Details about Matteo Maria Pelagatti
Access statistics for papers by Matteo Maria Pelagatti.
Last updated 2024-09-06. Update your information in the RePEc Author Service.
Short-id: ppe139
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Working Papers
2024
- A Hodrick-Prescott filter with automatically selected jumps
Working Papers, Fondazione Eni Enrico Mattei 
Also in FEEM Working Papers, Fondazione Eni Enrico Mattei (FEEM) (2024)
- Common factors behind companies' Environmental ratings
Working Papers, University of Milano-Bicocca, Department of Economics
2022
- Spatio-temporal Event Studies for Air Quality Assessment under Cross-sectional Dependence
Papers, arXiv.org
2020
- 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 
See also Journal Article Assessing the effectiveness of the Italian risk-zones policy during the second wave of COVID-19, Health Policy, Elsevier (2021) View citations (5) (2021)
- Estimating high dimensional multivariate stochastic volatility models
Working Papers, University of Milano-Bicocca, Department of Economics
2019
- 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 Statistical learning and exchange rate forecasting, International Journal of Forecasting, Elsevier (2020) View citations (15) (2020)
2018
- 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 (26)
See also Journal Article A review of balancing costs in Italy before and after RES introduction, Renewable and Sustainable Energy Reviews, Elsevier (2018) View citations (24) (2018)
2017
- 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
- 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
- Nonparametric tests for event studies under cross-sectional dependence
Working Papers, University of Milano-Bicocca, Department of Economics View citations (3)
2012
- Unpuzzling the Purchasing Power Parity Puzzle
Working Papers, University of Milano-Bicocca, Department of Economics
2007
- A Robust Multivariate Long Run Analysis of European Electricity Prices
Working Papers, Fondazione Eni Enrico Mattei View citations (8)
Also in International Energy Markets Working Papers, Fondazione Eni Enrico Mattei (FEEM) (2007) View citations (8)
2005
- Business cycle and sector cycles
Econometrics, University Library of Munich, Germany View citations (1)
- Dynamic Conditional Correlation with Elliptical Distributions
Econometrics, University Library of Munich, Germany View citations (4)
- 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
2024
- Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
Quantitative Finance, 2024, 24, (3-4), 451-464 View citations (1)
- Optimal hierarchical EWMA forecasting
International Journal of Forecasting, 2024, 40, (2), 616-625
- 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
2023
- Testing for integration and cointegration when time series are observed with noise
Economic Modelling, 2023, 125, (C) View citations (4)
2022
- Machine Learning Models and Intra-Daily Market Information for the Prediction of Italian Electricity Prices
Forecasting, 2022, 5, (1), 1-21
2021
- Assessing the effectiveness of the Italian risk-zones policy during the second wave of COVID-19
Health Policy, 2021, 125, (9), 1188-1199 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) (2020)
2020
- Statistical Modeling of the Early-Stage Impact of a New Traffic Policy in Milan, Italy
IJERPH, 2020, 17, (3), 1-22
- Statistical learning and exchange rate forecasting
International Journal of Forecasting, 2020, 36, (4), 1260-1289 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) (2019)
2019
- 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 (6)
- 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 (7)
Also in The Energy Journal, 2019, 40, (1_suppl), 1-22 (2019) View citations (1)
2018
- A least squares approach to latent variables extraction in formative–reflective models
Computational Statistics & Data Analysis, 2018, 120, (C), 84-97 View citations (1)
- A review of balancing costs in Italy before and after RES introduction
Renewable and Sustainable Energy Reviews, 2018, 91, (C), 549-563 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) View citations (26) (2018)
- Component estimation for electricity market data: Deterministic or stochastic?
Energy Economics, 2018, 74, (C), 13-37 View citations (15)
2017
- Curbing systemic risk in the insurance sector: A mission impossible?
The British Accounting Review, 2017, 49, (2), 256-273 View citations (2)
2016
- Price Coordination in Vertically Integrated Electricity Markets: Theory and Empirical Evidence
The Energy Journal, 2016, 37, (1), 181-194 
Also in The Energy Journal, 2016, Volume 37, (Number 1) (2016) View citations (4)
- Revisiting long-run relations in power markets with high RES penetration
Energy Policy, 2016, 94, (C), 432-445 View citations (27)
- The Impact of RES in the Italian Day-Ahead and Balancing Markets
The Energy Journal, 2016, 37, (2_suppl), 161-184 View citations (1)
Also in The Energy Journal, 2016, Volume 37, (Bollino-Madlener Special Issue) (2016) View citations (35)
2015
- On the Empirical Failure of Purchasing Power Parity Tests
Journal of Applied Econometrics, 2015, 30, (6), 904-923 View citations (3)
- The importance of being systemically important financial institutions
Journal of Banking & Finance, 2015, 50, (C), 562-574 View citations (42)
2013
- Price-capping in partially monopolistic electricity markets with an application to Italy
Energy Policy, 2013, 54, (C), 257-266 View citations (7)
- Rank tests for short memory stationarity
Journal of Econometrics, 2013, 172, (1), 90-105 View citations (16)
2012
- Strategic bidding in vertically integrated power markets with an application to the Italian electricity auctions
Energy Economics, 2012, 34, (6), 2046-2057 View citations (18)
2011
- State Space Methods in Ox/SsfPack
Journal of Statistical Software, 2011, 041, (i03) View citations (2)
2010
- Long-run relations in european electricity prices
Journal of Applied Econometrics, 2010, 25, (5), 805-832 View citations (80)
- 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
- Modelling Good and Bad Volatility
Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (1), 20 View citations (6)
2007
- 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)
- Deregulated Wholesale Electricity Prices in Italy: An Empirical Analysis
International Advances in Economic Research, 2007, 13, (4), 415-432 View citations (35)
Chapters
2015
- How Difficult Is It to Raise Money in Turbulent Times?
Palgrave Macmillan
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