Research output per year
Research output per year
Personal profile
Personal information
Paolo Gorgi is Associate Professor at the department of Econometrics and Data Science of the Vrije Universiteit Amsterdam.
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
- ACMetric B.V. | Amsterdam | Partner | 2021-01-01 - present
Ancillary activities are updated daily
Expertise related to UN Sustainable Development Goals
In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This person’s work contributes towards the following SDG(s):
Academic qualification
PhD, Statistics and Econometrics, Joint degree University of Padova & Vrije Universiteit Amsterdam
1 Jan 2014 → 27 Feb 2017
Award Date: 27 Feb 2017
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Collaborations and top research areas from the last five years
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Research output
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On the optimality of score-driven models
Gorgi, P., Lauria, C. S. A. & Luati, A., Sept 2024, In: Biometrika. 111, 3, p. 865-880 16 p.Research output: Contribution to Journal › Article › Academic › peer-review
Open Access -
Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors
Gorgi, P., Koopman, S. J. & Schaumburg, J., 16 May 2024, (E-pub ahead of print) In: Journal of Econometrics. 105750.Research output: Contribution to Journal › Article › Academic › peer-review
Open Access -
A robust Beveridge–Nelson decomposition using a score-driven approach with an application
Blasques, F., van Brummelen, J., Gorgi, P. & Koopman, S. J., Mar 2024, In: Economics Letters. 236, p. 1-5 5 p., 111588.Research output: Contribution to Journal › Article › Academic › peer-review
Open Access -
Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions
Blasques, F., van Brummelen, J., Gorgi, P. & Koopman, S. J., Jan 2024, In: Journal of Econometrics. 238, 1, p. 1-22 22 p., 105575.Research output: Contribution to Journal › Article › Academic › peer-review
Open Access -
Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects
Gorgi, P. & Koopman, S. J., Dec 2023, In: Journal of Econometrics. 237, 2, p. 1-21 21 p., 105177.Research output: Contribution to Journal › Article › Academic › peer-review
Open Access