• Gustav Mahlerplein 117

    1082 MS Amsterdam

    Netherlands

20152019
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Personal profile

Personal information

Paolo Gorgi is an assistant professor at the department of Econometrics/OR of the Vrije Universiteit.

Research

His main research interests are:

- Score-driven time series models

- Stochastic processes

- Forecasting economic variables

- Statistical inference in non-linear dynamic models

Ancillary activities

No ancillary activities

Ancillary activities are updated daily

Education/Academic qualification

PhD, Joint degree University of Padova & Vrije Universiteit Amsterdam

1 Jan 201431 Dec 2016

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Research Output 2015 2019

  • 6 Working paper
  • 5 Article
  • 1 PhD Thesis - Research VU, graduation VU

Forecasting economic time series using score-driven dynamic models with mixed-data sampling

Gorgi, P., Koopman, S. J. & Li, M., 1 Jan 2019, (Accepted/In press) In : International Journal of Forecasting.

Research output: Contribution to JournalArticleAcademicpeer-review

Economic forecasting
Sampling
Weighting
GDP growth
Inflation

Realized wishart-garch: A score-driven multi-Asset volatility model

Gorgi, P., Hansen, P. R., Janus, P. & Koopman, S. J., Jan 2019, In : Journal of Financial Econometrics. 17, 1, p. 1-32 32 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Assets
Volatility models
Covariance matrix
Small sample
Sample size

DSGE Models with Observation-Driven Time-Varying parameters

Angelini, G. & Gorgi, P., 2018, Amsterdam: Tinbergen Institute, 10 p. (TI Discussion Paper Series; vol. 18, no. 030/III).

Research output: Working paperAcademic

DSGE Models with observation-driven time-varying volatility

Angelini, G. & Gorgi, P., Oct 2018, In : Economics Letters. 171, p. 169-171 3 p.

Research output: Contribution to JournalArticleAcademicpeer-review

DSGE models
Time-varying volatility
Structural shocks
Simulation
Time variation

Feasible invertibility conditions and maximum likelihood estimation for observation-driven models

Blasques, F., Gorgi, P., Koopman, S. J. & Wintenberger, O., Mar 2018, In : Electronic Journal of Statistics. 12, 1, p. 1019-1052 34 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Invertibility
Maximum Likelihood Estimation
Maximum Likelihood Estimator
Time Series Models
Misspecified Model