| Feasible invertibility conditions and maximum likelihood estimation for observation-driven models F Blasques, P Gorgi, SJ Koopman, O Wintenberger | 90 | 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 | 78 | 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 | 39 | 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 | 34 | 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 | 24 | 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 | 17 | 2023 |
| On the optimality of score-driven models P Gorgi, CSA Lauria, A Luati Biometrika 111 (3), 865-880, 2024 | 16 | 2024 |
| 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 |
| 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 | 10 | 2024 |
| DSGE models with observation-driven time-varying volatility G Angelini, P Gorgi Economics Letters 171, 169-171, 2018 | 9 | 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 |
| Missing observations in observation-driven time series models F Blasques, P Gorgi, SJ Koopman Journal of Econometrics 221 (2), 542-568, 2021 | 7 | 2021 |
| Accelerating GARCH and score-driven models: Optimality, estimation and forecasting FF Blasques, P Gorgi, SJSJ Koopman Tinbergen Institute Discussion Paper, 2017 | 5 | 2017 |
| Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models M Armillotta, P Gorgi Journal of Econometrics 246 (1-2), 105894, 2024 | 4 | 2024 |
| 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 244 (2), 105750, 2024 | 2 | 2024 |
| Conditional score residuals and diagnostic analysis of serial dependence in time series models F Blasques, P Gorgi, SJ Koopman Journal of Business & Economic Statistics, 1-28, 2024 | 1 | 2024 |
| A robust Beveridge–Nelson decomposition using a score-driven approach with an application F Blasques, J van Brummelen, P Gorgi, SJ Koopman Economics Letters 236, 111588, 2024 | 1 | 2024 |
