dr. Paolo Gorgi

Search results

• 2022

  Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions

  Blasques, F., van Brummelen, J., Gorgi, P. & Koopman, S. J., 6 Jan 2022, III ed., Tinbergen Institute.

  Research output: Working paper / Preprint › Working paper › Professional

  Open Access
• 2021

  Conditional Score Residuals and Diagnostic Analysis of Serial Dependence in Time Series Models

  Blasques, F., Gorgi, P. & Koopman, S. J., 18 Nov 2021, III ed., Tinbergen Institute, (TI Discussion Paper Series).

  Research output: Working paper / Preprint › Working paper › Professional

  Open Access

• Estimation of final standings in football competitions with a premature ending: the case of COVID-19

  Gorgi, P., Koopman, S. J. & Lit, R., 2021, (E-pub ahead of print) In: AStA Advances in Statistical Analysis.

  Research output: Contribution to Journal › Article › Academic › peer-review

  Open Access

  • Football 100%
  • Table 32%
  • Model-based 31%
  • League Tables 26%
  • model comparison 25%

• Missing observations in observation-driven time series models

  Blasques, F., Gorgi, P. & Koopman, S. J., Apr 2021, In: Journal of Econometrics. 221, 2, p. 542-568 27 p.

  Research output: Contribution to Journal › Article › Academic › peer-review

  Open Access

  File

  • Time Series Models 100%
  • Monte Carlo Simulation 74%
  • Inference 58%
  • Conditional Volatility 56%
  • Inconsistency 44%
  153 Downloads (Pure)

• Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors

  Koopman, S. J., Gorgi, P. & Schaumburg, J., 28 Jun 2021, Tinbergen Institute.

  Research output: Working paper / Preprint › Working paper › Professional

  Open Access
• 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

  • Autoregression 100%
  • Integer 75%
  • Outliers 69%
  • Extremes 69%
  • Specification 68%

• 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, (TI Discussion Paper series; vol. 20-004, no. III).

  Research output: Working paper / Preprint › 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 / Preprint › Working paper › Professional

  Open Access
• 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

  • Time Series Models 100%
  • Innovation 42%
  • Time-varying 33%
  • Kullback-Leibler Divergence 28%
  • Exchange Rates 26%
  190 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

  • Economic Forecasting 100%
  • Sampling 78%
  • GDP Growth 48%
  • Weighting 48%
  • Multiple Time Series 37%
  201 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

  • Volatility Models 100%
  • Covariance Matrix 63%
  • Assets 49%
  • Realized Variance 40%
  • Sample Size 39%
  271 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

  • Tennis 100%
  • Forecasting 82%
  • Dynamic Model 76%
  • High-dimensional 59%
  • Time-varying 46%
• 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 / Preprint › 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

  • Time-varying Volatility 100%
  • DSGE Models 93%
  • Structural Shocks 69%
  • Density Forecasts 34%
  • Time Variation 29%
  151 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

  • Maximum Likelihood Estimation 100%
  • Invertibility 58%
  • Maximum Likelihood Estimator 47%
  • Time Series Models 40%
  • Observation 35%

• 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 / Preprint › 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

  • Survival Probability 100%
  • Recurrence Equations 99%
  • Autoregressive Model 85%
  • Stochastic Equations 78%
  • Integer 74%
  147 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 / Preprint › 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 / Preprint › 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 and graduation internal

  Open Access

  File
  541 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 / Preprint › 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 / Preprint › Working paper › Professional