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Fonseca, José da
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Zaatour, Riadh
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Gottschalk, Katrin
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Da Fonseca, José
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The journal of futures markets
International journal of monetary economics and finance
4
Journal of Futures Markets
3
The European journal of finance
3
Applied economics
2
Energy economics
2
International economics and economic policy : IEEP
2
Journal of economic dynamics & control
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Brazilian journal of political economy
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Economic notes : economic review of Banca Monte dei Paschi di Siena
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European journal of operational research : EJOR
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European review of economics and finance
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Finance a úvěr
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Insurance: Mathematics and Economics
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International Conference of the French Finance Association (AFFI), May 11-13, 2011
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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:
2
Clustering and mean reversion in a Hawkes microstructure model
Fonseca, José da
;
Zaatour, Riadh
- In:
The journal of futures markets
35
(
2015
)
9
,
pp. 813-838
Persistent link: https://www.econbiz.de/10011392661
Saved in:
3
Hawkes process : fast calibration, application to trade clustering, and diffuse limit
Fonseca, José da
;
Zaatour, Riadh
- In:
The journal of futures markets
34
(
2014
)
6
,
pp. 548-579
Persistent link: https://www.econbiz.de/10010371413
Saved in:
4
A joint analysis of the term structure of credit default swap spreads and the implied volatility surface
Fonseca, José da
;
Gottschalk, Katrin
- In:
The journal of futures markets
33
(
2013
)
6
,
pp. 494-517
Persistent link: https://www.econbiz.de/10009756569
Saved in:
5
A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface
Da Fonseca, José
;
Gottschalk, Katrin
- In:
The journal of futures markets
33
(
2013
)
6
,
pp. 494-517
Persistent link: https://www.econbiz.de/10010094094
Saved in:
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