About Matteo M. Pelagatti
Matteo Pelagatti is professor of Economic and Business Statistics (Statistica Economica) at the Department of Economics, Management and Statistics of the University of Milano-Bicocca. He holds a PhD in Statistics from the University of Milan enriched by a semester of training and research at the Humboldt University of Berlin. His research interests are mainly in the fields of time series analysis, energy markets, robust statistics and financial econometrics, but occasionally cover also health sciences and other social sciences. His research has been published in international outlets such as Journal of Econometrics, Journal of Applied Econometrics, Energy Journal, Energy Economics, Journal of Banking & Finance, PLOS One, and he is author of the book Time Series Modelling with Unobserved Components published by Chapman & Hall/CRC.
Time Series Analysis, Robust Statistics, Financial Statistics, and Energy Economics
- Streaming data management and time series analysis
- Data Science Lab
- Economic and Business Statistics
- Statistics for Finance
Department of Economics, Management and Statistics
University of Milano-Bicocca
Via Bicocca degli Arcimboldi, 8
A least squares approach to latent variables extraction in formative-reflective ...
Computational Statistics & Data Analysis (2017)
A new least-squares based procedure for the extraction of latent variables in structural equation models with formative-reflective schemes is developed ...
Contributions to Books (6)
Contribution to Book
Variance Initialisation in GARCH Estimation
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 GARCH model the initial instances ...