Details about Enzo Giacomini
Access statistics for papers by Enzo Giacomini.
Last updated 2022-12-01. Update your information in the RePEc Author Service.
Short-id: pgi107
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Working Papers
2007
- Statistics of risk aversion
SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk 
2006
- Inhomogeneous dependency modelling with time varying copulae
SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
See also Journal Article Inhomogeneous Dependence Modeling with Time-Varying Copulae, Journal of Business & Economic Statistics, American Statistical Association (2009) View citations (56) (2009)
- Time dependent relative risk aversion
SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (3)
2005
- Value-at-risk calculations with time varying copulae
SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (4)
Journal Articles
2009
- Dynamic semiparametric factor models in risk neutral density estimation
AStA Advances in Statistical Analysis, 2009, 93, (4), 387-402 View citations (10)
- Inhomogeneous Dependence Modeling with Time-Varying Copulae
Journal of Business & Economic Statistics, 2009, 27, (2), 224-234 View citations (56)
See also Working Paper Inhomogeneous dependency modelling with time varying copulae, SFB 649 Discussion Papers (2006) (2006)
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