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

  • 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)

SCHOLARLY PAPERS

13

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Scholarly Papers (13)

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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 248 (179,869)
Citation 1

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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 206 (214,437)
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 192 (228,427)
Citation 2

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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 189 (231,546)
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 135 (305,492)

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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 118 (337,320)
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 111 (351,990)
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
Giampiero Favato, Paolo Mariani, Carole F. Print, Alessandro Capone, Matteo M. Pelagatti, Vasco Pieri, Alberico Marcobelli, Elena Tragni, Giovanna Trotta, Alberto Zucchi and Alberico Catapano
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 University of Milan - Department of Pharmacological and Biomolecular Sciences
Downloads 68 (473,222)

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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
Giampiero Favato, Paolo Mariani, Carole F. Print, Alessandro Capone, Matteo M. Pelagatti, Vasco Pieri, Alberico Marcobelli, Elena Tragni, Giovanna Trotta, Alberto Zucchi and Alberico Catapano
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 University of Milan - Department of Pharmacological and Biomolecular Sciences
Downloads 64 (488,116)

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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 40 (597,460)

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

11.

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 38 (608,549)

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12.

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 32 (644,394)

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

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