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José DA FONSECA

Institution: Auckland University of Technology

Primary Field: Finance (weighted toward more recent publications)

Homepage: http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=296739

First Publication: 2013

Most Recent: 2021

RePEc ID: pda421 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total Percentile
Last 5 Years 0.00 0.00 1.01 0.50 1.51 45%
Last 10 Years 0.00 3.36 2.02 3.03 8.41 85%
All Time 0.00 3.36 3.70 4.54 11.60 90%

Publication Statistics

Raw Publications 15
Coauthorship-Adjusted Count 14.47

Publications (15)

Year Article Journal Tier Authors
2021 A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy Journal of Economic Dynamics and Control B 2
2021 Semivariance and semiskew risk premiums in currency markets Journal of Futures Markets C 2
2019 Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market Journal of Banking & Finance B 2
2019 Variance and skew risk premiums for the volatility market: The VIX evidence Journal of Futures Markets C 2
2019 Volatility of volatility is (also) rough Journal of Futures Markets C 2
2018 Volatility spillovers and connectedness among credit default swap sector indexes Applied Economics C 2
2017 Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition Energy Economics A 2
2017 Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model Journal of Futures Markets C 2
2016 Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market Energy Economics A 3
2016 A joint analysis of market indexes in credit default swap, volatility and stock markets Applied Economics C 2
2015 Clustering and Mean Reversion in a Hawkes Microstructure Model Journal of Futures Markets C 2
2014 Cross-hedging strategies between CDS spreads and option volatility during crises Journal of International Money and Finance B 2
2014 Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit Journal of Futures Markets C 2
2013 A flexible matrix Libor model with smiles Journal of Economic Dynamics and Control B 3
2013 A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface Journal of Futures Markets C 2