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)
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
Score-Driven Modeling of Spatio-Temporal Data
Gasperoni, Luati, Paci & D'Innocenzo (2021)
Journal of the American Statistical Association
Score-Driven Modeling with Jumps:
An Application to S&P500
Ballestra, D'Innocenzo & Guizzardi (2023)
Journal of Financial Econometrics
Hotel Dynamic Pricing,
Guizzardi, Ballestra & D'Innocenzo (2022)
Annals of Tourism
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
- New paper – Modelling extreme events: time varying extreme tail shape published on JBES
- New Book Chapter on Generalized Linear Spectral Models for Locally Stationary Processes
- New Paper on a robust score-driven filter for multivariate time series published on Econometrics Review
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