I encourage you to read this Open Letter in Support of Prof. Urga and sign it yourself if you want to join the cause (an English version of the letter is available below the Italian one, together with the list of signatories).

A Robust Score-Driven Filter for Multivariate Time Series


D'Innocenzo, Luati & Mazzocchi (2023)
Econometric Reviews

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Generalized Linear Spectral Models for Locally Stationary Processes

book chapter | essays in honor of Masanobu TaniguchI

Proietti, Luati & D'Innocenzo (2023)
Research Papers in Statistical Inference
for Time Series and Related Models

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Score-Driven Modeling of Spatio-Temporal Data


Gasperoni, Luati, Paci & D'Innocenzo (2021)
Journal of the American Statistical Association

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Score-Driven Modeling with Jumps:
An Application to S&P500


Ballestra, D'Innocenzo & Guizzardi (2023)
Journal of Financial Econometrics

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Hotel Dynamic Pricing,
Stochastic Demand
and COVID-19

Guizzardi, Ballestra & D'Innocenzo (2022)
Annals of Tourism

About Me

I am Junior Assistant Professor in Econometrics, Statistics and Data Science at the Department of Economic Science, University of Bologna (Italy).
Previously, I was a Associate Researcher at the School of Business and Economics of the Vrije Universiteit Amsterdam.
My main research interests span across Econometrics and Statistics, including time series analysis, statistical inference and asymptotic theory of time series models, score-drive models, time series methods to option pricing and financial econometrics.

Latest News from my Blog

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News from the world

EDS Colleagues present at NESG Conference 2022 | 9 May 2022
Lukas Hoesch, Yicong Lin, Enzo D’Innocenzo and Siem Jan Koopman present their research at this year’s meeting of the Netherlands Econometric Study Group. The conference will be held on May 20-21, 2022 at the University of Groningen. [Read more]

Enzo D’Innocenzo’s Paper Accepted in JASA | 15 March 2022
The article Score-Driven Modeling of Spatio-Temporal Data by Enzo D’Innocenzo is accepted and already published online by the Journal of the American Statistical Association. [Read More]

“The real constitution of things is accustomed to hide itself”

– Heraclitus

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