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Home | People | Paolo Gorgi

Paolo Gorgi

Candidate Fellow

Vrije Universiteit Amsterdam
Research field
Econometric Methodology, Econometric Theory, Econometrics, Time Series Econometrics

List of publications

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.