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. Read more here.
Latest News from my Blog
- Presentation at Spoke 4 on Quantifying the Effect of Climate Change on Extreme Events
- 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
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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