credit Default Swap, Volatility and Stock Markets 5.0
José da Fonseca, Peiming Wang
Applied Economics, vol. 48, 2016, p. 1767-1784.

Cross-Hedging Strategies between CDS Spreads and Option Volatility during Crises 5.0
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 6.67
José da Fonseca, Martino Grasselli, Florian Ielpo
Studies In Nonlinear Dynamics And Econometrics, vol. 18, 2014, p. 253-289.

A Flexible Matrix Libor Model with Smiles 6.67
José da Fonseca, Alessandro Gnoatto, Martino Grasselli
Journal of Economic Dynamics and Control, vol. 37, 2013, p. 774-793.