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Paolo Gorgi
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Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
F Blasques, P Gorgi, SJ Koopman, O Wintenberger
812018
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
652019
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
342019
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
302020
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 182 …, 2019
252019
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
182018
Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects
P Gorgi, SJ Koopman
Journal of Econometrics 237 (2), 105177, 2023
142023
Accelerating score-driven time series models
F Blasques, P Gorgi, SJ Koopman
Journal of econometrics 212 (2), 359-376, 2019
132019
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 107 (1), 233-250, 2023
102023
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
82017
DSGE models with observation-driven time-varying volatility
G Angelini, P Gorgi
Economics letters 171, 169-171, 2018
72018
Missing observations in observation-driven time series models
F Blasques, P Gorgi, SJ Koopman
Journal of econometrics 221 (2), 542-568, 2021
62021
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting
F Blasques, P Gorgi, SJ Koopman
Estimation and Forecasting (July 18, 2017), 2017
52017
Maximum likelihood estimation for non-stationary location models with mixture of normal distributions
F Blasques, J van Brummelen, P Gorgi, SJ Koopman
Journal of Econometrics 238 (1), 105575, 2024
42024
BNB autoregressions for modeling integer-valued time series with extreme observations
P Gorgi
arXiv preprint arXiv:1909.02929, 2019
32019
Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors
P Gorgi, SJ Koopman, J Schaumburg
Journal of Econometrics, 105750, 2024
22024
On the optimality of score-driven models
P Gorgi, CSA Lauria, A Luati
Biometrika, asad067, 2023
22023
Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models
M Armillotta, P Gorgi
arXiv preprint arXiv:2309.06100, 2023
22023
Conditional score residuals and diagnostic analysis of serial dependence in time series models
F Blasques, P Gorgi, SJ Koopman
Tinbergen Institute Discussion Paper 2021-098/III, 2021
12021
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
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Articles 1–20