EconPapers    
Economics at your fingertips  
 

Details about Matteo Maria Pelagatti

E-mail:
Homepage:https://en.unimib.it/matteo-maria-pelagatti
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 2024-09-06. Update your information in the RePEc Author Service.

Short-id: ppe139


Jump to Journal Articles Chapters

Working Papers

2024

  1. A Hodrick-Prescott filter with automatically selected jumps
    Working Papers, Fondazione Eni Enrico Mattei Downloads
    Also in FEEM Working Papers, Fondazione Eni Enrico Mattei (FEEM) (2024) Downloads
  2. Common factors behind companies' Environmental ratings
    Working Papers, University of Milano-Bicocca, Department of Economics Downloads

2022

  1. Spatio-temporal Event Studies for Air Quality Assessment under Cross-sectional Dependence
    Papers, arXiv.org Downloads

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 Downloads
    See also Journal Article Assessing the effectiveness of the Italian risk-zones policy during the second wave of COVID-19, Health Policy, Elsevier (2021) Downloads View citations (5) (2021)
  2. 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
    See also Journal Article Statistical learning and exchange rate forecasting, International Journal of Forecasting, Elsevier (2020) Downloads View citations (15) (2020)

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 (26)
    See also Journal Article A review of balancing costs in Italy before and after RES introduction, Renewable and Sustainable Energy Reviews, Elsevier (2018) Downloads View citations (24) (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 View citations (3)

2012

  1. Unpuzzling the Purchasing Power Parity Puzzle
    Working Papers, University of Milano-Bicocca, Department of Economics Downloads

2007

  1. A Robust Multivariate Long Run Analysis of European Electricity Prices
    Working Papers, Fondazione Eni Enrico Mattei Downloads View citations (8)
    Also in International Energy Markets Working Papers, Fondazione Eni Enrico Mattei (FEEM) (2007) Downloads View citations (8)

2005

  1. Business cycle and sector cycles
    Econometrics, University Library of Munich, Germany Downloads View citations (1)
  2. Dynamic Conditional Correlation with Elliptical Distributions
    Econometrics, University Library of Munich, Germany 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

2024

  1. Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
    Quantitative Finance, 2024, 24, (3-4), 451-464 Downloads View citations (1)
  2. Optimal hierarchical EWMA forecasting
    International Journal of Forecasting, 2024, 40, (2), 616-625 Downloads
  3. Spatiotemporal Event Studies for Environmental Data Under Cross-Sectional Dependence: An Application to Air Quality Assessment in Lombardy
    Journal of Agricultural, Biological and Environmental Statistics, 2024, 29, (1), 147-168 Downloads

2023

  1. Testing for integration and cointegration when time series are observed with noise
    Economic Modelling, 2023, 125, (C) Downloads View citations (4)

2022

  1. Machine Learning Models and Intra-Daily Market Information for the Prediction of Italian Electricity Prices
    Forecasting, 2022, 5, (1), 1-21 Downloads

2021

  1. Assessing the effectiveness of the Italian risk-zones policy during the second wave of COVID-19
    Health Policy, 2021, 125, (9), 1188-1199 Downloads View citations (5)
    See also Working Paper Assessing the effectiveness of the Italian risk-zones policy during the second wave of Covid-19, Working Papers (2020) Downloads (2020)

2020

  1. Statistical Modeling of the Early-Stage Impact of a New Traffic Policy in Milan, Italy
    IJERPH, 2020, 17, (3), 1-22 Downloads
  2. Statistical learning and exchange rate forecasting
    International Journal of Forecasting, 2020, 36, (4), 1260-1289 Downloads View citations (15)
    See also Working Paper Statistical Learning and Exchange Rate Forecasting, DISEIS - Quaderni del Dipartimento di Economia internazionale, delle istituzioni e dello sviluppo (2019) Downloads (2019)

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 (6)
  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 (7)
    Also in The Energy Journal, 2019, 40, (1_suppl), 1-22 (2019) 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 View citations (1)
  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 (24)
    See also Working Paper A Review of Balancing Costs in Italy before and after RES introduction, BEMPS - Bozen Economics & Management Paper Series (2018) Downloads View citations (26) (2018)
  3. Component estimation for electricity market data: Deterministic or stochastic?
    Energy Economics, 2018, 74, (C), 13-37 Downloads View citations (15)

2017

  1. Curbing systemic risk in the insurance sector: A mission impossible?
    The British Accounting Review, 2017, 49, (2), 256-273 Downloads View citations (2)

2016

  1. Price Coordination in Vertically Integrated Electricity Markets: Theory and Empirical Evidence
    The Energy Journal, 2016, 37, (1), 181-194 Downloads
    Also in The Energy Journal, 2016, Volume 37, (Number 1) (2016) Downloads View citations (4)
  2. Revisiting long-run relations in power markets with high RES penetration
    Energy Policy, 2016, 94, (C), 432-445 Downloads View citations (27)
  3. The Impact of RES in the Italian Day-Ahead and Balancing Markets
    The Energy Journal, 2016, 37, (2_suppl), 161-184 Downloads View citations (1)
    Also in The Energy Journal, 2016, Volume 37, (Bollino-Madlener Special Issue) (2016) Downloads View citations (35)

2015

  1. On the Empirical Failure of Purchasing Power Parity Tests
    Journal of Applied Econometrics, 2015, 30, (6), 904-923 Downloads View citations (3)
  2. The importance of being systemically important financial institutions
    Journal of Banking & Finance, 2015, 50, (C), 562-574 Downloads View citations (42)

2013

  1. Price-capping in partially monopolistic electricity markets with an application to Italy
    Energy Policy, 2013, 54, (C), 257-266 Downloads View citations (7)
  2. Rank tests for short memory stationarity
    Journal of Econometrics, 2013, 172, (1), 90-105 Downloads View citations (16)

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 (18)

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 (80)
  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), 20 Downloads View citations (6)

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 (35)

Chapters

2015

  1. How Difficult Is It to Raise Money in Turbulent Times?
    Palgrave Macmillan
 
Page updated 2025-03-23