• 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

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.

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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, (Accepted/In press) In : Journal of Econometrics.

Research output: Contribution to JournalArticleAcademicpeer-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 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

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 JournalArticleAcademicpeer-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 paperAcademic