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Enzo D’Innocenzo

University of Bologna (from arXiv:2410.14513, 2024) · ORCID · OpenAlex

14 papers in scope · 12 published · 4 on the econ.EM arXiv · 84 citations · h-index 4 (over the papers listed here)

Related authors

The 20 authors closest to this one in our weighted citation graph, most related first.

  1. Chaohua Dong
  2. Chen Tong
  3. Peter Reinhard Hansen
  4. Ilya Archakov
  5. Jiti Gao
  6. Oliver Linton
  7. Bin Peng
  8. Tong Chen
  9. Asger Lunde
  10. Xinxian Chen
  11. Frédérique Fève
  12. Zhuo Huang
  13. Yiyao Luo
  14. Luca De Angelis
  15. Alessandra Luati
  16. Rutger-Jan Lange
  17. Giovanni Angelini
  18. K. B. Gubbels
  19. Andre Lucas
  20. Ji Hyung Lee

Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md.

Papers

(4 of 14)

Joint Extreme Value-at-Risk and Expected Shortfall Dynamics with a Single Integrated Tail Shape Parameter
published2026 · Journal of Business and Economic Statistics · 1 citations
with André Lucas, Bernd Schwaab, Xin Zhang
Journal of Business and Economic Statistics
A GARCH model with two volatility components and two driving factors
published2025 · Journal of Empirical Finance · 1 citations · first circulated 2024
with Luca Vincenzo Ballestra, Christian Tezza, Enzo D apos Innocenzo
Paper profile Journal of Empirical Finance arXiv:2410.14585
GARCH option valuation with long-run and short-run volatility components: A novel framework ensuring positive variance
working paper2024 · arXiv
with Luca Vincenzo Ballestra, Christian Tezza
Paper profile arXiv arXiv:2410.14513
Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices
published2024 · Econometric Reviews · 2 citations · first circulated 2021
with Francisco Blasques, Siem Jan Koopman
Econometric Reviews
Reverse engineering the last-minute on-line pricing practices: an application to hotels
published2024 · Statistical Methods & Applications · 1 citations
with Andrea Guizzardi, Luca Vincenzo Ballestra
Statistical Methods & Applications
Dynamic partial correlation models
published2024 · Journal of Econometrics · 3 citations
with André Lucas
Journal of Econometrics
Heterogeneity and dynamics in network models
published2023 · Journal of Applied Econometrics · 4 citations
with André Lucas, Anne Opschoor, Xingmin Zhang
Journal of Applied Econometrics
A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options
published2023 · European Journal of Operational Research · 9 citations
with Luca Vincenzo Ballestra, Andrea Guizzardi
European Journal of Operational Research
Modeling Extreme Events: Time-Varying Extreme Tail Shape
published2023 · Journal of Business and Economic Statistics · 16 citations
with André Lucas, Bernd Schwaab, Xin Zhang
Journal of Business and Economic Statistics
A robust score-driven filter for multivariate time series
published2023 · Econometric Reviews · 4 citations · first circulated 2020
with Alessandra Luati, Mario Mazzocchi
Paper profile Econometric Reviews arXiv:2009.01517
Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options
published2023 · Journal of Financial Econometrics · 4 citations
with Luca Vincenzo Ballestra, Andrea Guizzardi
Journal of Financial Econometrics
Time-Varying Poisson Autoregression
working paper2022 · arXiv
with Giovanni Angelini, Giuseppe Cavaliere, Luca De Angelis
Paper profile arXiv arXiv:2207.11003
Score-Driven Modeling of Spatio-Temporal Data
published2021 · Journal of the American Statistical Association · 17 citations
with Francesca Gasperoni, Alessandra Luati, Lucia Paci
Journal of the American Statistical Association
Unobserved component models, approximate filters and dynamic adaptive mixture models
published2019 · Journal of Financial Econometrics · 22 citations · first circulated 2016
with Leopoldo Catania, Alessandra Luati, Enzo D apos Innocenzo
Journal of Financial Econometrics

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.