Details about Matteo Maria Pelagatti

Access statistics for papers by Matteo Maria Pelagatti.

Last updated 2021-04-08. Update your information in the RePEc Author Service.

Short-id: ppe139

Working Papers

2020

1. Assessing the effectiveness of the Italian risk-zones policy during the second wave of Covid-19
   Working Papers, University of Milano-Bicocca, Department of Economics
2. Estimating high dimensional multivariate stochastic volatility models
   Working Papers, University of Milano-Bicocca, Department of Economics

2019

3. Statistical Learning and Exchange Rate Forecasting
   DISEIS - Quaderni del Dipartimento di Economia internazionale, delle istituzioni e dello sviluppo, Università Cattolica del Sacro Cuore, Dipartimento di Economia internazionale, delle istituzioni e dello sviluppo (DISEIS)
   See also Journal Article in International Journal of Forecasting (2020)

2018

4. A Review of Balancing Costs in Italy before and after RES introduction
   BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen View citations (17)
   See also Journal Article in Renewable and Sustainable Energy Reviews (2018)

2017

5. The RES-induced Switching Effect Across Fossil Fuels: An Analysis of the Italian Day-Ahead and Balancing Prices and Their Connected Costs
   Working Papers, University of Milano-Bicocca, Department of Economics View citations (2)

2016

6. Measures of variance for smoothed disturbances in linear state-space models: a clarification
   gretl working papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali

2013

7. Nonparametric tests for event studies under cross-sectional dependence
   Working Papers, University of Milano-Bicocca, Department of Economics View citations (2)

2012

8. A least squares approach to latent variables extraction in formative-reflective models
   Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica
   See also Journal Article in Computational Statistics & Data Analysis (2018)
9. Book Review: The Art of R Programming
   Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica
10. On the empirical failure of purchasing power parity tests
    Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica
    See also Journal Article in Journal of Applied Econometrics (2015)
11. Supply Function Prediction in Electricity Auctions
    Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica
12. Unpuzzling the Purchasing Power Parity Puzzle
    Working Papers, University of Milano-Bicocca, Department of Economics

2010

13. A KPSS better than KPSS. Rank tests for short memory stationarity
    Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica
14. Estimating Marginal Costs and Market Power in the Italian Electricity Auctions
    Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica View citations (1)

2009

15. A robust version of the KPSS test based on ranks
    Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica View citations (3)

2008

16. Milan’s Cycle as an Accurate Leading Indicator for the Italian Business Cycle
    Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica

2007

17. A Robust Multivariate Long Run Analysis of European Electricity Prices
    Working Papers, Fondazione Eni Enrico Mattei View citations (3)
    Also in Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica (2007) View citations (7)
    International Energy Markets Working Papers, Fondazione Eni Enrico Mattei (FEEM) (2007) View citations (3)
18. Modelling good and bad volatility
    Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica View citations (3)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2009)

2006

19. Deregulated Wholesale Electricity Prices in Europe
    Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica View citations (7)
20. Deregulated Wholesale Electricity Prices in Italy
    Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica View citations (15)
21. Dynamic Conditional Correlation with Elliptical Distributions
    Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica
    Also in Econometrics, University Library of Munich, Germany (2005) View citations (4)
22. Statistical investigation on the relation between car accidents and warm katabatic winds
    Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica

2005

23. Business cycle and sector cycles
    Econometrics, University Library of Munich, Germany
24. Duration Dependent Markov-Switching Vector Autoregression: Properties, Bayesian Inference, Software and Application
    Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica View citations (4)
25. Time Series Modeling with Duration Dependent Markov-Switching Vector Autoregressions: MCMC Inference, Software and Applications
    Econometrics, University Library of Munich, Germany View citations (1)

Journal Articles

2020

1. Statistical learning and exchange rate forecasting
   International Journal of Forecasting, 2020, 36, (4), 1260-1289 View citations (5)
   See also Working Paper (2019)

2019

2. Market coupling between electricity markets: theory and empirical evidence for the Italian–Slovenian interconnection
   Economia Politica: Journal of Analytical and Institutional Economics, 2019, 36, (2), 527-548 View citations (2)
3. The RES-Induced Switching Effect Across Fossil Fuels: An Analysis of Day-Ahead and Balancing Prices
   The Energy Journal, 2019, Volume 40, (The New Era of Energy Transition) View citations (3)

2018

4. A least squares approach to latent variables extraction in formative–reflective models
   Computational Statistics & Data Analysis, 2018, 120, (C), 84-97
   See also Working Paper (2012)
5. A review of balancing costs in Italy before and after RES introduction
   Renewable and Sustainable Energy Reviews, 2018, 91, (C), 549-563 View citations (16)
   See also Working Paper (2018)
6. Component estimation for electricity market data: Deterministic or stochastic?
   Energy Economics, 2018, 74, (C), 13-37 View citations (11)

2016

7. Price coordination in vertically integrated electricity markets. Theory and empirical evidence
   The Energy Journal, 2016, Volume 37, (Number 1) View citations (3)
8. Revisiting long-run relations in power markets with high RES penetration
   Energy Policy, 2016, 94, (C), 432-445 View citations (18)
9. The Impact of RES in the Italian DayAhead and Balancing Markets
   The Energy Journal, 2016, Volume 37, (Bollino-Madlener Special Issue) View citations (28)

2015

10. On the Empirical Failure of Purchasing Power Parity Tests
    Journal of Applied Econometrics, 2015, 30, (6), 904-923 View citations (1)
    See also Working Paper (2012)
11. The importance of being systemically important financial institutions
    Journal of Banking & Finance, 2015, 50, (C), 562-574 View citations (28)

2013

12. Price-capping in partially monopolistic electricity markets with an application to Italy
    Energy Policy, 2013, 54, (C), 257-266 View citations (6)
13. Rank tests for short memory stationarity
    Journal of Econometrics, 2013, 172, (1), 90-105 View citations (14)

2012

14. Strategic bidding in vertically integrated power markets with an application to the Italian electricity auctions
    Energy Economics, 2012, 34, (6), 2046-2057 View citations (14)

2011

15. State Space Methods in Ox/SsfPack
    Journal of Statistical Software, 2011, 041, (i03) View citations (2)

2010

16. Long-run relations in european electricity prices
    Journal of Applied Econometrics, 2010, 25, (5), 805-832 View citations (65)
17. The Industrial Cycle of Milan as an Accurate Leading Indicator for the Italian Business Cycle
    OECD Journal: Journal of Business Cycle Measurement and Analysis, 2010, 2010, (2), 1-17 View citations (3)

2009

18. Modelling Good and Bad Volatility
    Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (1), 1-20 View citations (2)
    See also Working Paper (2007)

2007

19. ASSET (Age/Sex Standardised Estimates of Treatment): A Research Model to Improve the Governance of Prescribing Funds in Italy
    PLOS ONE, 2007, 2, (7), 1-8 View citations (1)
20. Deregulated Wholesale Electricity Prices in Italy: An Empirical Analysis
    International Advances in Economic Research, 2007, 13, (4), 415-432 View citations (13)

Chapters

2015

1. How Difficult Is It to Raise Money in Turbulent Times?
   Palgrave Macmillan