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Paolo Gorgi
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Year
Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
F Blasques, P Gorgi, SJ Koopman, O Wintenberger
Electronic Journal of Statistics 12 (1), 1019-1052, 2018
442018
Realized Wishart-GARCH: A score-driven multi-asset volatility model
P Gorgi, PR Hansen, P Janus, SJ Koopman
Journal of Financial Econometrics 17 (1), 1-32, 2019
372019
Forecasting economic time series using score-driven dynamic models with mixed-data sampling
P Gorgi, SJ Koopman, M Li
International Journal of Forecasting 35 (4), 1735-1747, 2019
152019
The analysis and forecasting of tennis matches by using a high dimensional dynamic model
P Gorgi, SJ Koopman, R Lit
Journal of the Royal Statistical Society: Series A (Statistics in Society …, 2019
152019
Integer‐Valued Autoregressive Models With Survival Probability Driven By A Stochastic Recurrence Equation
P Gorgi
Journal of Time Series Analysis 39 (2), 150-171, 2018
112018
Beta–negative binomial auto‐regressions for modelling integer‐valued time series with extreme observations
P Gorgi
Journal of the Royal Statistical Society: Series B (Statistical Methodology …, 2020
82020
Time-varying vector autoregressive models with structural dynamic factors
P Gorgi, SJ Koopman, J Schaumburg
Tinbergen Institute, The Netherlands and Aarhus University, Denmark, 17, 2017
72017
Missing observations in observation-driven time series models
F Blasques, P Gorgi, SJ Koopman
Journal of Econometrics 221 (2), 542-568, 2021
52021
Accelerating score-driven time series models
F Blasques, P Gorgi, SJ Koopman
Journal of Econometrics 212 (2), 359-376, 2019
52019
Estimation of final standings in football competitions with a premature ending: the case of COVID-19
P Gorgi, SJ Koopman, R Lit
AStA Advances in Statistical Analysis, 1-18, 2021
42021
Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects
P Gorgi, SJ Koopman
Journal of Econometrics, 2021
32021
DSGE Models with observation-driven time-varying volatility
G Angelini, P Gorgi
Economics Letters 171, 169-171, 2018
32018
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting
F Blasques, P Gorgi, SJ Koopman
Estimation and Forecasting (July 18, 2017), 2017
22017
Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors
P Gorgi, SJ Koopman, J Schaumburg
Tinbergen Institute Discussion Paper 2021-056/III, 2021
12021
BNB autoregressions for modeling integer-valued time series with extreme observations
P Gorgi
arXiv preprint arXiv:1909.02929, 2019
12019
A Note on'Continuous Invertibility and Stable QML Estimation of the EGARCH (1, 1) Model'
F Blasques, P Gorgi, SJ Koopman, O Wintenberger
Tinbergen Institute Discussion Paper 15-131/III, 2015
12015
Maximum likelihood estimation for non-stationary location models with mixture of normal distributions
F Blasques, J van Brummelen, P Gorgi, SJ Koopman
Tinbergen Institute Discussion Paper, 2022
2022
Forecasting economic time series using score-driven dynamic models with mixed-data sampling (vol 35, pg 1735, 2019)
P Gorgi
INTERNATIONAL JOURNAL OF FORECASTING 37 (3), 1312-1312, 2021
2021
Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors
SJ Koopman, P Gorgi, J Schaumburg
2021
Conditional score residuals and diagnostic analysis of serial dependence in time series models
F Blasques, P Gorgi, SJ Koopman
Tinbergen Institute Discussion Paper, 2021
2021
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