Matteo M. Pelagatti

Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS)

Piazza dell'Ateneo Nuovo, 1

Milan, 20126

Italy

Università degli Studi di Milano-Bicocca - Center for Interdisciplinary Studies in Economics, Psychology & Social Sciences (CISEPS)

Piazza dell'Ateneo Nuovo, 1

Milano, 20126

Italy

SCHOLARLY PAPERS

13

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in Total Papers Downloads

1,284

SSRN CITATIONS

3

CROSSREF CITATIONS

8

Scholarly Papers (13)

1.

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

Number of pages: 25 Posted: 10 Mar 2006
Matteo M. Pelagatti
Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS)
Downloads 224 (159,013)
Citation 1

Abstract:

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Markov-switching, business cycle, Gibbs sampler, duration dependence, vector autoregression

2.

Deregulated Wholesale Electricity Prices in Italy

Number of pages: 26 Posted: 10 Mar 2006
Bruno Bosco, Lucia Parisio and Matteo M. Pelagatti
Università degli Studi di Milano-Bicocca - Center for Interdisciplinary Studies in Economics, Psychology & Social Sciences (CISEPS), Università degli Studi di Milano-Bicocca - Center for Interdisciplinary Studies in Economics, Psychology & Social Sciences (CISEPS) and Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS)
Downloads 189 (186,212)
Citation 10

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Electricity auctions, Periodic Time Series, Conditional Heteroskedasticity, Multiple Seasonalities

3.

A Robust Multivariate Long Run Analysis of European Electricity Prices

FEEM Working Paper No. 103.2007
Number of pages: 34 Posted: 06 Dec 2007
Matteo M. Pelagatti, Bruno Bosco, Lucia Parisio and Fabio Baldi
Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS), Università degli Studi di Milano-Bicocca - Center for Interdisciplinary Studies in Economics, Psychology & Social Sciences (CISEPS), Università degli Studi di Milano-Bicocca - Center for Interdisciplinary Studies in Economics, Psychology & Social Sciences (CISEPS) and Università degli Studi di Milano-Bicocca
Downloads 180 (194,465)
Citation 5

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European Electricity Prices, Cointegration, Interdependencies, Equilibrium

4.

Dynamic Conditional Correlation with Elliptical Distributions

Number of pages: 11 Posted: 10 Mar 2006
Matteo M. Pelagatti
Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS)
Downloads 178 (196,395)
Citation 3

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5.

Business Cycle and Sector Cycles: Model-Based Filtering and Application to Italian Data

Number of pages: 15 Posted: 10 Mar 2006
Matteo M. Pelagatti
Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS)
Downloads 125 (262,233)

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Stochastic cycle, Butterworth filter, Kalman filter, Structural time series model, Unobserved components

6.

Curbing Systemic Risk in the Insurance Sector: A Mission Impossible?

The British Accounting Review 49 (2017) 256-273
Number of pages: 37 Posted: 14 Apr 2015 Last Revised: 25 May 2018
Paola Bongini, Laura Nieri, Matteo M. Pelagatti and Andrea Piccini
Università degli Studi di Milano-Bicocca, University of Genova - Department of Economics, Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS) and Università degli Studi di Milano-Bicocca
Downloads 106 (295,032)
Citation 2

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systemic risk; insurance companies; event study; regulatory reforms; loss absorbency requirements

7.

Nonparametric Tests for Event Studies Under Cross-Sectional Dependence

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 244
Number of pages: 20 Posted: 09 Jul 2013
Matteo M. Pelagatti
Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS)
Downloads 99 (308,755)
Citation 1

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rank test, event study, abnormal returns, cross-sectional dependence

8.

Effect of Age and Sex Related Therapeutic Needs on General Practices' Prescribing Cost: The ASSET (Age/Sex Standardised Estimates of Treatment) Research Model

Number of pages: 21 Posted: 04 Mar 2008
Institute of Leadership and Management in Health - Kingston University, Università degli Studi di Milano-Bicocca - Center for Interdisciplinary Studies in Economics, Psychology & Social Sciences (CISEPS), affiliation not provided to SSRN, affiliation not provided to SSRN, Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS), affiliation not provided to SSRN, Government of the Italian Republic (Italy) - Regione Marche, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 58 (418,397)

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age, sex, therapeutic, class, ATC, estimates, cost, treatment

9.

Knowledge-Based Governance Can Improve the Elderly Population's Equity of Access to Public Pharmaceutical Funding: The ASSET (Age/Sex Standardised Estimates of Treatment) Research Model

Number of pages: 9 Posted: 04 Mar 2008
Institute of Leadership and Management in Health - Kingston University, Università degli Studi di Milano-Bicocca - Center for Interdisciplinary Studies in Economics, Psychology & Social Sciences (CISEPS), affiliation not provided to SSRN, affiliation not provided to SSRN, Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS), affiliation not provided to SSRN, Government of the Italian Republic (Italy) - Regione Marche, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 51 (443,551)

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age, sex, estimates, cost, treatment, governance, pharmaceutical, demand, knowledge, inequalities

10.

Estimating High Dimensional Multivariate Stochastic Volatility Models

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 428, January 2020
Number of pages: 24 Posted: 24 Jan 2020
Matteo M. Pelagatti and Giacomo Sbrana
Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS) and Neoma Business School
Downloads 26 (561,653)

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Riccati equation, EM algorithm, Kalman filter, Correlation estimation, Large covariance matrix, Multivariate stochastic volatility

11.

The Res-Induced Switching Effect Across Fossil Fuels: An Analysis of the Italian Day- Ahead and Balancing Prices and Their Connected Costs

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 360
Number of pages: 31 Posted: 09 Feb 2017
Angelica Gianfreda, Lucia Parisio and Matteo M. Pelagatti
Università degli studi di Modena e Reggio Emilia (UNIMORE) - Dipartimento di Economia Marco Biagi di Modena, Università degli Studi di Milano-Bicocca - Center for Interdisciplinary Studies in Economics, Psychology & Social Sciences (CISEPS) and Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS)
Downloads 26 (561,653)

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Electricity, Natural Gas, Coal, Oil, Cointegration, Balancing Costs

12.

Assessing the Effectiveness of the Italian Risk-Zones Policy During the Second Wave of Covid-19

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 457
Number of pages: 13 Posted: 29 Dec 2020 Last Revised: 30 Dec 2020
Matteo M. Pelagatti
Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS)
Downloads 22 (587,300)

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13.

A Robust Version of the KPSS Test Based on Ranks

Posted: 30 Nov 2009
Matteo M. Pelagatti and Pranab Kumar Sen
Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS) and affiliation not provided to SSRN

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Stationarity testing, Time series, Robustness, Empirical processes, Rank statistics