dr. Paolo Gorgi

PhD, dr.

  • 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 Dive into the research topics where Paolo Gorgi is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

  • 1 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

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

Accelerating score-driven time series models

Blasques, F., Gorgi, P. & Koopman, S. J., 2019, In : Journal of Econometrics. 212, 2, p. 359-376

Research output: Contribution to JournalArticleAcademicpeer-review

Time series models

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

Gorgi, P., Koopman, S. J. & Li, M., 2019, In : International Journal of Forecasting. 35, 4, p. 1735-1747

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

The analysis and forecasting of tennis matches by using a high dimensional dynamic model

Gorgi, P., Koopman, S. J. & Lit, R., 2019, In : Journal of the Royal Statistical Society. Series A: Statistics in Society. 182, 4, p. 1393-1409

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Dynamic Model

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