Matteo Maria Pelagatti : Citation Profile


Are you Matteo Maria Pelagatti?

Università degli Studi di Milano-Bicocca

10

H index

10

i10 index

244

Citations

RESEARCH PRODUCTION:

20

Articles

28

Papers

1

Chapters

RESEARCH ACTIVITY:

   15 years (2005 - 2020). See details.
   Cites by year: 16
   Journals where Matteo Maria Pelagatti has often published
   Relations with other researchers
   Recent citing documents: 48.    Total self citations: 19 (7.22 %)

EXPERT IN:

   Econometric and Statistical Methods and Methodology: General
   Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
   Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
   Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
   Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe139
   Updated: 2021-09-18    RAS profile: 2021-04-08    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Parisio, Lucia (6)

Gianfreda, Angelica (6)

Authors registered in RePEc who have co-authored more than one work in the last five years with Matteo Maria Pelagatti.

Is cited by:

Weron, Rafał (24)

Marcjasz, Grzegorz (15)

Polinori, Paolo (13)

Bollino, Carlo Andrea (11)

Uniejewski, Bartosz (10)

Grossi, Luigi (9)

Bigerna, Simona (9)

Vargiolu, Tiziano (6)

Di Cosmo, Valeria (6)

Nan, Fany (5)

Nitka, Weronika (5)

Cites to:

Parisio, Lucia (32)

Koopman, Siem Jan (16)

Schmidt, Peter (12)

Harvey, Andrew (12)

Fabra, Natalia (12)

Lucas, Andre (11)

Haldrup, Niels (10)

Ooms, Marius (10)

Gianfreda, Angelica (9)

Phillips, Peter (9)

Carnero, M. Angeles (7)

Main data


Where Matteo Maria Pelagatti has published?


Journals with more than one article published# docs
The Energy Journal3
Energy Policy2
Energy Economics2

Working Papers Series with more than one paper published# docs
Working Papers / Universit degli Studi di Milano-Bicocca, Dipartimento di Statistica15
Working Papers / University of Milano-Bicocca, Department of Economics5
Econometrics / University Library of Munich, Germany3

Recent works citing Matteo Maria Pelagatti (2021 and 2020)


YearTitle of citing document
2021Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO. (2021). Weron, Rafał ; Marcjasz, Grzegorz ; Jędrzejewski, Arkadiusz. In: WORking papers in Management Science (WORMS). RePEc:ahh:wpaper:worms2104.

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2020Unit-root test within a threshold ARMA framework. (2020). Tong, Howell ; Goracci, Greta ; Giannerini, Simone ; Chan, Kung-Sik. In: Papers. RePEc:arx:papers:2002.09968.

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2020Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark. (2020). Weron, Rafał ; Marcjasz, Grzegorz ; de Schutter, Bart ; Lago, Jesus. In: Papers. RePEc:arx:papers:2008.08004.

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2020Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs. (2020). Weron, Rafał ; Marcjasz, Grzegorz ; Lago, Jesus. In: Papers. RePEc:arx:papers:2008.08006.

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2020How is Machine Learning Useful for Macroeconomic Forecasting?. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.12477.

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2020Sparse time-varying parameter VECMs with an application to modeling electricity prices. (2020). Pfarrhofer, Michael ; Hauzenberger, Niko ; Rossini, Luca. In: Papers. RePEc:arx:papers:2011.04577.

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2020Vertical structure and the risk of rent extraction in the electricity industry. (2020). Buehler, Stefan ; Boom, Anette. In: Journal of Economics & Management Strategy. RePEc:bla:jemstr:v:29:y:2020:i:1:p:210-237.

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2020Large Time-Varying Volatility Models for Electricity Prices. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Gianfreda, Angelica. In: Working Papers. RePEc:bny:wpaper:0088.

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2020Impact of Solar and Wind Prices on the Integrated Global Electricity Spot and Options Markets: A Time Series Analysis. (2020). Alsaedi, Yasir ; Wong, Victor ; Tularam, Gurudeo Anand. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-02-40.

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2021Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark. (2021). Weron, Rafał ; de Schutter, Bart ; Marcjasz, Grzegorz ; Lago, Jesus. In: Applied Energy. RePEc:eee:appene:v:293:y:2021:i:c:s0306261921004529.

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2021Investing in electricity production under a reliability options scheme. (2021). Zormpas, Dimitrios ; Vargiolu, Tiziano ; Fontini, Fulvio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:126:y:2021:i:c:s016518892030172x.

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2020Bank profitability in the Eurasian Economic Union: Do funding liquidity and systemic importance matter?. (2020). Pak, Olga. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301625.

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2020Measuring market integration and estimating policy impacts on the Swiss electricity market. (2020). Schober, Dominik ; Hellwig, Michael ; Woll, Oliver. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304347.

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2020Where did the time (series) go? Estimation of marginal emission factors with autoregressive components. (2020). Giulietti, Monica ; Beltrami, Filippo ; Wilson, Grant ; Rowley, Paul ; Grossi, Luigi ; Burlinson, Andrew. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302450.

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2021Regularized quantile regression averaging for probabilistic electricity price forecasting. (2021). Weron, Rafał ; Uniejewski, Bartosz. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000268.

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2021Carbon pass-through rates on spot electricity prices in Australia. (2021). Zhu, Liangxu ; Truck, Stefan ; Nazifi, Fatemeh . In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000839.

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2021Enhancing load, wind and solar generation for day-ahead forecasting of electricity prices. (2021). Weron, Tomasz ; Nitka, Weronika ; Maciejowska, Katarzyna. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s014098832100178x.

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2020Measuring inefficiency in international electricity trading. (2020). Gissey, Castagneto G ; Lipman, G ; Dodds, P E ; Newbery, D ; Guo, B ; Montoya, L G. In: Energy Policy. RePEc:eee:enepol:v:143:y:2020:i:c:s0301421520302664.

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2020The effect of a new power cable on energy prices volatility spillovers. (2020). Spagnolo, Nicola ; Sapio, Alessandro. In: Energy Policy. RePEc:eee:enepol:v:144:y:2020:i:c:s0301421520302354.

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2021The impact of variable renewable energy technologies on electricity markets: An analysis of the Turkish balancing market. (2021). ŞİRİN, Selahattin ; Yilmaz, Berna N ; Sirin, Selahattin Murat. In: Energy Policy. RePEc:eee:enepol:v:151:y:2021:i:c:s0301421520308041.

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2020Constraining the oligopoly manipulation in electricity market: A vertical integration perspective. (2020). Liu, Kai ; Zhang, Yan ; Chen, Qixin ; Guo, Hongye ; Kang, Chongqing ; Xia, Qing. In: Energy. RePEc:eee:energy:v:194:y:2020:i:c:s0360544219325721.

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2020Does relative valuation work for banks?. (2020). Gianfrate, Gianfranco ; Forte, Gianfranco ; Rossi, Emanuele. In: Global Finance Journal. RePEc:eee:glofin:v:44:y:2020:i:c:s1044028317304787.

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2020Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts?. (2020). Weron, Rafał ; Uniejewski, Bartosz ; Marcjasz, Grzegorz. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:466-479.

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2020Comparing the forecasting performances of linear models for electricity prices with high RES penetration. (2020). Gianfreda, Angelica ; Rossini, Luca ; Ravazzolo, Francesco. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:974-986.

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2020On Becoming an O-SII (“Other Systemically Important Institution”). (2020). Sprincean, Nicu ; Andrieș, Alin Marius ; Ongena, Steven ; Nistor, Simona. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302961.

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2020The value of international political connections: Evidence from Trumps 2016 surprise election. (2020). Stahl, Jorg R ; Fink, Alexander. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:176:y:2020:i:c:p:691-700.

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2021(Machine) learning from the COVID-19 lockdown about electricity market performance with a large share of renewables. (2021). Wolak, Frank A ; Quaglia, Federico ; Graf, Christoph. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:105:y:2021:i:c:s0095069620301212.

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2020A critical review of Koreas long-term contract for renewable energy auctions: The relationship between the import price of liquefied natural gas and system marginal price. (2020). Jung, Tae Yong ; Moon, Jongwoo. In: Utilities Policy. RePEc:eee:juipol:v:67:y:2020:i:c:s0957178720301260.

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2020Institution of incentive-based demand response programs and prospective policy assessments for a subsidized electricity market. (2020). Sreekanth, K J ; Rao, Joji T ; Alasseri, Rajeev . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:117:y:2020:i:c:s1364032119306987.

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2020Multiobjective Reactive Power Optimization of Renewable Energy Power Plants Based on Time-and-Space Grouping Method. (2020). Li, Lingling ; Chen, Ning ; Lin, Hsiung-Cheng ; Zhang, Shujie ; Qu, Linan. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:14:p:3556-:d:382712.

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2020An Ex-Post Assessment of RES-E Support in Greece by Investigating the Monetary Flows and the Causal Relationships in the Electricity Market. (2020). Flamos, Alexandros ; Kleanthis, Nikos ; Stavrakas, Vassilis. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:17:p:4575-:d:408561.

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2020Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader. (2020). Weron, Tomasz ; Serafin, Tomasz ; Nitka, Weronika ; Zaleski, Przemysaw ; Kath, Christopher. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:1:p:205-:d:304260.

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2020Power Exchange Prices: Comparison of Volatility in European Markets. (2020). Arsi, Jovana ; Dobromirov, Duan ; Boi, Zorana ; Lusarczyk, Beata ; Radii, Mladen. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:21:p:5620-:d:435563.

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2020Event Effects Estimation on Electricity Demand Forecasting. (2020). Hori, Maiya ; Wada, Keigo ; Hirose, Kei ; Taniguchi, Rin-Ichiro. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:21:p:5839-:d:442360.

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2020Point and Interval Forecasting of Zonal Electricity Prices and Demand Using Heteroscedastic Models: The IPEX Case. (2020). Lisi, Francesco ; Bernardi, Mauro. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:23:p:6191-:d:450862.

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2020Optimization of Electric Energy Sales Strategy Based on Probabilistic Forecasts. (2020). Michalak, Aleksandra ; Janczura, Joanna . In: Energies. RePEc:gam:jeners:v:13:y:2020:i:5:p:1045-:d:325457.

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2021Importance of the Long-Term Seasonal Component in Day-Ahead Electricity Price Forecasting Revisited: Parameter-Rich Models Estimated via the LASSO. (2021). Weron, Rafał ; Marcjasz, Grzegorz ; Jdrzejewski, Arkadiusz. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:11:p:3249-:d:567421.

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2020.

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2020Sustainability in the Banking Sector: A Predictive Model for the European Banking Union in the Aftermath of the Financial Crisis. (2020). Gutierrez-Lopez, Cristina ; Abad-Gonzalez, Julio . In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:6:p:2566-:d:336411.

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2020Do CDS markets care about the G-SIB status?. (2020). Heynderickx, Wouter ; Bellia, Mario ; Schich, Sebastian ; Maccaferri, Sara. In: Working Papers. RePEc:jrs:wpaper:202002.

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2021Stationarity Statistics on Rolling Windows. (2021). Ross, Joseph . In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:2:d:10.1007_s10614-020-09974-4.

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2020Is Financial Regulation Good or Bad for Real Estate Companies? – An Event Study. (2020). Moss, Alex ; Milcheva, Stanimira ; Hoesli, Martin. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:61:y:2020:i:3:d:10.1007_s11146-017-9634-z.

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2021The predictive strength of MBS yield spreads during asset bubbles. (2021). Deku, Solomon ; Kara, Alper ; Semeyutin, Artur. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:1:d:10.1007_s11156-020-00888-8.

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2020Auctioning C02 Emission Allowances in Europe. A Time Series Analysis of Equilibrium Prices. (2020). Bosco, Bruno. In: Working Papers. RePEc:mib:wpaper:448.

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2021The fundamental drivers of electricity price: a multi-scale adaptive regression analysis. (2021). Gilenko, Evgeniy V ; Fedorova, Elena A ; Afanasyev, Dmitriy O. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:4:d:10.1007_s00181-020-01825-3.

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2020Integration and convergence in European electricity markets. (2020). D'Errico, Maria Chiara ; Polinori, Paolo ; Derrico, Maria Chiara ; Ciferri, Davide . In: Economia Politica: Journal of Analytical and Institutional Economics. RePEc:spr:epolit:v:37:y:2020:i:2:d:10.1007_s40888-019-00163-7.

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2021The zonal and seasonal CO2 marginal emissions factors for the Italian power market. (2021). Grossi, Luigi ; Giulietti, Monica ; Fontini, Fulvio ; Beltrami, Filippo. In: Working Papers. RePEc:ver:wpaper:01/2021.

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2020The market impact of systemic risk capital surcharges. (2020). Gündüz, Yalin ; Gunduz, Yalin. In: Discussion Papers. RePEc:zbw:bubdps:092020.

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Works by Matteo Maria Pelagatti:


YearTitleTypeCited
2016Price coordination in vertically integrated electricity markets. Theory and empirical evidence In: The Energy Journal.
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article3
2016The Impact of RES in the Italian DayAhead and Balancing Markets In: The Energy Journal.
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article22
2019The RES-Induced Switching Effect Across Fossil Fuels: An Analysis of Day-Ahead and Balancing Prices In: The Energy Journal.
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article2
2007A Robust Multivariate Long Run Analysis of European Electricity Prices In: International Energy Markets Working Papers.
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paper8
2007A Robust Multivariate Long Run Analysis of European Electricity Prices.(2007) In: Working Papers.
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This paper has another version. Agregated cites: 8
paper
2007A robust multivariate long run analysis of European electricity prices.(2007) In: Working Papers.
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This paper has another version. Agregated cites: 8
paper
2016Measures of variance for smoothed disturbances in linear state-space models: a clarification In: gretl working papers.
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paper0
2009Modelling Good and Bad Volatility In: Studies in Nonlinear Dynamics & Econometrics.
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article5
2007Modelling good and bad volatility.(2007) In: Working Papers.
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This paper has another version. Agregated cites: 5
paper
2018A Review of Balancing Costs in Italy before and after RES introduction In: BEMPS - Bozen Economics & Management Paper Series.
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paper16
2018A review of balancing costs in Italy before and after RES introduction.(2018) In: Renewable and Sustainable Energy Reviews.
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This paper has another version. Agregated cites: 16
article
2019Statistical Learning and Exchange Rate Forecasting In: DISEIS - Quaderni del Dipartimento di Economia internazionale, delle istituzioni e dello sviluppo.
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paper2
2020Statistical learning and exchange rate forecasting.(2020) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 2
article
2018A least squares approach to latent variables extraction in formative–reflective models In: Computational Statistics & Data Analysis.
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article0
2012A least squares approach to latent variables extraction in formative-reflective models.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2013Rank tests for short memory stationarity In: Journal of Econometrics.
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article10
2012Strategic bidding in vertically integrated power markets with an application to the Italian electricity auctions In: Energy Economics.
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article11
2018Component estimation for electricity market data: Deterministic or stochastic? In: Energy Economics.
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article11
2013Price-capping in partially monopolistic electricity markets with an application to Italy In: Energy Policy.
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article4
2016Revisiting long-run relations in power markets with high RES penetration In: Energy Policy.
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article15
2015The importance of being systemically important financial institutions In: Journal of Banking & Finance.
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article27
2010Long-run relations in european electricity prices In: Journal of Applied Econometrics.
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article53
2011State Space Methods in Ox/SsfPack In: Journal of Statistical Software.
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article1
2007Deregulated Wholesale Electricity Prices in Italy: An Empirical Analysis In: International Advances in Economic Research.
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article15
2012Unpuzzling the Purchasing Power Parity Puzzle In: Working Papers.
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paper0
2013Nonparametric tests for event studies under cross-sectional dependence In: Working Papers.
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paper0
2017The RES-induced Switching Effect Across Fossil Fuels: An Analysis of the Italian Day-Ahead and Balancing Prices and Their Connected Costs In: Working Papers.
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paper2
2020Estimating high dimensional multivariate stochastic volatility models In: Working Papers.
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paper0
2020Assessing the effectiveness of the Italian risk-zones policy during the second wave of Covid-19 In: Working Papers.
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paper0
2005Duration Dependent Markov-Switching Vector Autoregression: Properties, Bayesian Inference, Software and Application In: Working Papers.
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paper3
2006Deregulated Wholesale Electricity Prices in Italy. In: Working Papers.
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paper12
2006Statistical investigation on the relation between car accidents and warm katabatic winds In: Working Papers.
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paper0
2006Dynamic Conditional Correlation with Elliptical Distributions In: Working Papers.
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paper4
2005Dynamic Conditional Correlation with Elliptical Distributions.(2005) In: Econometrics.
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This paper has another version. Agregated cites: 4
paper
2006Deregulated Wholesale Electricity Prices in Europe In: Working Papers.
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paper6
2008Milan’s Cycle as an Accurate Leading Indicator for the Italian Business Cycle In: Working Papers.
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paper0
2009A robust version of the KPSS test based on ranks In: Working Papers.
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paper3
2010Estimating Marginal Costs and Market Power in the Italian Electricity Auctions In: Working Papers.
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paper0
2010A KPSS better than KPSS. Rank tests for short memory stationarity In: Working Papers.
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paper0
2012Supply Function Prediction in Electricity Auctions In: Working Papers.
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paper0
2012Book Review: The Art of R Programming In: Working Papers.
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paper0
2012On the empirical failure of purchasing power parity tests In: Working Papers.
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paper1
2015On the Empirical Failure of Purchasing Power Parity Tests.(2015) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 1
article
2010The Industrial Cycle of Milan as an Accurate Leading Indicator for the Italian Business Cycle In: OECD Journal: Journal of Business Cycle Measurement and Analysis.
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article3
2015How Difficult Is It to Raise Money in Turbulent Times? In: Palgrave Macmillan Studies in Banking and Financial Institutions.
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chapter0
2007ASSET (Age/Sex Standardised Estimates of Treatment): A Research Model to Improve the Governance of Prescribing Funds in Italy In: PLOS ONE.
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article1
2019Market coupling between electricity markets: theory and empirical evidence for the Italian–Slovenian interconnection In: Economia Politica: Journal of Analytical and Institutional Economics.
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article3
2005Business cycle and sector cycles In: Econometrics.
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paper0
2005Time Series Modeling with Duration Dependent Markov-Switching Vector Autoregressions: MCMC Inference, Software and Applications In: Econometrics.
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paper1

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