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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

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

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

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

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

The asymmetric relationship between returns and implied higher moments : evidence from the crude oil market

Zhang, Xinxin; Bouri, Elie; Xu, Yahua; Zhang, Gongqiu - In: Energy economics 109 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013283886

Intraday momentum and return predictability : evidence from the crude oil market

Wen, Zhuzhu; Gong, Xu; Ma, Diandian; Xu, Yahua - In: Economic modelling 95 (2021), pp. 374-384

Persistent link: https://www.econbiz.de/10012696009

Bad volatility is not always bad : evidence from the commodity markets

Indriawan, Ivan; Lien, Da-hsiang Donald; Roh, Tai-Yong; … - In: Applied economics 52 (2020) 40, pp. 4384-4402

Persistent link: https://www.econbiz.de/10012259062

Intraday and overnight tail risks and return predictability in the crude oil market : Evidence from oil-related regular news and extreme shocks

Wang, Cheng; Bouri, Elie; Xu, Yahua; Zhang, Dingsheng - In: Energy economics 127 (2023) 2, pp. 1-12

Persistent link: https://www.econbiz.de/10014489965

Variance and Skew Risk Premiums for the Volatility Market : The VIX Evidence

Da Fonseca, José - 2017

We extract variance and skew risk premiums from volatility derivatives in a model-free way and analyze their relationships along with volatility index and equity index returns. These risk premiums can be synthesized through option trading strategies. Using a time series of option prices on the...

Persistent link: https://www.econbiz.de/10012968712