4 papers
A GARCH model with two volatility components and two driving factors
Luca Vincenzo Ballestra, Enzo D'Innocenzo, Christian Tezza
We introduce a novel GARCH model that integrates two sources of uncertainty to better capture the rich, multi-component dynamics often observed in the volatility of financial asset…
GARCH option valuation with long-run and short-run volatility components: A novel framework ensuring positive variance
Luca Vincenzo Ballestra, Enzo D'Innocenzo, Christian Tezza
Christoffersen, Jacobs, Ornthanalai, and Wang (2008) (CJOW) proposed an improved Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model for valuing European option…
Time-Varying Poisson Autoregression
Giovanni Angelini, Giuseppe Cavaliere, Enzo D'Innocenzo +1
In this paper we propose a new time-varying econometric model, called Time-Varying Poisson AutoRegressive with eXogenous covariates (TV-PARX), suited to model and forecast time ser…
A Robust Score-Driven Filter for Multivariate Time Series
Enzo D'Innocenzo, Alessandra Luati, Mario Mazzocchi
A multivariate score-driven filter is developed to extract signals from noisy vector processes. By assuming that the conditional location vector from a multivariate Student's t dis…