Ballestra, LUCA VINCENZO; D'Innocenzo, Enzo; Tezza, Christian, A GARCH model with two volatility components and two stochastic factors, in: PROGRAMME AND ABSTRACTS CFE-CMStatistics 2024, 2024, pp. 89 - 89 (atti di: CFE-CMStatistics 2024, Londra, 14-16 Dicembre 2024) [Contribution to conference proceedings]
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», 2024, 314, pp. 1185 - 1194 [Scientific article]Open Access
Francisco Blasques; Enzo D'Innocenzo; Siem Jan Koopman, Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices, «ECONOMETRIC REVIEWS», 2024, 43, pp. 638 - 670 [Scientific article]
Enzo DInnocenzo; Andre Lucas, Dynamic partial correlation models, «JOURNAL OF ECONOMETRICS», 2024, 241, Article number: 105747 , pp. 1 - 17 [Scientific article]Open Access
D'Innocenzo, Enzo; Lucas, André; Opschoor, Anne; Zhang, Xingmin, Heterogeneity and dynamics in network models, «JOURNAL OF APPLIED ECONOMETRICS», 2024, 39, pp. 150 - 173 [Scientific article]
Enzo D’Innocenzo, André Lucas, Bernd Schwaab and Xin Zhang, Modeling extreme events: time-varying extreme tail shape*, «JOURNAL OF BUSINESS & ECONOMIC STATISTICS», 2024, 42, pp. 903 - 917 [Scientific article]Open Access
Guizzardi, Andrea; Ballestra, Luca Vincenzo; D’Innocenzo, Enzo, Reverse engineering the last-minute on-line pricing practices: an application to hotels, «STATISTICAL METHODS & APPLICATIONS», 2024, 33, pp. 943 - 971 [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», 2024, 22, pp. 375 - 406 [Scientific article]Open Access
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]Open Access
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]
Gasperoni, Francesca; Luati, Alessandra; Paci, Lucia; D’Innocenzo, Enzo, Score Driven Modeling of Spatio-temporal Data, «JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION», 2023, 118, Article number: 542 , pp. 1066 - 1077 [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, Article number: 103495 , pp. 1 - 15 [Scientific article]
