dr. Paolo Gorgi

PhD

Associate Professor, School of Business and Economics, Econometrics and Data Science
research fellow, Tinbergen Institute

https://orcid.org/0000-0002-5893-4784

If you made any changes in Pure these will be visible here soon.

9 Article
8 Working paper
1 PhD Thesis - Research VU Amsterdam, graduation VU Amsterdam

18 results

2020
Beta–negative binomial auto-regressions for modelling integer-valued time series with extreme observations
Gorgi, P., 2020, In : Journal of the Royal Statistical Society. Series B: Statistical Methodology. 82, 5, p. 1325-1347 23 p.
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., 27 Jan 2020, III ed., Tinbergen Institute.
Research output: Working paper › Academic

Open Access
Estimation of final standings in football competitions with premature ending: the case of COVID-19
Gorgi, P., Koopman, S. J. & Lit, R., 13 Oct 2020, 070/III ed., Tinbergen Instituut, (TI discussion paper series; no. 20-070/III).
Research output: Working paper › Professional
Missing observations in observation-driven time series models
Blasques, F., Gorgi, P. & Koopman, S. J., 2020, (Accepted/In press) In : Journal of Econometrics. 221, 2, p. 542-568
Research output: Contribution to Journal › Article › Academic › peer-review
2019
Accelerating score-driven time series models
Blasques, F., Gorgi, P. & Koopman, S. J., Oct 2019, In : Journal of Econometrics. 212, 2, p. 359-376 18 p.
Research output: Contribution to Journal › Article › Academic › peer-review

Open Access
File
33 Downloads (Pure)
Forecasting economic time series using score-driven dynamic models with mixed-data sampling
Gorgi, P., Koopman, S. J. & Li, M., Oct 2019, In : International Journal of Forecasting. 35, 4, p. 1735-1747 13 p.
Research output: Contribution to Journal › Article › Academic › peer-review

Open Access
File
17 Downloads (Pure)
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

Open Access
File
29 Downloads (Pure)
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 17 p.
Research output: Contribution to Journal › Article › Academic › peer-review

Open Access
2018

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
DSGE Models with observation-driven time-varying volatility
Angelini, G. & Gorgi, P., Oct 2018, In : Economics Letters. 171, p. 169-171 3 p.
Research output: Contribution to Journal › Article › Academic › peer-review

Open Access
File
21 Downloads (Pure)
Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
Blasques, F., Gorgi, P., Koopman, S. J. & Wintenberger, O., Mar 2018, In : Electronic Journal of Statistics. 12, 1, p. 1019-1052 34 p.
Research output: Contribution to Journal › Article › Academic › peer-review

Open Access
Forecasting economic time series using score-driven dynamic models with mixed-data sampling
Gorgi, P. & Koopman, S. J., 2018, Amsterdam: Tinbergen Institute, 25 p. (TI Discussion Paper Series; vol. 18, no. 026/III).
Research output: Working paper › Academic
Integer-Valued Autoregressive Models With Survival Probability Driven By A Stochastic Recurrence Equation
Gorgi, P., Mar 2018, In : Journal of Time Series Analysis. 39, 2, p. 150-171 22 p.
Research output: Contribution to Journal › Article › Academic › peer-review

Open Access
File
17 Downloads (Pure)
Missing Observations in Observation-Driven Time Series Models
Blasques Albergaria Amaral, F., Gorgi, P. & Koopman, S. J., 2018, 013/III ed., Amsterdam: Tinbergen Institute, 39 p. (TI Discussion Paper Series; vol. 2018, no. 013/III).
Research output: Working paper › Academic
The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model
Gorgi, P., Koopman, S. J. & Lit, R., 2018, Amsterdam: Tinbergen Institute, 18 p. (TI Discussion Paper Series; vol. 18, no. 009/III).
Research output: Working paper › Academic
2017

On observation-driven time series modeling
Gorgi, P., 2017, Amsterdam: Vrije Universiteit. 114 p.
Research output: PhD Thesis › PhD Thesis - Research VU Amsterdam, graduation VU Amsterdam

Open Access
File

415 Downloads (Pure)
2016

Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models
Blasques, F., Gorgi, P. G., Koopman, S. J. & Wintenberger, O., 2016, Amsterdam: Tinbergen Institute, 34 p. (TI Discussion Paper; no. 16-082/III).
Research output: Working paper › Professional
2015

A Note on "Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model"
Blasques, F., Gorgi, P. G., Koopman, S. J. & Wintenberger, O., 2015, Amsterdam: Tinbergen Institute, 10 p. (TI Discussion Paper; no. 15-131/III).
Research output: Working paper › Professional

Search results