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Volatility spillovers and conn...
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Volatility
34
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Ignatieva, Ekaterina
37
Ignatieva, Katja
37
Da Fonseca, José
35
Platen, Eckhard
22
Fonseca, José da
19
Grasselli, Martino
17
Sherris, Michael
10
Gottschalk, Katrin
9
Baldeaux, Jan
8
Ziveyi, Jonathan
8
Fung, Man Chung
7
Zaatour, Riadh
7
Gnoatto, Alessandro
6
Landsman, Zinoviy
6
McCulloch, James
6
Fung, Simon Man Chung
5
Giacomini, Enzo
5
Ielpo, Florian
5
Alexeev, Vitali
4
Baldeaux, Jan F.
4
Cont, Rama
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Gallagher, David R.
4
Spokoiny, Vladimir
4
Xu, Yahua
4
Alai, Daniel H.
3
Dawui, Edem
3
Durrleman, Valdo
3
Fonseca, José Da
3
Härdle, Wolfgang
3
Malevergne, Yannick
3
Seeger, Norman
3
Song, Andrew
3
Tebaldi, Claudio
3
Chiarella, Carl
2
Gudkov, Nikolay
2
Härdle, Wolfgang K.
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Ponomareva, Natalia
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Finance Discipline Group, Business School
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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Sonderforschungsbereich Ökonomisches Risiko <Berlin>
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Economic notes : economic review of Banca Monte dei Paschi di Siena
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Quantitative Finance Research Centre, University of Technology, Sydney, Research Paper Number 265
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ECONIS (ZBW)
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1
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:
2
Jump activity analysis for affine jump-diffusion models : evidence from the commodity market
Fonseca, José da
;
Ignatieva, Ekaterina
- In:
Journal of banking & finance
99
(
2019
),
pp. 45-62
Persistent link: https://www.econbiz.de/10012162294
Saved in:
3
Pricing guaranteed annuity options in a linear-rational Wishart mortality model
Fonseca, José da
- In:
Insurance : mathematics and economics
115
(
2024
),
pp. 122-131
Persistent link: https://www.econbiz.de/10015066733
Saved in:
4
Option pricing when correlations are stochastic : an analytical framework
Fonseca, José da
;
Grasselli, Martino
;
Tebaldi, Claudio
- In:
Review of derivatives research
10
(
2007
)
2
,
pp. 151-180
Persistent link: https://www.econbiz.de/10003705867
Saved in:
5
Hedging (co)variance risk with variance swaps
Fonseca, José da
;
Grasselli, Martino
;
Ielpo, Florian
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 899-943
Persistent link: https://www.econbiz.de/10009380996
Saved in:
6
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:
7
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:
8
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:
9
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:
10
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
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