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
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Working Papers
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
- 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 in International Journal of Forecasting (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 (17)
See also Journal Article in Renewable and Sustainable Energy Reviews (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 (2)
2012
- 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)
- Book Review: The Art of R Programming
Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica
- 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)
- Supply Function Prediction in Electricity Auctions
Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica
- Unpuzzling the Purchasing Power Parity Puzzle
Working Papers, University of Milano-Bicocca, Department of Economics
2010
- A KPSS better than KPSS. Rank tests for short memory stationarity
Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica
- 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
- 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
- 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
- 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)
- 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
- Deregulated Wholesale Electricity Prices in Europe
Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica View citations (7)
- Deregulated Wholesale Electricity Prices in Italy
Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica View citations (15)
- 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)
- Statistical investigation on the relation between car accidents and warm katabatic winds
Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica
2005
- Business cycle and sector cycles
Econometrics, University Library of Munich, Germany
- 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)
- 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
- Statistical learning and exchange rate forecasting
International Journal of Forecasting, 2020, 36, (4), 1260-1289 View citations (5)
See also Working Paper (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 (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) View citations (3)
2018
- 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)
- 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)
- Component estimation for electricity market data: Deterministic or stochastic?
Energy Economics, 2018, 74, (C), 13-37 View citations (11)
2016
- Price coordination in vertically integrated electricity markets. Theory and empirical evidence
The Energy Journal, 2016, Volume 37, (Number 1) View citations (3)
- Revisiting long-run relations in power markets with high RES penetration
Energy Policy, 2016, 94, (C), 432-445 View citations (18)
- 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
- 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)
- The importance of being systemically important financial institutions
Journal of Banking & Finance, 2015, 50, (C), 562-574 View citations (28)
2013
- Price-capping in partially monopolistic electricity markets with an application to Italy
Energy Policy, 2013, 54, (C), 257-266 View citations (6)
- Rank tests for short memory stationarity
Journal of Econometrics, 2013, 172, (1), 90-105 View citations (14)
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 (14)
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 (65)
- 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), 1-20 View citations (2)
See also Working Paper (2007)
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 (13)
Chapters
2015
- How Difficult Is It to Raise Money in Turbulent Times?
Palgrave Macmillan
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