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Enzo Giacomini

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First Name:Enzo
Middle Name:
Last Name:Giacomini
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RePEc Short-ID:pgi107
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Location: Berlin, Germany
Homepage: http://ise.wiwi.hu-berlin.de/
Email:
Phone: +49-30-2093 5713
Fax: +49-30-2093 5712
Postal: Spandauer Str. 1, 10178 Berlin
Handle: RePEc:edi:ishubde (more details at EDIRC)
Location: Berlin, Germany
Homepage: http://sfb649.wiwi.hu-berlin.de/
Email:
Phone: +49-30-2093-5708
Fax: +49-30-2093-5617
Postal: Spandauer Str. 1,10178 Berlin
Handle: RePEc:edi:sohubde (more details at EDIRC)
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  1. Enzo Giacomini & Wolfgang Härdle & Volker Krätschmer, 2008. "Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation," SFB 649 Discussion Papers SFB649DP2008-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Enzo Giacomini & Wolfgang Härdle, 2007. "Statistics of Risk Aversion," SFB 649 Discussion Papers SFB649DP2007-025, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  3. Enzo Giacomini & Wolfgang Härdle & Ekaterina Ignatieva & Vladimir Spokoiny, 2006. "Inhomogeneous Dependency Modelling with Time Varying Copulae," SFB 649 Discussion Papers SFB649DP2006-075, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  4. Enzo Giacomini & Michael Handel & Wolfgang K. Härdle, 2006. "Time Dependent Relative Risk Aversion," SFB 649 Discussion Papers SFB649DP2006-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  5. Enzo Giacomini & Wolfgang Härdle, 2005. "Value-at-Risk Calculations with Time Varying Copulae," SFB 649 Discussion Papers SFB649DP2005-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  1. Giacomini, Enzo & Härdle, Wolfgang & Spokoiny, Vladimir, 2009. "Inhomogeneous Dependence Modeling with Time-Varying Copulae," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 224-234.
  2. Enzo Giacomini & Wolfgang Härdle & Volker Krätschmer, 2009. "Dynamic semiparametric factor models in risk neutral density estimation," AStA Advances in Statistical Analysis, Springer, vol. 93(4), pages 387-402, December.
5 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (2) 2006-11-25 2008-05-31. Author is listed
  2. NEP-ETS: Econometric Time Series (1) 2006-11-25
  3. NEP-FIN: Finance (1) 2006-04-08
  4. NEP-FMK: Financial Markets (2) 2005-10-29 2006-04-08. Author is listed
  5. NEP-RMG: Risk Management (2) 2005-10-29 2006-11-25. Author is listed
  6. NEP-UPT: Utility Models & Prospect Theory (2) 2006-04-08 2007-05-12. Author is listed

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