Journal Papers
[10] Francisco Blasques, Enzo D’Innocenzo, Siem Jan Koopman (2024). Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices. Econometric Reviews, 1–33. DOI: https://doi.org/10.1080/07474938.2024.2357430
[9] Enzo D’Innocenzo and André Lucas (2024) Dynamic partial correlation models. Journal of Econometrics. DOI: https://doi.org/10.1016/j.jeconom.2024.105747 [Open Access]
[8] Andrea Guizzardi, Luca Vincenzo Ballestra, and Enzo D’Innocenzo (2024) Reverse engineering the last-minute on-line pricing practices: an application to hotels. Statistical Methods and Applications, DOI: https://doi.org/10.1007/s10260-024-00751-3 [Open Access]
[7] Enzo D’Innocenzo, André Lucas, Anne Opschoor, Xingmin Zhang (2023) Heterogeneity and dynamics in network models, Journal of Applied Econometrics, DOI: https://doi.org/10.1002/jae.3013 [Early View – Online Accepted Version of Record before inclusion in an issue]
[6] Luca Vincenzo Ballestra, Enzo D’Innocenzo, Andrea Guizzardi (2023) 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, DOI: https://doi.org/10.1016/j.ejor.2023.11.049 [Pre-proof]
[5] Enzo D’Innocenzo, André Lucas, Bernd Schwaab and Xin Zhang (2023) Modeling extreme events: time-varying extreme tail shape. Journal of Business & Economic Statistics, 1-15, https://www.tandfonline.com/doi/full/10.1080/07350015.2023.2260439 [Open Access]
[4] Enzo D’Innocenzo, Alessandra Luati and Mario Mazzocchi (2023) A robust score-driven filter for multivariate time series, Econometric Reviews, 42:5, 441-470, DOI: 10.1080/07474938.2023.2198930
[3] Luca Vincenzo Ballestra, Enzo D’Innocenzo and Andrea Guizzardi (2023) Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options, Journal of Financial Econometrics, nbad001, https://doi.org/10.1093/jjfinec/nbad00 [Open Access]
[2] Andrea Guizzardi, Luca Vincenzo Ballestra and Enzo D’Innocenzo (2022) Hotel dynamic pricing, stochastic demand and covid-19, Annals of Tourism Research, 97:103495, ISSN 0160-7383, DOI: https://doi.org/10.1016/j.annals.2022.103495
[1] Francesca Gasperoni, Alessandra Luati, Lucia Paci and Enzo D’Innocenzo (2021) Score-Driven Modeling of Spatio-Temporal Data, Journal of the American Statistical Association, 118:542, 1066-1077, DOI: 10.1080/01621459.2021.197057 [Open Access]
Book Chapters
[1] Tommaso Proietti, Alessandra Luati and Enzo D’Innocenzo (2023) Generalized Linear Spectral Models for Locally Stationary Processes. In Research Papers in Statistical Inference for Time Series and Related Models: Essays in Honor of Masanobu Taniguchi (pp. 343-368). Singapore: Springer Nature Singapore. Book chapter available here.
Conference Papers & Proceedings
[2] Luca Vincenzo Ballestra, Enzo D’Innocenzo and Andrea Guizzardi (2022) A statistical approach to evaluate last minute pricing decisions in the online hotel market, in: COMPSTAT 2022 Book of Abstract, pp. 14 – 14, Bologna, 23-26 August 2022. Conference Proceedings available here.
[1] Luca Vincenzo Ballestra, Enzo D’Innocenzo and Andrea Guizzardi (2022) Pricing options using a score-driven model with jumps, in: COMPSTAT 2022 Book of Abstracts, pp. 75 – 75, Bologna, 23-26 August 2022. Conference Proceedings available here.
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