Research Output per year
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 2014 → 31 Dec 2016
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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
Accelerating score-driven time series models
Blasques, F., Gorgi, P. & Koopman, S. J., 2019, In : Journal of Econometrics. 212, 2, p. 359-376Research output: Contribution to Journal › Article › Academic › peer-review
Time series models
Innovation
Time-varying
Autocorrelation
Weighting
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. 1735-1747Research output: Contribution to Journal › Article › Academic › peer-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 Journal › Article › Academic › peer-review
Assets
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. 1393-1409Research output: Contribution to Journal › Article › Academic › peer-review
Open Access
Forecasting
Dynamic Model
High-dimensional
Time-varying
Tournament
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 paper › Academic