Main research interests

  • Score-driven time series models

  • Stochastic processes

  • Forecasting economic variables

  • Statistical inference in non-linear dynamic models

Refereed articles

  1. Gorgi, P., Koopman, S. J., and Lit, R. (2019). The analysis and forecasting of tennis matches by using a high dimensional dynamic model. Journal of the Royal Statistical Society: Series A, 182, 1393-1409.

  2. Blasques, F., Gorgi, and P., Koopman, S. J. (2019). Accelerating score-driven time series models. Journal of Econometrics, 212, 359-376.
  3. 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, 1735-1747.

  4. 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, 1-32. (R code available here)

  5. Angelini, G., and Gorgi, P. (2018). DSGE Models with observation-driven time-varying volatility Economics Letters, 171, 169-171.

  6. Blasques, F., Gorgi, P., Koopman, S. J., and Wintenberger, O. (2018). Feasible invertibility conditions and maximum likelihood estimation of observation-driven models. Electronic Journal of Statistics, 12, 1019-1052.

  7. Gorgi, P. (2018). Integer-valued autoregressive models with survival probability driven by a stochastic recurrence equation. Journal of Time Series Analysis, 39, 150-171.

Working papers

BNB autoregressions for modeling integer-valued time series with extreme observations (2019)

Missing Observations in Observation-Driven Time Series Models (2018)

Joint work with: Francisco Blasques and Siem Jan Koopman

A note on "Continuous Invertibility and stable QMLE of the EGARCH(1,1) model"  (2015)

Joint work with: Francisco Blasques, Siem Jan Koopman and Olivier Wintenberger

Seminars and Conferences

September 2019

Forecasting economic time series using score-driven models with mixed-data sampling (Oral presentation)

AMASES 2019 meeting, Perugia, Italy

June 2019

Missing observations in observation-driven time series models (Oral presentation)

IAAE 2019 conference, Nicosia, Cyprus

March 2019

A general class of observation-driven time series models for bounded data: theory and applications (Oral presentation)

Cambridge-INET: conference on Score-driven and nonlinear time series models, Cambridge, UK

October 2018

Missing observations in observation-driven time series models (Oral presentation)

RMSE workshop, Koblenz, Germany

June 2018

Forecasting economic time series using score-driven models with mixed-data sampling (Oral presentation)

RCEA workshop, Rimini, Italy

May 2018

Missing observations in observation-driven time series models (Oral presentation)

NESG 2018 conference, Amsterdam, The Netherlands

November 2017

Forecasting economic time series using score-driven models with mixed-data sampling (Oral presentation)

Central Bank Forecasting, Federal Reserve Bank of St. Louis, USA

August 2017

Feasible invertibility conditions and MLE of observation-driven models (Oral presentation)

ESEM 2017 conference, Lisbon, Portugal

August 2016

Integer-valued autoregressive models with dynamic coefficient driven by a stochastic recurrence equation (Oral presentation)

COMPSTAT 2016 conference, Oviedo, Spain

June 2016

Accelerating Score-Driven Models: Optimality, Estimation and Forecasting (Poster presentation)

NESG 2016 conference, KU Leuven, Belgium

February 2016

On the consistency of the MLE for observation-driven models (Seminar)

VU University Amsterdam, The Netherlands

December 2015

Observation-driven models: theory and methods (Seminar)

Department of Statistical Sciences, University of Padua, Italy