Feasible invertibility conditions and maximum likelihood estimation for observation-driven models F Blasques, P Gorgi, SJ Koopman, O Wintenberger | 85 | 2018 |
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 | 71 | 2019 |
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 | 37 | 2020 |
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 | 34 | 2019 |
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 | 33 | 2019 |
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 | 20 | 2018 |
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 | 15 | 2023 |
Accelerating score-driven time series models F Blasques, P Gorgi, SJ Koopman Journal of Econometrics 212 (2), 359-376, 2019 | 14 | 2019 |
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 | 13 | 2023 |
DSGE models with observation-driven time-varying volatility G Angelini, P Gorgi Economics Letters 171, 169-171, 2018 | 8 | 2018 |
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 | 8 | 2017 |
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 | 7 | 2024 |
On the optimality of score-driven models P Gorgi, CSA Lauria, A Luati Biometrika, asad067, 2023 | 7 | 2023 |
Missing observations in observation-driven time series models F Blasques, P Gorgi, SJ Koopman Journal of Econometrics 221 (2), 542-568, 2021 | 6 | 2021 |
Accelerating GARCH and score-driven models: Optimality, estimation and forecasting FF Blasques, P Gorgi, SJSJ Koopman Tinbergen Institute Discussion Paper, 2017 | 5 | 2017 |
BNB autoregressions for modeling integer-valued time series with extreme observations P Gorgi arXiv preprint arXiv:1909.02929, 2019 | 3 | 2019 |
Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors P Gorgi, SJ Koopman, J Schaumburg Journal of Econometrics, 105750, 2024 | 2 | 2024 |
Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models M Armillotta, P Gorgi Journal of Econometrics 246 (1-2), 105894, 2024 | 1 | 2024 |
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 | 1 | 2021 |
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 | 1 | 2015 |