• Gustav Mahlerplein 117

    1082 MS Amsterdam


If you made any changes in Pure these will be visible here soon.

Personal profile

Personal information

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


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

Fingerprint Fingerprint is based on mining the text of the person's scientific documents to create an index of weighted terms, which defines the key subjects of each individual researcher.

  • 2 Similar Profiles
Recurrence Equations Mathematics
Maximum Likelihood Estimator Mathematics
Survival Probability Mathematics
Invertibility Mathematics
Autoregressive Model Mathematics
Maximum Likelihood Estimation Mathematics
Misspecified Model Mathematics
Stochastic Equations Mathematics

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

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
GDP growth

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

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
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
Maximum Likelihood Estimation
Maximum Likelihood Estimator
Time Series Models
Misspecified Model