Research Output per year
Research Output 2015 2019
2019
Accelerating score-driven time series models
Blasques, F., Gorgi, P. & Koopman, S. J., 2019, In : Journal of Econometrics. 212, 2, p. 359-376Research 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., 2019, In : International Journal of Forecasting. 35, 4, p. 1735-1747Research 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, In : Journal of the Royal Statistical Society. Series A: Statistics in Society. 182, 4, p. 1393-1409Research output: Contribution to Journal › Article › Academic › peer-review
Open Access
Forecasting
Dynamic Model
High-dimensional
Time-varying
Tournament
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
DSGE models
Time-varying volatility
Structural shocks
Simulation
Time variation
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
Invertibility
Maximum Likelihood Estimation
Maximum Likelihood Estimator
Time Series Models
Misspecified Model
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., 1 Mar 2018, In : Journal of Time Series Analysis. 39, 2, p. 150-171 22 p.Research output: Contribution to Journal › Article › Academic › peer-review
Recurrence Equations
Survival Probability
Autoregressive Model
Stochastic Equations
Integer
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, graduation VU › Academic
Open Access
File
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