About Me
I am Enzo D’Innocenzo, Assistant Professor of Economics (ECON-01/A) in the Department of Economics at the University of Bologna, Italy.
I earned a degree in Statistical Sciences and completed my PhD at the University of Bologna, with a dissertation titled “Essays in Robust and Nonlinear Time Series Models.”
Following a visiting year there as a PhD candidate, I spent two postdoctoral years as a Research Associate at the School of Business and Economics, Vrije Universiteit Amsterdam.
My research lies at the intersection of econometrics and statistics, focusing on time-series analysis, statistical inference and asymptotic theory for time-series models, score-driven models, time-series methods for option pricing, and financial econometrics.
Academic Positions
- 2023 – current: Assistant Professor (ECON-01/A Economics) @ Department of Economics | University of Bologna (Italy).
- 2021 – 2023: Research Associate @ School of Business and Economics, Econometrics and Data Science | Vrije Universiteit Amsterdam (Netherlands)
- 2019 – 2021: Research Fellow @ Department of Statistical Sciences, University of Bologna (Italy)
Education
- 2016-2019: PhD In Statistical Science @ University of Bologna (Italy)
Dissertation Title: “Essays in Robust and Nonlinear Time Series Models.“ - 2013-2015: M.Sc Summa Cum Laude in Statistical Sciences @ University of Bologna (Italy)
- 2010-2013: B.Sc in Statistical Sciences @ University of Bologna (Italy)
Teaching
- 2025 – present: Probability and Statistics, Second cycle degree programme (LM) in Economics and Econometrics, University of Bologna (Italy)
- 2023 – 2025: Data Analysis Lab (Statistics and Data Analysis), BSc Course in Economics, Markets and Institutions, University of Bologna (Italy)
- 2021 – 2023: Econometrics for Quantitative Risk Management II, VU Amsterdam (Netherlands)
- 2021 – 2022: Introductory Econometrics for Business and Economics, VU Amsterdam (Netherlands)
- 2020 – 2021: Actuarial Mathematics, University of Bologna (Italy)
- 2020 – 2021: Mathematical Finance, University of Bologna (Italy)
- 2020 – 2021: Score-Driven Models – Theory & Applications, Second Level Masters’ Degree in Quantitative Risk Management – University of Bologna (Italy)
Awards
2018 – 2019: Marco Polo Scholarship for PhD Students – Department of Econometrics and Operations Research, VU Amsterdam (Netherlands)
Conferences
Upcoming Conferences
- E. D’Innocenzo, “FinEML Conference 2025”, Paper: “Score-Driven High-Dimensional Approximate Dynamic Factor Models: Estimation and Inference”, Co-Author: Matteo Barigozzi (University of Bologna), October 23-24, 2025, Erasmus University Rotterdam (Netherlands)
PastConferences
- E. D’Innocenzo, “ICEEE 2025”, Paper: “Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter”, Co-Author: Andre Lucas (VU University), Bernd Schwaab (ECB) & Xin Zhang (Central Bank of Sweden), May 28-31, 2025, University of Palermo (Italy)
- E. D’Innocenzo, “1st CAM-Risk conference”, Paper: “Dynamic Multivariate Hawkes Processes”, Co-Author: Andre Lucas (VU University), December 18-20, 2024, University of Pavia (Italy)
- E. D’Innocenzo, “Time Series Models for Financial and Environmental Risks”, Paper: “Limit results for score-driven filters”, Single Author Paper, May 30, 2024, University of Venezia (Italy)
- E. D’Innocenzo, “The 8th RCEA Time Series EconometricsWorkshop, Department of Economics and Finance”, Paper: “Limit results for score-driven filters”, Single Author Paper, May 20-21, 2024, Brunel University London (England)
- E. D’Innocenzo, “31st Symposium of the Society for Nonlinear Dynamics & Econometrics”, Paper: “Unobserved Component Models, Approximate Filters and Dynamic Adaptive Mixture Models”, Co-Authors: Leopoldo Catania (Aarhus University) & Alessandra Luati (Imperial College London), March 21-22, 2024, University of Padova (Italy)
- E. D’Innocenzo, “IWEEE2024: Climate & Energy Econometrics”, Paper: “Unobserved Component Models, Approximate Filters and Dynamic Adaptive Mixture Models”, Co-Authors: Leopoldo Catania (Aarhus University) & Alessandra Luati (Imperial College London), January 25-26, 2024, Free University of Bolzano (Italy)
- E. D’Innocenzo, GRINS – Giornata di Studio Spoke 4: “Quantifying the effect of climate change on extreme events“, Co-Authors: Giuseppe Cavaliere & Luca Fanelli (University of Bologna), Novembre 3rd, 2023, Università Ca’ Foscari of Venezia (Italy)
- E. D’Innocenzo, “5th International Conference of the ERCIMWG on Computational and Methodological Statistics (CMStatistics 2022)”, Paper: “Dynamic Partial Correlation Models”, Co-Author: Andre Lucas (VU University), December 17-19, 2022, King’s College London (England) [Attended remotely during hybrid session].
- E. D’Innocenzo, “33rd (EC)2 Conference: Econometrics of High Frequency Data & Factor Models”, Paper: “Dynamic Partial Correlation Models” Co-Author: Andre Lucas (VU University), December 9-10, 2022, ESSEC Business School Paris (France)
- E. D’Innocenzo, “NESG (15th Meeting)”, Paper: “Dynamic Partial Correlation Models”, Co-Author: Andre Lucas (VU University), May 20-21, 2022, University of Groningen( The Netherlands)
- E. D’Innocenzo, “Score-Based Approaches to Econometric Modeling with Applications (7th Time SeriesWorkshop)”, Paper: “Time-Varying Poisson Autoregressions”, Co-Authors: Giovanni Angelini, Giuseppe Cavaliere & Luca De Angelis (University of Bologna), July 19-24, 2021, Bertinoro (Italy)
- E. D’Innocenzo, “7th RCEA Time SeriesWorkshop – Time Series Econometrics”, Paper: “Unobserved Component Models, Approximate Filters and Dynamic Adaptive Mixture Models”, Co-Authors: Leopoldo Catania (Aarhus University) & Alessandra Luati (Imperial College London), June 25-26, 2021[On-Line conference due to the Covid-19 pandemic]
Computer Skills
Mathlab, R, C, LaTeX, Office
Non-Academic Experience
- 2016: Forecaster and Market Analyst @ Fater SpA, Pescara, Italy.
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