Paolo Gorgi is Assistant Professor at Vrije Universiteit Amsterdam. He obtained his BSc and MSc in the field of Statistical Sciences at the University of Padova, Italy. He was awarded a double PhD from the University of Padova and the Vrije Universiteit Amsterdam. His main research interests concern: time series analysis, statistical inference for dynamic models and forecasting economic variables.
List of publications
Blasques, F., Gorgi, P. and Koopman, S.J. (2020). Missing observations in observation-driven time series models Journal of Econometrics, :.
Gorgi, P. (2020). Beta–negative binomial auto-regressions for modelling integer-valued time series with extreme observations Journal of the Royal Statistical Society. Series B. Statistical Methodology, 82(5):1325--1347.
Blasques, F., Gorgi, P. and Koopman, S.J. (2019). Accelerating score-driven time series models Journal of Econometrics, 212(2):359--376.
Gorgi, P., Koopman, S.J. and Li, M. (2019). Forecasting economic time series using score-driven dynamic models with mixed-data sampling International Journal of Forecasting, 35(4):1735--1747.
Gorgi, P., Hansen, P.R., Janus, P. and Koopman, S.J. (2019). Realized wishart-garch: A score-driven multi-Asset volatility model Journal of Financial Econometrics, 17(1):1--32.
Angelini, G. and Gorgi, P. (2018). DSGE Models with observation-driven time-varying volatility Economics Letters, 171:169--171.