Refereed articles

  1. Gorgi, P., and Koopman, S. J. (forthcoming). Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects. Journal of Econometrics.

  2. Gorgi, P., Koopman, S. J., and Lit, R. (2021). Estimation of final standings in football competitions with premature ending: the case of COVID-19AStA Advances in Statistical Analysis, https://doi.org/10.1007/s10182-021-00415-7.

  3. Blasques, F., Gorgi, P., and Koopman, S. J. (2021). Missing observations in observation-driven time series models. Journal of Econometrics, 221, 542-568.

  4. Gorgi, P. (2020). Beta–negative binomial auto‐regressions for modelling integer‐valued time series with extreme observationsJournal of the Royal Statistical Society: Series B, 82, 1325-1347.​

  5. 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.

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

  7. 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.

  8. 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).

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

  10. 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.

  11. 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