http://publicationslist.org/data/matteo.pelagatti/atom.xml Matteo Pelagattihttp://publicationslist.org/matteo.pelagatti$basepathfavicon.icoRecent additions to Matteo Pelagatti's PublicationsList.org pagehttp://publicationslist.org/publications.png2011-11-14T08:13:12Z http://publicationslist.org/matteo.pelagatti/refid33 2011-11-14T08:11:40Z

The use of state space models and their inference is illustrated using the package SsfPack for Ox. After a rather long introduction that explains the use of SsfPack and many of its functions, four case-studies illustrate the practical implementation of the software to real world problems through short sample programs. The first case consists in the analysis of the well-known (at least to time seri...<br/><br/>Matteo M Pelagatti (2011) <i>Journal of Statistical Software</i> <i></i> <i></i> 41: 3 1-25<br/>

http://publicationslist.org/matteo.pelagatti/refid32 2011-11-14T08:07:02Z

In this paper we apply a model of optimal bidding behaviour to the Italian wholesale electricity market under three hypotheses: i) costs of generation are private knowledge, ii) firms can be vertically integrated, and iii) firms can sell part of their production in advance with bilateral contracts. We first use optimal bid functions and market data to retrieve time-varying marginal cost functio...<br/><br/>B Bosco, L Parisio, M Pelagatti (2011) <i>Energy Economics</i> Forthcoming: <br/>

http://publicationslist.org/matteo.pelagatti/refid28 2011-02-09T14:51:29Z

A coincident business cycle indicator for the Milan area is built on the basis of a monthly industrial survey carried out by Assolombarda, the largest territorial entrepreneurial association in Italy. The indicator is extracted from three time series concerning the production level and the domestic and foreign order book as declared by some 250 Assolombarda associates. This indicator is potential...<br/><br/>M Pelagatti, V Negri (2010) <i>Journal of Business Cycle Measurement and Analysis</i> 2010: 2 Article 2<br/>

http://publicationslist.org/matteo.pelagatti/refid29 2010-03-23T15:10:42Z

In this paper we examine the bidding behaviour of firm competing in the Italian wholesale electricity market where generators submit hourly supply schedule to sell power. We describe the institutional characteristics of the Italian market and derive generators' equilibrium bidding functions. We also discuss the main empirical strategies followed by the recent econometrical literature to obtain est...<br/><br/>B Bosco, L Parisio, M Pelagatti (2010) 200100201<br/>

http://publicationslist.org/matteo.pelagatti/refid30 2011-02-17T13:38:04Z

In this paper we examine the bidding behaviour of firm competing in the Italian wholesale electricity market where generators submit hourly supply schedule to sell power. We describe the institutional characteristics of the Italian market and derive generators' equilibrium bidding functions. We also discuss the main empirical strategies followed by the recent econometrical literature to obtain est...<br/><br/>B Bosco, L Parisio, M Pelagatti (2010) <i>Energy Market (EEM), 2010 7th International Conference on the European Energy Markets</i> <br/>

http://publicationslist.org/matteo.pelagatti/refid22 2010-06-30T21:56:45Z

This paper analyses the interdependencies existing in wholesale electricity prices in six major European countries. The results of a robust multivariate long run dynamic analysis reveal the presence of four highly integrated central European markets (France, Germany, the Netherlands and Austria). The trend shared by these four electricity markets appears to be common also to gas prices, but ...<br/><br/>B Bosco, L Parisio, M Pelagatti, F Baldi (2010) <i>Journal of Applied Econometrics</i> 25: 5 805-832<br/>

http://publicationslist.org/matteo.pelagatti/refid31 2011-02-17T13:37:34Z

M Pelagatti (2010) <i>Dinamicità e Sicurezza. I Dati del Lavoro che Cambia</i> 152-174<br/>

http://publicationslist.org/matteo.pelagatti/refid21 2009-06-20T21:59:50Z

The returns of many financial assets show significant skewness, but in the literature this issue is only marginally dealt with. Our conjecture is that this distributional asymmetry may be due to two different dynamics in positive and negative returns. In this paper we propose a process that allows the simultaneous modelling of skewed conditional returns and different dynamics in their condit...<br/><br/>M Pelagatti (2009) <i>Studies in Nonlinear Dynamics and Econometrics</i> 13: 1 Article 2<br/>

http://publicationslist.org/matteo.pelagatti/refid25 2009-08-06T22:20:49Z

The availability of scanner data from large-scale retailers makes the construction of a continuously updated system of price indexes over space and time for an important share of household consumption expenditures possible. However, building a coherent (transitive) system of price indexes across space and time involves issues that are irrelevant for bilateral price indexes or multilateral pric...<br/><br/>M Pelagatti (2009) <i>Price Index Numbers in Time and Space</i> <br/>

http://publicationslist.org/matteo.pelagatti/refid26 2009-08-06T22:25:19Z

In setting up the (quasi) maximum likelihood (QML) estimation of the unknown parameters of a GARCH model the initial instances of the conditional variance process must be given values. Many software packages use the sample variance as default while others use exponentially weighted moving averages schemes. Many other alternatives are of course possible, but to the best of our knowledge nobody ...<br/><br/>M Pelagatti, F Lisi (2009) <i>S.Co Conference 2009</i> <br/>

http://publicationslist.org/matteo.pelagatti/refid27 2011-02-17T13:38:37Z

This paper proposes a test of the null hypothesis of stationarity that is robust to the presence of fat-tailed errors. The test statistic is a modified version of the KPSS statistic, in which ranks substitute the original observations. The rank KPSS statistic has the same limiting distribution as the standard KPSS statistic under the null and diverges under I(1) alternatives. It features good powe...<br/><br/>M Pelagatti, PK Sen (2009) 20090701<br/>

http://publicationslist.org/matteo.pelagatti/refid19 2008-06-16T20:16:57Z

Background: The primary objective of this study was to derive cost comparators for the fourteen Anatomical Therapeutic Chemical (ATC) classes of drugs at first level, based on age-sex related weightings. Our aim was to develop an accurate analysis method of prescribing patterns in general practice and to be able to explain individual variations in prescribing costs based on the age/sex distri...<br/><br/>G Favato, P Mariani, CF Print, A Capone, M Pelagatti, V Pieri, A Marcobelli, E Tragni, MG Trotta, A Zucchi, AL Catapano (2008) <i>PharmacoEconomics - Italian Research Articles</i> 10: 2 89-98<br/>

http://publicationslist.org/matteo.pelagatti/refid20 2009-01-15T11:48:58Z

B. Zavanella, M. Mezzanzanica, M. Pelagatti, S. Minotti, M. Martini (2008) <i>Regional Forecasting on Labour Markets</i> <br/>

http://publicationslist.org/matteo.pelagatti/refid24 2011-02-17T13:39:12Z

The aim of this article was to evaluate the time course of paroxysmal positioning vertigo (PPV) and to investigate correlations with environmental and seasonal factors through a retrospective statistical analysis spanning 4 years (2001-2004). Applying rigorous diagnostic criteria, we selected 575 patients (429 women and 146 men; age range, 17-94 years; mean age, 55 years for men and 56 years for w...<br/><br/>P Mariani, M Pelagatti, A Hahn, D Alpini (2008) <i>Int Tinnitus J</i> 14: 2 168-174<br/>

http://publicationslist.org/matteo.pelagatti/refid10 2007-10-11T16:07:34Z

M. Pelagatti (2007) <i>Risk and Prediction: Proceedings of the 2007 Intermediate Conference</i> 597-598<br/>

http://publicationslist.org/matteo.pelagatti/refid4 2008-06-11T09:21:38Z

Duration dependent Markov-switching VAR (DDMS-VAR) models are time series models with data generating process consisting in a mixture of two VAR processes. The switching between the two VAR processes is governed by a two state Markov chain with transition probabilities that depend on how long the chain has been in a state. In the present paper we analyze the second order properties of such mod...<br/><br/>M. Pelagatti (2007) <i>Business Fluctuations and Cycles</i> 43-66<br/>

http://publicationslist.org/matteo.pelagatti/refid11 2007-10-11T16:43:57Z

This paper analyses the interdependencies existing in wholesale electricity prices in six major European countries. The results of our robust multivariate long run dynamic analysis reveal the presence of four highly integrated central European markets (France, Germany, the Netherlands and Austria). The trend shared by these four electricity markets appears to be common also to gas prices, but not ...<br/><br/>B. Bosco, L. Parisio, M. Pelagatti, F. Baldi (2007) 20070901<br/>

http://publicationslist.org/matteo.pelagatti/refid18 2007-11-07T16:00:14Z

The returns of many financial assets show significant skewness, but in the literature this issue is only marginally dealt with. Our conjecture is that this distributional asymmetry may be due to two different dynamics in positive and negative returns. In this paper we propose a process that allows the simultaneous modelling of skewed conditional returns and different dynamics in their conditional ...<br/><br/>M Pelagatti (2007) 20071101<br/>

http://publicationslist.org/matteo.pelagatti/refid1 2011-02-17T13:39:41Z

In this paper we analyze a time series of daily average prices in the Italian electricity market, which started to operate as a Pool in April 2004. Our objective is to model the high degree of autocorrelation and the multiple seasonalities in electricity prices. We use periodic time series models with GARCH disturbances and leptokurtic distributions and compare their performance with more classica...<br/><br/>B Bosco, L Parisio, M Pelagatti (2007) <i>International Advances in Economic Research</i> 13: 4 415-432<br/>

http://publicationslist.org/matteo.pelagatti/refid3 2011-02-17T13:40:35Z

BACKGROUND: The primary objective of this study was to make the first step in the modelling of pharmaceutical demand in Italy, by deriving a weighted capitation model to account for demographic differences among general practices. The experimental model was called ASSET (Age/Sex Standardised Estimates of Treatment). METHODS AND MAJOR FINDINGS: Individual prescription costs and demographic data ref...<br/><br/>G Favato, P Mariani, R W Mills, A Capone, M Pelagatti, V Pieri, A Marcobelli, MG Trotta, A Zucchi, A L Catapano (2007) <i>PLoS ONE</i> 2: 7 <br/>

http://publicationslist.org/matteo.pelagatti/refid7 2007-10-11T13:24:30Z

M. Pelagatti, C. Perricone, M. Fattore (2006) <i>Metodologie e strumenti per l’analisi dell’evoluzione economica territoriale</i> 133-154<br/>

http://publicationslist.org/matteo.pelagatti/refid6 2007-10-11T12:56:55Z

AAVV (2006) :<br/>

http://publicationslist.org/matteo.pelagatti/refid9 2007-10-11T13:44:57Z

M. Pelagatti (2006) <i>Proceedings of the XLIII Scientific Meeting of the Italian Statistics Society</i> 215-218<br/>

http://publicationslist.org/matteo.pelagatti/refid13 2007-10-12T12:05:38Z

This paper analyses the interdependencies existing in the European electricity prices. The results of a multivariate dynamic analysis of weekly median prices reveal the presence of strong integration (but not perfect integration) among the markets considered in the sample and the existence of a common trend among electricity prices and oil prices. This implies that there are no long-run arbitrage ...<br/><br/>B. Bosco, L. Parisio, M. Pelagatti (2006) 20061001<br/>

http://publicationslist.org/matteo.pelagatti/refid12 2007-10-11T16:49:39Z

The Dynamic Conditional Correlation (DCC) model of Engle has made the estimation of multivariate GARCH models feasible for reasonably big vectors of securities’ returns. In the present paper we show how Engle’s multi-step estimation of the model can be easily extended to elliptical conditional distributions and apply different leptokurtic DCC models to twenty shares listed at the Milan St...<br/><br/>M. Pelagatti, S. Rondena (2006) 20060508<br/>

http://publicationslist.org/matteo.pelagatti/refid2 2007-10-11T16:53:54Z

The possible relationship between warm katabatic winds and human health and behaviour is analyzed; notwithstanding popular belief which is very positive about it, the connection has not been previously analyzed with the proper methods. We use a statistical model to address this question and our data suggest that the effects of warm katabatic winds in the Po Valley (Italy) can indeed be detect...<br/><br/>M. Pelagatti, D. Fuà, G. Galliani, A. Brugnoli, V. Condemi (2006) <i>Il Nuovo Cimento C</i> 29: 2 229-235<br/>

http://publicationslist.org/matteo.pelagatti/refid14 2007-10-12T12:09:51Z

A methodology based on the multivariate generalized Butterwoth filter for extracting the business cycles of the whole economy and of its productive sectors is developed. The method is then illustrated through an application to the Italian gross value added time series of the main economic sectors.<br/><br/>M. Pelagatti (2005) 0503006<br/>

http://publicationslist.org/matteo.pelagatti/refid8 2007-11-05T21:00:11Z

M. Pelagatti (2004) <i>Studi in ricordo di Marco Martini</i> 83-104<br/>

http://publicationslist.org/matteo.pelagatti/refid5 2007-10-11T12:55:17Z

AAVV (2004) :<br/>

http://publicationslist.org/matteo.pelagatti/refid17 2007-11-05T21:00:59Z

M. Pelagatti (2002) <i>Proceedings of the XLI Scientific Meeting of the Italian Statistics Society</i> 69-72<br/>

http://publicationslist.org/matteo.pelagatti/refid15 2007-10-12T12:13:57Z

M. Pelagatti (2002) <br/>

http://publicationslist.org/matteo.pelagatti/refid16 2007-10-12T12:17:14Z

M. Pelagatti (1999) <i>Proceeding of SUGItalia '99 conference</i> <br/>