Refereed articles

  1. Gorgi, P. (forthcoming). BNB autoregressions for modeling integer-valued time series with extreme observations. Journal of the Royal Statistical Society: Series B.​

  2. Blasques, F., Gorgi, P., and Koopman, S. J. (forthcoming). Missing observations in observation-driven time series models. Journal of Econometrics.

  3. 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.

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

  5. 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.

  6. 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).

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

  8. 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.

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

Working papers

Talks in seminars and conferences