statistica@unimib

Building U7
Room 2092a
Tel 02 6448.5834

matteo.pelagatti@unimib.it

unimib links

Research

Research Interests

 

Time Series Analysis, Econometrics, State Space Models, Business Cycle Analysis, Markov Switching Models, Stochastic Volatility and GARCH Models, Markov Chain Monte Carlo, Robust Statistics, Index Numbers Theory, Energy Markets.

Papers and books

 

For better sorted lists see Publication List.

Pelagatti (with Gianfreda A. and Parisio L.) (2016) Revisiting long-run relations in power markets with high RES penetration Energy Policy.

Pelagatti (with Bosco B. and Parisio L.) (2016) Price Coordination in Vertically Integrated Electricity Markets: Theory and Empirical Evidence. The Energy Journal 37(1), 181-194.

Pelagatti (2015) - Time Series Modelling with Unobserved Components, Chapman & Hall/CRC Press.

Pelagatti M. (with Colombo E.) (2015) - “On the Empirical Failure of Purchasing Power Parity Tests”, Journal of Applied Econometrics, 30(6), 904-923, DOI: 10.1002/jae.2418.

Pelagatti (with Bongini P. and Nieri L.) (2014) - “The Importance of Being Systemically Important Financial Institutions”, Journal of Banking & Finance, 50, 562-574. DOI: 10.1016/j.jbankfin.2014.07.006.

Pelagatti (with Della Torre E. and Solari L.) (2014) - “Internal and external equity in compensation systems, organizational absenteeism, and the role of explained inequalities”, Human Relations, on line first, DOI: 10.1177/0018726714528730.

Pelagatti (2013) - “Nonparametric tests for event studies under cross-sectional dependence”, DEMS Working Paper 244.

Pelagatti M. (with Bosco B.,and Parisio L.) (2013) - “Price capping in partially monopolistic electricity markets”, Energy Policy, 54, 257-266.

Pelagatti M. (with Sen P.K.) (2013) - “Rank tests for short memory stationarity”, Journal of Econometrics, 17(1), 90-105.

Pelagatti M. (2013) - “Supply Function Prediction in Electricity Auctions”, in Grigoletto, Lisi, Petrone (eds), Complex Models and Computational Methods in Statistics, Springer-Verlag. Link to WP version.

Pelagatti M. (with Fattore M., and Vittadini G.) (2012) - “Inconsistencies of the PLS-PM approach to structural equation models with formative-reflective schemes”, Electronic Journal of Applied Statistical Analysis, 5(3), 333-338.

Pelagatti M. (with Colombo E.) (2012) - “On the Empirical Failure of Purchasing Power Parity Tests” Statistics Department Working Paper n.20120501.

Pelagatti M. (2012) - “Book Review: The Art of R Programming” Statistics Department Working Paper n.20120303.

Pelagatti M. (with Fattore M. and Vittadini G.) (2012) - “A least squares approach to latent variables extraction in formative-reflective models” Statistics Department Working Paper n.20120302.

Pelagatti M. (with Bosco B. and Parisio L.) (2012) - “Strategic bidding in vertically integrated power markets with an application to the Italian electricity auctions”, Energy Economics, 34(6), 2046-2057.

Pelagatti M. (with Bosco B. and Parisio L.) (2011) - “Price capping in partially monopolistic electricity markets” Statistics Department Working Paper n.20110202.

Pelagatti M. (2011) - “State Space Methods in Ox/SsfPack”, Journal of Statistical Software, 41(3).

Pelagatti M. (with Sen P.K.) (2010) - “A KPSS better than KPSS. Rank tests for short memory stationarity”, Statistics Department Working Paper n.20110201.

Pelagatti M. (2010) - “Previsioni delle dinamiche dei contratti di lavoro in Lombardia”, in M. Mezzanzanica (a cura di), Dinamicità e Sciurezza. I Dati del Lavoro che Cambia, Guerini e Associati, Milano.

Pelagatti M. (with Negri V.) (2010) - “The Industrial Cycle of Milan as an Accurate Leading Indicator for the Italian Business Cycle”, Journal of Business Cycle Measurement and Analysis, 2010(2), article 2.

Pelagatti M. (with Bosco B., Parisio L.) (2010) - “Estimating Marginal Costs and Market Power in the Italian Electricity Auctions”, Statistics Department Working Paper n.20100201.

Pelagatti M. (with Sen P.K.) (2009) - “A robust version of the KPSS test based on ranks”, Statistics Department Working Paper n.20090701.

Pelagatti M. (with Bosco B, Parisio L, Baldi F) (2010) - “Long run relations in European electricity prices”, Journal of Applied Econometrics 25(5), 805-832.

Pelagatti M. (2010) - “Price Indexes across Space and Time and the Stochastic Properties of Prices”, in Biggeri & Ferrari (eds), Price Index Numbers in Time and Space. Methods and Practice, Springer-Verlag.

Pelagatti M. (with Lisi F.) (2009) - “Variance Initialisation in GARCH Estimation”, in Paganoni, Sangalli, Secchi e Vantini (Eds.), Complex data modeling and computationally intensive statistical methods for estimation and prediction, Maggioli Editore.

Pelagatti M. (2009) - “Modelling Good and Bad Volatility”, Studies in Nonlinear Dynamics and Econometrics, 13(1).

Pelagatti M. (with Negri V.) (2008) - “Milan’s Cycle as an Accurate Leading Indicator for the Italian Business Cycle”, Statistics Department Working Paper n.20080601.

Pelagatti M. (2008) - “Duration Dependent Markov-Switching Vector Autoregression: Properties, Bayesian Inference, Software and Application”, Business Fluctuations and Cycles, T. Nagakawa Ed., pp.43-46, Nova Science Publishers, Hauppauge NY.

Pelagatti M. (2007) - “Modelling Good and Bad Volatility”, Statistics Department Working Paper n.20071101.

Pelagatti M. (with Bosco B., Parisio L., Baldi F., 2007) - “A robust multivariate long run analysis of European electricity prices”, Statistics Department Working Paper n.20070901.

Pelagatti M. (with Favato G., Mariani P., Mills R.W., Capone A., Pieri V., Marcobelli A., Trotta M.G., Zucchi A., Capatano A.L.) (2007) - “ASSET (Age/Sex Standardised Estimates of Treatment): A Research Model to Improve the Governance of Prescribing Funds in Italy”, PLoS ONE, 2(7): e592. doi:10.1371/journal.pone.0000592.

Pelagatti M. (with Bosco B., Parisio L., Baldi F., 2006) - “Deregulated Wholesale Electricity Prices in Europe”, Working Paper.

Pelagatti M., Perricone C., Fattore M. (2006) - “La misura dell’inflazione spaziale in Italia usando dati raccolti per altri fini”, in Metodologie e strumenti per l’analisi dell’evoluzione economica territoriale, a cura di P. Mariani e M. Pelagatti, CUSL, Milano.

Pelagatti M. (con Mariani P., a cura di) (2006) - Metodologie e strumenti per l’analisi dell’evoluzione economica territoriale, CUSL, Milano.

Pelagatti M. (2006) - “Optimal Filtering for a Common Stochastic Cycle Shifted in Continuous Time”, Proceedings of the XLIII Scientific Meeting of the Italian Statistics Society.

Pelagatti M. (with Bosco B. and Parisio L.) (2007) - “Deregulated Wholesale Electricity Prices in Italy”, International Advances in Economic Research, 13(4), 415-432.

Pelagatti M., D. Fuà, G. Galliani, A. Brugnoli, V. Condemi (2006) - “Statistical investigation on the relation between car accidents and warm katabatic winds”, Il Nuovo Cimento C, 29(2), pp. 229-235.

Pelagatti M. (2005) - “L'attività degli alberghi high level in Provincia di Milano e la produzione industriale italiana”, seminario Qualità del servizio e formazione delle risorse umane per il rilancio del turismo di Milano, Assolombarda, 6 giugno 2005.

Pelagatti M. (2004) - "Business Cycle and Sector Cycles", Common features in London, December 16-17, 2004.

Pelagatti M. (2004) - "Ciclo macroeconomico e cicli economici settoriali", in Studi in ricordo di Marco Martini, Giuffré Editore, Milano.

Pelagatti M. [a cura di] (2004) - Studi in ricordo di Marco Martini, Giuffré Editore, Milano.

Pelagatti M. (2004) - "Dynamic Conditional Correlation with Elliptical Distributions". 2nd OxMetrics User Conference, London, August 26-27, 2004.

Pelagatti M. (2003) - "DDMSVAR for Ox: a Software for Time Series Modeling with Duration Dependent Markov-Switching Autoregressions". 1st OxMetrics User Conference, London, September 1-2, 2003.

Pelagatti M. (2002) - Markov Chain Monte Carlo Methods for Dynamic Models with Applications to the Business Cycle Analysis. Ph.D. Dissertation.

Pelagatti M. (2002) - "Duration-Dependent Markov-Switching VAR models with Application to the U.S. Business Cycle Analysis". Proceedings of the XLI Scientific Meeting of the Italian Statistics Society.

Pelagatti M. (2001) - "Gibbs Sampling for a Duration Dependent Markov Switching Model with Application to the U.S. Business Cycle". Working Paper QD 2001/2 - March

Pelagatti M. (2000) - "L'approccio alla statistica robusta basato sulla funzione d'influenza: appunti per un seminario". Working Paper QD 2001/1 - January.

Pelagatti M. (1999) - "Un algoritmo IML per la stima robusta dei modelli ARIMA e per l'individuazione dei valori anomali nelle serie storiche". Proceeding of SUGItalia '99 conference, Rome, SAS Institute.

Pelagatti M. (1997) - Analisi d'intervento. Dispensa per gli studenti di Serie Storiche Economiche tratta dal 2° capitolo della tesi di laurea.

Software

 

DDMSVAR for Ox is a package for time series modeling with duration-dependent Markov-Switching Models. For a short user’s guide download the paper Pelagatti M. (2003) above.

MultiGARCH for Ox is a package for the estimation of Dynamic Conditional Correlation GARCH models with elliptical conditional distributions as in Pelagatti (2004). Feel free to change and improve the code.

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