Zobrazeno 1 - 10
of 15
pro vyhledávání: '"Enzo D'Innocenzo"'
We introduce a novel score-driven model with two sources of shock, allowing for both time-varying volatility and jumps. A theoretical investigation is performed which yields sufficient conditions to ensure stationarity and ergodicity. We extend the m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5bb53261551070f2737dc343fe7fe799
https://hdl.handle.net/11585/916039
https://hdl.handle.net/11585/916039
Publikováno v:
Annals of Tourism Research, 97:103495, 1-15. Elsevier Limited
Guizzardi, A, Ballestra, L V & D'Innocenzo, E 2022, ' Hotel dynamic pricing, stochastic demand and covid-19 ', Annals of Tourism Research, vol. 97, 103495, pp. 1-15 . https://doi.org/10.1016/j.annals.2022.103495
Guizzardi, A, Ballestra, L V & D'Innocenzo, E 2022, ' Hotel dynamic pricing, stochastic demand and covid-19 ', Annals of Tourism Research, vol. 97, 103495, pp. 1-15 . https://doi.org/10.1016/j.annals.2022.103495
We develop an innovative framework to study how hoteliers apply inventory control and price discrimination taking into account seasonality. We end up with a time-varying model that, using publicly available information, connects the early booking and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8583c9f314d8c2f33feb227b1be89fb2
https://doi.org/10.1016/j.annals.2022.103495
https://doi.org/10.1016/j.annals.2022.103495
Publikováno v:
SSRN Electronic Journal.
We propose a multiplicative dynamic factor structure for the conditional modelling of the variances of an N-dimensional vector of financial returns. We identify common and idiosyncratic conditional volatility factors. The econometric framework is bas
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5cd9edd4ca48bc961568ebcdae2a2fdd
https://doi.org/10.2139/ssrn.3875612
https://doi.org/10.2139/ssrn.3875612
Publikováno v:
Vrije Universiteit Amsterdam
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::139c40e1e6c13ce817e7052b07c019aa
https://research.vu.nl/en/publications/e059d242-05a7-4ddf-8508-c0adeb64829d
https://research.vu.nl/en/publications/e059d242-05a7-4ddf-8508-c0adeb64829d
Publikováno v:
Econometric Reviews. 2023, Vol. 42 Issue 5, p441-470. 30p.
Publikováno v:
International Journal of Financial Studies. Mar2023, Vol. 11 Issue 1, p17. 4p.
Publikováno v:
Journal of the American Statistical Association; Jun2023, Vol. 118 Issue 542, p1066-1077, 12p
Publikováno v:
Journal of Risk & Financial Management; Feb2023, Vol. 16 Issue 2, p57, 14p
Publikováno v:
Econometrics (2225-1146). Mar2023, Vol. 11 Issue 1, p3. 2p.
This book compiles theoretical developments on statistical inference for time series and related models in honor of Masanobu Taniguchi's 70th birthday. It covers models such as long-range dependence models, nonlinear conditionally heteroscedastic tim