dr. Paolo Gorgi

PhD, dr.

  • Gustav Mahlerplein 117

    1082 MS Amsterdam

    Netherlands

20152019
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Research Output 2015 2019

  • 7 Article
  • 6 Working paper
  • 1 PhD Thesis - Research VU, graduation VU
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Article
2019

Accelerating score-driven time series models

Blasques, F., Gorgi, P. & Koopman, S. J., 2019, In : Journal of Econometrics. 212, 2, p. 359-376

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., 2019, In : International Journal of Forecasting. 35, 4, p. 1735-1747

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, In : Journal of the Royal Statistical Society. Series A: Statistics in Society. 182, 4, p. 1393-1409

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Forecasting
Dynamic Model
High-dimensional
Time-varying
Tournament
2018

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 JournalArticleAcademicpeer-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 JournalArticleAcademicpeer-review

Open Access
Invertibility
Maximum Likelihood Estimation
Maximum Likelihood Estimator
Time Series Models
Misspecified Model

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 JournalArticleAcademicpeer-review

Recurrence Equations
Survival Probability
Autoregressive Model
Stochastic Equations
Integer