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Dynamics of Implied Volatility...
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Estimating the Wishart Affine Stochastic Correlation model using the empirical characteristic function
Fonseca, José da
;
Grasselli, Martino
;
Ielpo, Florian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
18
(
2014
)
3
,
pp. 253-289
Persistent link: https://www.econbiz.de/10010384289
Saved in:
2
On moment non-explosions for Wishart-based stochastic volatility models
Fonseca, José da
- In:
European journal of operational research : EJOR
254
(
2016
)
3
,
pp. 889-894
Persistent link: https://www.econbiz.de/10011521879
Saved in:
3
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
Fonseca, José da
;
Gnoatto, Alessandro
;
Grasselli, Martino
- In:
Operations research letters
43
(
2015
)
6
,
pp. 601-607
Persistent link: https://www.econbiz.de/10011416324
Saved in:
4
Assortment optimization over time
Fonseca, José da
;
Gnoatto, Alessandro
;
Grasselli, Martino
- In:
Operations research letters
43
(
2015
)
6
,
pp. 608-611
Persistent link: https://www.econbiz.de/10011416325
Saved in:
5
Higher moment risk premiums for the crude oil market : a downside and upside conditional decomposition
Fonseca, José da
;
Xu, Yahua
- In:
Energy economics
67
(
2017
),
pp. 410-422
Persistent link: https://www.econbiz.de/10011897942
Saved in:
6
Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market
Fonseca, José da
;
Ignatieva, Ekaterina
;
Ziveyi, Jonathan
- In:
Energy economics
56
(
2016
),
pp. 215-228
Persistent link: https://www.econbiz.de/10011664232
Saved in:
7
Correlation and lead-lag relationships in a Hawkes microstructure model
Fonseca, José da
;
Zaatour, Riadh
- In:
The journal of futures markets
37
(
2017
)
3
,
pp. 260-285
Persistent link: https://www.econbiz.de/10011669809
Saved in:
8
Valuing variable annuity guarantees on multiple assets
Fonseca, José da
;
Ziveyi, Jonathan
- In:
Scandinavian actuarial journal
(
2017
)
3
,
pp. 209-230
Persistent link: https://www.econbiz.de/10011772102
Saved in:
9
A joint analysis of market indexes in credit default swap, volatility and stock markets
Fonseca, José da
;
Wang, Peiming
- In:
Applied economics
48
(
2016
)
19/21
,
pp. 1767-1784
Persistent link: https://www.econbiz.de/10011589737
Saved in:
10
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy
Fonseca, José da
;
Malevergne, Yannick
- In:
Journal of economic dynamics & control
128
(
2021
),
pp. 1-34
Persistent link: https://www.econbiz.de/10012628258
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