Time Series Analysis

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...

 

OpenURL

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....

 

Previsioni delle dinamiche dei contratti di lavoro in Lombardia, Dinamicità e Sciurezza. I Dati del Lavoro che Cambia (2010)
 

Link

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...

 

Link

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...

 

Link

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...

 

PDF

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...

 

Link

Deregulated Wholesale Electricity Prices in Italy: An Empirical Analysis (with Bruno Bosco and Lucia Parisio), International Advances in Economic Research (2007)

In this paper we analyze a time series of daily average prices in the Italian...

 

Link

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...

 

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...

 

Link

Statistical investigation on the relation between car accidents and warm katabatic winds (with Daniele Fuà, Caterina Galliani, and Vincenzo Condemi), Il Nuovo Cimento C (2006)

The possible relationship between warm katabatic winds and human health and behaviour is analyzed; notwithstanding...

 

Energy Economics

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...

 

OpenURL

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....

 

PDF

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...

 

Link

Deregulated Wholesale Electricity Prices in Italy: An Empirical Analysis (with Bruno Bosco and Lucia Parisio), International Advances in Economic Research (2007)

In this paper we analyze a time series of daily average prices in the Italian...

 

Financial Econometrics

OpenURL

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....

 

Link

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...

 

Link

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...

 

PDF

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...

 

Link

Deregulated Wholesale Electricity Prices in Italy: An Empirical Analysis (with Bruno Bosco and Lucia Parisio), International Advances in Economic Research (2007)

In this paper we analyze a time series of daily average prices in the Italian...

 

Link

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...

 

Robust Statistics

OpenURL

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....

 

PDF

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...

 

Health Econometrics

OpenURL

Epidomiology of Paroxysmal Positioning Vertigo: Correlation with Seasons, Climate, and Pollution (with Paolo Mariani, Ales Hahn, and Dario Alpini), International Tinnitus Journal (2008)

The aim of this article is the evaluation of the time course of paroxysmal positioning...

 

Link

ASSET (Age/Sex Standardised Estimates of Treatment): A Research Model to Improve the Governance of Prescribing Funds in Italy (with Giampiero Favato, Paolo Mariani, Roger W. Mills, Alessandro Capone, Vasco Pieri, Alberico Marcobelli, Maria G. Trotta, Alberto Zucchi, and Alberico L. Catapano), PLoS ONE (2007)

BACKGROUND: The primary objective of this study was to make the first step in the...

 

Link

Statistical investigation on the relation between car accidents and warm katabatic winds (with Daniele Fuà, Caterina Galliani, and Vincenzo Condemi), Il Nuovo Cimento C (2006)

The possible relationship between warm katabatic winds and human health and behaviour is analyzed; notwithstanding...

 

Business Cycle Analysis

Previsioni delle dinamiche dei contratti di lavoro in Lombardia, Dinamicità e Sciurezza. I Dati del Lavoro che Cambia (2010)
 

Link

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...

 

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...

 

Labour markets forecasting

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)
 

statistical software

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...