Working Papers

  1. Enzo D’Innocenzo and André Lucas – Dynamic Partial Correlation Models. Tinbergen Institute Discussion Paper 2022-070/III, Full text available here | Take a look at the Poster | Download the paper presentation
  2. Francisco Blasquez, Enzo D’Innocenzo and Siem Jan Koopman – Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence. Read the working paper
  3. Giovanni Angelini, Giuseppe Cavaliere, Enzo D’Innocenzo and Luca De Angelis – Time-Varying Poisson Autoregression. – Read the Working Paper

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