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Details about Matteo Maria Pelagatti

E-mail:
Homepage:http://www.statistica.unimib.it/utenti/p_matteo/
Phone:+390264485834
Postal address:Via Bicocca degli Arcimboldi, 8 20126 Milano Italy
Workplace:Dipartimento di Economia, Metodi Quantitativi e Strategie d'Impresa (DEMS) (Department of Economics, Quantitative Methods and Business Strategy), Scuola di Economia e Statistica (School of Economics and Statistics), Università degli Studi di Milano-Bicocca (University of Milan-Bicocca), (more information at EDIRC)

Access statistics for papers by Matteo Maria Pelagatti.

Last updated 2020-02-16. Update your information in the RePEc Author Service.

Short-id: ppe139


Jump to Journal Articles

Working Papers

2020

  1. Estimating high dimensional multivariate stochastic volatility models
    Working Papers, University of Milano-Bicocca, Department of Economics Downloads

2019

  1. 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) Downloads

2018

  1. 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 Downloads View citations (13)
    See also Journal Article in Renewable and Sustainable Energy Reviews (2018)

2017

  1. 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 Downloads View citations (2)

2016

  1. 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 Downloads

2013

  1. Nonparametric tests for event studies under cross-sectional dependence
    Working Papers, University of Milano-Bicocca, Department of Economics Downloads

2012

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

2010

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

2009

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

2008

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

2007

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

2006

  1. Deregulated Wholesale Electricity Prices in Europe
    Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica Downloads View citations (6)
  2. Deregulated Wholesale Electricity Prices in Italy
    Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica Downloads View citations (12)
  3. Dynamic Conditional Correlation with Elliptical Distributions
    Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica Downloads
    Also in Econometrics, University Library of Munich, Germany (2005) Downloads View citations (4)
  4. Statistical investigation on the relation between car accidents and warm katabatic winds
    Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica Downloads

2005

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

Journal Articles

2019

  1. 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 Downloads View citations (2)
  2. 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) Downloads View citations (1)

2018

  1. A least squares approach to latent variables extraction in formative–reflective models
    Computational Statistics & Data Analysis, 2018, 120, (C), 84-97 Downloads
    See also Working Paper (2012)
  2. A review of balancing costs in Italy before and after RES introduction
    Renewable and Sustainable Energy Reviews, 2018, 91, (C), 549-563 Downloads View citations (12)
    See also Working Paper (2018)
  3. Component estimation for electricity market data: Deterministic or stochastic?
    Energy Economics, 2018, 74, (C), 13-37 Downloads View citations (5)

2016

  1. Price coordination in vertically integrated electricity markets. Theory and empirical evidence
    The Energy Journal, 2016, Volume 37, (Number 1) Downloads View citations (3)
  2. Revisiting long-run relations in power markets with high RES penetration
    Energy Policy, 2016, 94, (C), 432-445 Downloads View citations (15)
  3. The Impact of RES in the Italian DayAhead and Balancing Markets
    The Energy Journal, 2016, Volume 37, (Bollino-Madlener Special Issue) Downloads View citations (24)

2015

  1. On the Empirical Failure of Purchasing Power Parity Tests
    Journal of Applied Econometrics, 2015, 30, (6), 904-923 Downloads View citations (1)
    See also Working Paper (2012)
  2. The importance of being systemically important financial institutions
    Journal of Banking & Finance, 2015, 50, (C), 562-574 Downloads View citations (24)

2013

  1. Price-capping in partially monopolistic electricity markets with an application to Italy
    Energy Policy, 2013, 54, (C), 257-266 Downloads View citations (5)
  2. Rank tests for short memory stationarity
    Journal of Econometrics, 2013, 172, (1), 90-105 Downloads View citations (10)

2012

  1. Strategic bidding in vertically integrated power markets with an application to the Italian electricity auctions
    Energy Economics, 2012, 34, (6), 2046-2057 Downloads View citations (13)

2011

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

2010

  1. Long-run relations in european electricity prices
    Journal of Applied Econometrics, 2010, 25, (5), 805-832 Downloads View citations (60)
  2. 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 Downloads View citations (3)

2009

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

2007

  1. 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 Downloads View citations (1)
  2. Deregulated Wholesale Electricity Prices in Italy: An Empirical Analysis
    International Advances in Economic Research, 2007, 13, (4), 415-432 Downloads View citations (15)
 
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