D'INNOCENZO, ENZO
D'INNOCENZO, ENZO
DIPARTIMENTO DI SCIENZE ECONOMICHE
Ricercatori a tempo determinato
A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options
2024 Ballestra, Luca Vincenzo; D’Innocenzo, Enzo; Guizzardi, Andrea
A robust score-driven filter for multivariate time series
2023 Enzo D’Innocenzo; Alessandra Luati; Mario Mazzocchi
Dynamic partial correlation models
2024 Enzo DInnocenzo; Andre Lucas
Generalized Linear Spectral Models for Locally Stationary Processes
2023 Proietti, Tommaso; Luati, Alessandra; D’Innocenzo, Enzo
Heterogeneity and dynamics in network models
2023 D'Innocenzo, Enzo; Lucas, André; Opschoor, Anne; Zhang, Xingmin
Hotel dynamic pricing, stochastic demand and covid-19
2022 Guizzardi, Andrea; Ballestra, Luca Vincenzo; D'Innocenzo, Enzo
Modeling extreme events: time-varying extreme tail shape*
2023 Enzo D’Innocenzo, André Lucas, Bernd Schwaab and Xin Zhang
Pricing options using a score-driven model with jumps
2022 Luca Vincenzo Ballestra; Enzo D'Innocenzo; Andrea Guizzardi
Reverse engineering the last-minute on-line pricing practices: an application to hotels
2024 Guizzardi, Andrea; Ballestra, Luca Vincenzo; D’Innocenzo, Enzo
Score Driven Modeling of Spatio-temporal Data
2023 Gasperoni, Francesca; Luati, Alessandra; Paci, Lucia; D’Innocenzo, Enzo
Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options
2023 Ballestra, Luca Vincenzo; D’Innocenzo, Enzo; Guizzardi, Andrea