Ballestra, Luca Vincenzo; D’Innocenzo, Enzo; Guizzardi, Andrea, A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options, «EUROPEAN JOURNAL OF OPERATIONAL RESEARCH», 2023, NA, pp. N/A - N/A [Scientific article]
Enzo D’Innocenzo; Alessandra Luati; Mario Mazzocchi, A robust score-driven filter for multivariate time series, «ECONOMETRIC REVIEWS», 2023, 42, pp. 441 - 470 [Scientific article]
Proietti, Tommaso; Luati, Alessandra; D’Innocenzo, Enzo, Generalized Linear Spectral Models for Locally Stationary Processes, in: Research Papers in Statistical Inference for Time Series and Related Models, Singapore, Springer, 2023, pp. 343 - 368 [Chapter or essay]
Enzo D’Innocenzo, André Lucas, Bernd Schwaab and Xin Zhang, Modeling extreme events: time-varying extreme tail shape*, «JOURNAL OF BUSINESS & ECONOMIC STATISTICS», 2023, online first, pp. 1 - 26 [Scientific article]Open Access
Ballestra, Luca Vincenzo; D’Innocenzo, Enzo; Guizzardi, Andrea, Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options, «JOURNAL OF FINANCIAL ECONOMETRICS», 2023, in corso di stampa, pp. 1 - 32 [Scientific article]Open Access
Guizzardi, Andrea; Ballestra, Luca Vincenzo; D'Innocenzo, Enzo, Hotel dynamic pricing, stochastic demand and covid-19, «ANNALS OF TOURISM RESEARCH», 2022, 97, pp. 103495 - 103510 [Scientific article]
Gasperoni, Francesca; Luati, Alessandra; Paci, Lucia; D’Innocenzo, Enzo, Score Driven Modeling of Spatio-temporal Data, «JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION», 2021, xx, pp. 1 - 27 [Scientific article]
