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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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, (Accepted/In press) In : Journal of Econometrics.Research 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., 1 Jan 2019, (Accepted/In press) In : International Journal of Forecasting.Research 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, (Accepted/In press) In : Journal of the Royal Statistical Society. Series A: Statistics in Society.Research output: Contribution to Journal › Article › Academic › peer-review
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