SelectedWorks - Matteo M. Pelagatti

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Selected Works of Matteo M. Pelagatti

Ph.D. Statistics, University of Milan

Works
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About Matteo M. Pelagatti

Present	Ph.D. Statistics, University of Milan, University of Milan - Bicocca - Statistics
Institution Organization Position Type Position Title Time Period to Options Current Position Affiliate my profile with this Institution

Applied Mathematics, Statistics and Probability, and Economics

Time Series Analysis, Robust Statistics, and Financial Statistics

My Uni Web Site

Dipartimento di Statistica
Università degli Studi di Milano-Bicocca
Via Bicocca degli Arcimboldi, 8
20126 Milano
Italy

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Articles (16)

Article

The Importance of Being Systemically Important Financial Institutions

Journal of Banking & Finance (2014)

Paola Bongini, Laura Nieri and Matteo M. Pelagatti

We investigate whether financial markets reacted to the regulatory changes implied by the publication of the list of systemically important ...

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Article

Internal and external equity in compensation systems, organizational absenteeism, and ...

Human Relations (2014)

Edoardo Della Torre, Matteo M. Pelagatti and Luca Solari

We investigate how the design of compensation systems influences workers’ behaviours at the organizational level by building upon the consequences ...

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Article

On the Empirical Failure of Purchasing Power Parity Tests

Journal of Applied Econometrics (2014)

Matteo M. Pelagatti and Emilio Colombo

Empirical research on the validity of the purchasing power parity (PPP) condition is generally based on real exchange rates built ...

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Article

The Importance of Being Systemically Important Financial Institutions”, Journal of ...

Journal of Banking & Finance (2014)

Laura Nieri, Paola Bongini and Matteo M. Pelagatti

We investigate whether financial markets reacted to the regulatory changes implied by the publication of the list of systemically important ...

Link

Article

Price-capping in partially monopolistic electricity markets with an application to ...

Energy Policy (2013)

Matteo M. Pelagatti, Bruno Bosco and Lucia Parisio

In many electricity markets the production capacity of a single supplier may be necessary to satisfy the total demand even ...

Link

Article

Rank tests for short memory stationarity

Journal of Econometrics (2013)

Matteo M. Pelagatti and Pranab K Sen

We propose a rank-test of the null hypothesis of short memory stationarity possibly after linear detrending. For the level-stationarity hypothesis, ...

Link

Article

Inconsistencies of the PLS-PM approach to structural equation models with ...

Electronic Journal of Applied Statistical Analysis (2012)

Matteo M. Pelagatti

The aim of the paper is to show evidence of possible inconsistencies of PLS-PM as a statistical tool to estimate ...

OpenURL

Article

Strategic bidding in vertically integrated power markets with an application ...

Energy Economics (2012)

Bruno Bosco, Lucia Parisio and Matteo M. Pelagatti

In this paper we apply a model of optimal bidding behaviour to the Italian wholesale electricity market under three hypotheses: ...

Link

Article

State Space Methods in Ox/SsfPack

Journal of Statistical Software (2011)

Matteo M. Pelagatti

The use of state space models and their inference is illustrated using the package SsfPack for Ox. After a rather ...

Article

Long run relations in European electricity prices

Journal of Applied Econometrics (2010)

Bruno Bosco, Lucia Parisio, Matteo M. Pelagatti and Fabio Baldi

This paper analyses the interdependencies existing in wholesale electricity prices in six major European countries. The results of a robust ...

OpenURL

Article

The Industrial Cycle of Milan as an Accurate Leading Indicator ...

Journal of Business Cycle Measurement and Analysis (2010)

Matteo M. Pelagatti and Valria Negri

A coincident business cycle indicator for the Milan area is built on the basis of a monthly industrial survey carried ...

Link

Article

Modelling Good and Bad Volatility

Studies in Nonlinear Dynamics and Econometrics (2009)

Matteo M. Pelagatti

The returns of many financial assets show significant skewness, but in the literature this issue is only marginally dealt with. ...

Link

Article

Epidomiology of Paroxysmal Positioning Vertigo: Correlation with Seasons, Climate, and ...

International Tinnitus Journal (2008)

Paolo Mariani, Matteo M. Pelagatti, Ales Hahn and Dario Alpini

The aim of this article is the evaluation of the time course of paroxysmal positioning vertigo (PPV) and the investigation ...

OpenURL

Article

Deregulated Wholesale Electricity Prices in Italy: An Empirical Analysis

International Advances in Economic Research (2007)

Bruno Bosco, Lucia Parisio and Matteo M. Pelagatti

In this paper we analyze a time series of daily average prices in the Italian electricity market, which started to ...

Link

Article

ASSET (Age/Sex Standardised Estimates of Treatment): A Research Model ...

PLoS ONE (2007)

Giampiero Favato, Paolo Mariani, Roger W Mills, Alessandro Capone, et al.

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

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Article

Statistical investigation on the relation between car accidents and warm ...

Il Nuovo Cimento C (2006)

Matteo M. Pelagatti, Daniele Fuà, Caterina Galliani and Vincenzo Condemi

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

Link

Contribution to Book

Supply Function Prediction in Electricity Auctions

Complex Models and Computational Methods in Statistics (2012)

Matteo M. Pelagatti

In the fast growing literature that addresses the problem of the optimal bidding behaviour of power generation companies that sell ...

Contribution to Book

Previsioni delle dinamiche dei contratti di lavoro in Lombardia

Dinamicità e Sciurezza. I Dati del Lavoro che Cambia (2010)

Matteo M. Pelagatti

Contribution to Book

Variance Initialisation in GARCH Estimation

Complex data modeling and computationally intensive statistical methods for estimation and prediction (2009)

Matteo M. Pelagatti and Francesco Lisis

In setting up the (quasi) maximum likelihood (QML) estimation of the unknown parameters of a GARCH model the initial instances ...

Link

Contribution to Book

A Two-Step Approach for Regional Medium-Term Skill Needs Forecasting

Regional Forecasting on Labour Markets (2008)

Biancamaria Zavanella, Mario Mezzanzanica, Matteo M. Pelagatti, Simona Minotti, et al.

Contribution to Book

Duration Dependent Markov-Switching Vector Autoregression: Properties, Bayesian Inference, Software and ...

Business Fluctuations and Cycles (2008)

Matteo M. Pelagatti

Duration dependent Markov-switching VAR (DDMS-VAR) models are time series models with data generating process consisting in a mixture of two ...

Contribution to Book

Optimal Filtering for a Common Stochastic Cycle Shifted in Continuous ...

Proceedings of the XLIII Scientific Meeting of the Italian Statistics Society (2006)

Matteo M. Pelagatti

In this short communication, we develop a model for estimating the continuous time delay between two time series with common ...

Unpublished Paper

A Robust Multivariate Long Run Analysis of European Electricity Prices

Fondazione Eni Enrico Mattei Working Papers (2007)

Matteo M. Pelagatti, Bruno Bosco, Lucia Parisio and Fabio Baldi

This paper analyses the interdependencies existing in wholesale European electricity prices. The results of a multivariate long run dynamic analysis ...

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Unpublished Paper

Dynamic Conditional Correlation with Elliptical Distributions

Statistics Department Working Paper, Università di Milano-Bicocca (2006)

Matteo M. Pelagatti and Stefania Rondena

The Dynamic Conditional Correlation (DCC) model of Engle has made the estimation of multivariate GARCH models feasible for reasonably big ...

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About Matteo M. Pelagatti

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Articles (16)

Contributions to Books (6)

Unpublished Papers (2)