Articles
State Space Methods in Ox/SsfPack, Journal of Statistical Software (2011)
The use of state space models and their inference is illustrated using the package SsfPack...
Strategic bidding in vertically integrated power markets with an application to the Italian electricity auctions (with Bruno Bosco and Lucia Parisio), Energy Economics (2011)
In this paper we apply a model of optimal bidding behaviour to the Italian wholesale...
Long run relations in European electricity prices (with Bruno Bosco, Lucia Parisio, and Fabio Baldi), Journal of Applied Econometrics (2010)
This paper analyses the interdependencies existing in wholesale electricity prices in six major European countries....
The Industrial Cycle of Milan as an Accurate Leading Indicator for the Italian Business Cycle (with Valria Negri), Journal of Business Cycle Measurement and Analysis (2010)
A coincident business cycle indicator for the Milan area is built on the basis of...
Modelling Good and Bad Volatility, Studies in Nonlinear Dynamics and Econometrics (2009)
The returns of many financial assets show significant skewness, but in the literature this issue...
Contributions to Books
Previsioni delle dinamiche dei contratti di lavoro in Lombardia, Dinamicità e Sciurezza. I Dati del Lavoro che Cambia (2010)
Variance Initialisation in GARCH Estimation (with Francesco Lisis), Complex data modeling and computationally intensive statistical methods for estimation and prediction (2009)
In setting up the (quasi) maximum likelihood (QML) estimation of the unknown parameters of a...
A Two-Step Approach for Regional Medium-Term Skill Needs Forecasting (with Biancamaria Zavanella, Mario Mezzanzanica, Simona Minotti, and Mattia Martini), Regional Forecasting on Labour Markets (2008)
Duration Dependent Markov-Switching Vector Autoregression: Properties, Bayesian Inference, Software and Application, Business Fluctuations and Cycles (2008)
Duration dependent Markov-switching VAR (DDMS-VAR) models are time series models with data generating process consisting...
Optimal Filtering for a Common Stochastic Cycle Shifted in Continuous Time, Proceedings of the XLIII Scientific Meeting of the Italian Statistics Society (2006)
In this short communication, we develop a model for estimating the continuous time delay between...
Unpublished Papers
A Robust Multivariate Long Run Analysis of European Electricity Prices (with Bruno Bosco, Lucia Parisio, and Fabio Baldi), Fondazione Eni Enrico Mattei Working Papers (2007)
This paper analyses the interdependencies existing in wholesale European electricity prices. The results of a...
Dynamic Conditional Correlation with Elliptical Distributions (with Stefania Rondena), Statistics Department Working Paper, Università di Milano-Bicocca (2006)
The Dynamic Conditional Correlation (DCC) model of Engle has made the estimation of multivariate GARCH...