Matteo Maria Pelagatti : Citation Profile


Are you Matteo Maria Pelagatti?

Università degli Studi di Milano-Bicocca

11

H index

11

i10 index

338

Citations

RESEARCH PRODUCTION:

24

Articles

29

Papers

1

Chapters

RESEARCH ACTIVITY:

   17 years (2005 - 2022). See details.
   Cites by year: 19
   Journals where Matteo Maria Pelagatti has often published
   Relations with other researchers
   Recent citing documents: 72.    Total self citations: 21 (5.85 %)

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: 2023-08-19    RAS profile: 2023-03-16    
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Relations with other researchers


Works with:

Parisio, Lucia (5)

Gianfreda, Angelica (4)

Colombo, Emilio (2)

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 (25)

Polinori, Paolo (16)

Marcjasz, Grzegorz (15)

Bollino, Carlo Andrea (13)

Uniejewski, Bartosz (13)

Grossi, Luigi (11)

Bigerna, Simona (10)

Gianfreda, Angelica (10)

Vargiolu, Tiziano (8)

Rossini, Luca (7)

Nitka, Weronika (6)

Cites to:

Parisio, Lucia (33)

Koopman, Siem Jan (17)

Harvey, Andrew (14)

Fabra, Natalia (13)

Schmidt, Peter (12)

Grossi, Luigi (11)

Lucas, Andre (11)

Sarno, Lucio (11)

Haldrup, Niels (11)

Taylor, Mark (11)

Ooms, Marius (10)

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 (2022 and 2021)


YearTitle of citing document
2021Price convergence in the Central American regional electricity market. (2021). Carbo, Agustin ; Barril, Diego ; Cont, Walter. In: Asociación Argentina de Economía Política: Working Papers. RePEc:aep:anales:4455.

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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 ; Jędrzejewski, Arkadiusz. In: WORking papers in Management Science (WORMS). RePEc:ahh:wpaper:worms2104.

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2022“An application of deep learning for exchange rate forecasting”. (2022). Sorić, Petar ; Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: AQR Working Papers. RePEc:aqr:wpaper:202201.

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2021Unit-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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2023Sparse 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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2023Testing for long-range dependence in non-stationary time series time-varying regression. (2021). Wu, Weichi ; Bai, Lujia. In: Papers. RePEc:arx:papers:2110.08089.

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2022Forecasting Electricity Prices. (2022). Weron, Rafał ; Uniejewski, Bartosz ; Maciejowska, Katarzyna. In: Papers. RePEc:arx:papers:2204.11735.

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2022Portfolio Diversification Revisited. (2022). Shaw, Charles. In: Papers. RePEc:arx:papers:2204.13398.

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2022LASSO Principal Component Averaging -- a fully automated approach for point forecast pooling. (2022). Maciejowska, Katarzyna ; Uniejewski, Bartosz. In: Papers. RePEc:arx:papers:2207.04794.

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2022Model-Free Reinforcement Learning for Asset Allocation. (2022). Mbaka, Timothy ; Kamashazi, Peruth ; Ajiboye, Eniola ; Oshingbesan, Adebayo. In: Papers. RePEc:arx:papers:2209.10458.

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2023Smoothing Quantile Regression Averaging: A new approach to probabilistic forecasting of electricity prices. (2023). Uniejewski, Bartosz. In: Papers. RePEc:arx:papers:2302.00411.

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2023A Heat-Jarrow-Morton framework for energy markets: a pragmatic approach. (2023). Santilli, Edoardo ; Gardini, Matteo. In: Papers. RePEc:arx:papers:2305.01485.

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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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2023Optimized operation of distributed energy resources: The opportunities of value stacking for Power-to-Gas aggregated with PV. (2023). Lorenzoni, Arturo ; Bignucolo, Fabio ; Coppo, Massimiliano ; Agostini, Marco ; Schwidtal, Jan Marc. In: Applied Energy. RePEc:eee:appene:v:334:y:2023:i:c:s0306261923000107.

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2022A multilayer approach for systemic risk in the insurance sector. (2022). Cornaro, Alessandra ; Clemente, Gian Paolo. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:162:y:2022:i:c:s0960077922006087.

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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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2023Testing for integration and cointegration when time series are observed with noise. (2023). Pelagatti, Matteo ; Parisio, Lucia ; Maranzano, Paolo ; Gianfreda, Angelica. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001645.

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2023Transmission investment under uncertainty: Reconciling private and public incentives. (2023). Siddiqui, Afzal S ; Hagspiel, Verena ; Lavrutich, Maria. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1167-1188.

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2022Dynamic short-term risk management strategies for the choice of electricity market based on probabilistic forecasts of profit and risk measures. The German and the Polish market case study. (2022). Wojcik, Edyta ; Janczura, Joanna. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001840.

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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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2021Green capacity investment under subsidy withdrawal risk. (2021). Kort, Peter ; Hagspiel, Verena. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s014098832100164x.

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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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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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2022A unit commitment and economic dispatch model of the GB electricity market – Formulation and application to hydro pumped storage. (2022). Newbery, David M ; Chyong, Chi Kong. In: Energy Policy. RePEc:eee:enepol:v:170:y:2022:i:c:s0301421522004323.

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2022Systemic risk measures and regulatory challenges. (2022). Brzeszczyski, Janusz ; Sharma, Satish ; Ellis, Scott. In: Journal of Financial Stability. RePEc:eee:finsta:v:61:y:2022:i:c:s1572308921001194.

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2022Global systemically important banks regulation: Blessing or curse?. (2022). Patsalidou, Elena ; Martzoukos, Spiridon ; Markoulis, Stelios. In: Global Finance Journal. RePEc:eee:glofin:v:52:y:2022:i:c:s1044028320302805.

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2022The political cost of sanctions: Evidence from COVID-19. (2022). Sabatini, Fabio ; Reggiani, Tommaso ; Fazio, Andrea. In: Health Policy. RePEc:eee:hepoli:v:126:y:2022:i:9:p:872-878.

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2022Bearish Vs Bullish risk network: A Eurozone financial system analysis. (2022). Angelini, Eliana ; Wang, Gang-Jin ; Addi, Abdelhamid ; Foglia, Matteo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:77:y:2022:i:c:s1042443122000142.

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2022Revisiting the PPP puzzle: Nominal exchange rate rigidity and region of inaction. (2022). Choi, Jae Hoon ; Song, Seongho. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000300.

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202130 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial. (2021). Ruiz, Esther ; Pea, Daniel ; Escribano, Alvaro. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1333-1337.

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2023Forecasting electricity prices with expert, linear, and nonlinear models. (2023). Ravazzolo, Francesco ; del Grosso, Filippo ; Gianfreda, Angelica ; Bille, Anna Gloria. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:570-586.

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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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2022Exchange rate predictability with nine alternative models for BRICS countries. (2022). Salisu, Afees ; GUPTA, RANGAN ; Kim, Won Joong. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:71:y:2022:i:c:s0164070421000732.

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2023Bank funding costs during the COVID-19 pandemic: Evidence from China. (2023). Wen, Huiyu ; Li, Jinxuan ; Gao, Haoyu. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000720.

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2023Forecasting exchange rate: A bibliometric and content analysis. (2023). Junior, Eli Hadad ; de Souza, Camila. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:607-628.

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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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2021Electricity Markets during the Liberalization: The Case of a European Union Country. (2021). Kriaj, Alan ; Bojnec, Tefan. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:14:p:4317-:d:596330.

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2021Economic and Carbon Costs of Electricity Balancing Services: The Need for Secure Flexible Low-Carbon Generation. (2021). Thorpe, Rex B ; Leach, Matthew ; Lafratta, Mauro ; Lee, Jacquetta ; Shana, Achame ; Ouki, Sabeha K ; Germain, Eve ; Willcocks, Mark. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:16:p:5123-:d:617623.

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2021Impact of Wind and Solar Generation on the Italian Zonal Electricity Price. (2021). Colella, Pietro ; Bompard, Ettore ; Imani, Mahmood Hosseini ; Huang, Tao. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:18:p:5858-:d:636639.

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2022Reviewing Explanatory Methodologies of Electricity Markets: An Application to the Iberian Market. (2022). Soares, Isabel ; Fernandes, Renato. In: Energies. RePEc:gam:jeners:v:15:y:2022:i:14:p:5020-:d:859098.

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2022PV Penetration under Market Environment and with System Constraints. (2022). Kiokes, George ; Dimeas, Aris. In: Energies. RePEc:gam:jeners:v:15:y:2022:i:22:p:8673-:d:977254.

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2023ARX-GARCH Probabilistic Price Forecasts for Diversification of Trade in Electricity Markets—Variance Stabilizing Transformation and Financial Risk-Minimizing Portfolio Allocation. (2023). Janczura, Joanna ; Pu, Andrzej. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:2:p:807-:d:1031193.

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2023Aggregating Prophet and Seasonal Trend Decomposition for Time Series Forecasting of Italian Electricity Spot Prices. (2023). Santos, Leandro Dos ; Mariani, Viviana Cocco ; Seman, Laio Oriel ; Stefenon, Stefano Frizzo. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:3:p:1371-:d:1049947.

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2023Multiple Novel Decomposition Techniques for Time Series Forecasting: Application to Monthly Forecasting of Electricity Consumption in Pakistan. (2023). Lopez-Gonzales, Javier Linkolk ; Rodrigues, Paulo Canas ; Bibi, Nadeela ; Iftikhar, Hasnain. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:6:p:2579-:d:1092078.

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2021Electricity Markets Instability: Causes of Price Dispersion. (2021). Kyzym, Mykola ; Balian, Anush ; Chen, Qiang ; Khaustova, Viktoriia ; Gryshova, Inna ; Salashenko, Tetiana. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:22:p:12343-:d:674926.

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2022Thematic Analysis as a New Culturomic Tool: The Social Media Coverage on COVID-19 Pandemic in Italy. (2022). Daniello, Luca ; Cuccurullo, Corrado ; Aria, Massimo ; Spano, Maria ; Misuraca, Michelangelo. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:6:p:3643-:d:775413.

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2021Raising the Accuracy of Shadow Economy Measurements. (2021). Pascual, Pedro ; Gomez, Antonio ; Rios, Vicente. In: Hacienda Pública Española / Review of Public Economics. RePEc:hpe:journl:y:2021:v:239:i:4:p:71-125.

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2022An application of deep learning for exchange rate forecasting.. (2022). Sorić, Petar ; Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: IREA Working Papers. RePEc:ira:wpaper:202201.

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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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2022The Zonal and Seasonal CO2 Marginal Emissions Factors for the Italian Power Market. (2022). Beltrami, Filippo ; Fontini, Fulvio ; Giulietti, Monica ; Grossi, Luigi. In: Environmental & Resource Economics. RePEc:kap:enreec:v:83:y:2022:i:2:d:10.1007_s10640-021-00567-9.

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2021The predictive strength of MBS yield spreads during asset bubbles. (2021). Deku, Solomon ; Semeyutin, Artur ; Kara, Alper. 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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2023What do we know about the stock markets’ reaction to regulatory announcements regarding financial institutions? Evidence from UK financial institutions. (2023). Dockery, Everton ; Kawas, Stephen. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:60:y:2023:i:1:d:10.1007_s11156-022-01088-2.

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2021Bail-in and Bank Funding Costs. (2021). Galfrascoli, Paola ; Cerasi, Vittoria. In: Working Papers. RePEc:mib:wpaper:472.

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2023Quantum Monte Carlo simulations for estimating FOREX markets: a speculative attacks experience. (2023). Fernandez-Gamez, Manuel A ; Salas, Belen M ; Alaminos, David. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-01836-2.

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2022The future of the EU bioenergy sector: economic, environmental, social, and legislative challenges. (2022). Santeramo, Fabio ; Lombardi, Mariarosaria ; Imbert, Enrica ; Delsignore, Monica. In: MPRA Paper. RePEc:pra:mprapa:115454.

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2021Forecasting Electricity Prices with Expert, Linear and Non-Linear Models. (2021). Ravazzolo, Francesco ; del Grosso, Filippo ; Gianfreda, Angelica ; Bille, Anna Gloria. In: Working Paper series. RePEc:rim:rimwps:21-20.

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2021Learning in a double-phase cobweb model. (2021). Naimzada, Ahmad ; Parisio, Lucia ; Cavalli, Fausto. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00335-w.

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2021Optimal installation of renewable electricity sources: the case of Italy. (2021). Vargiolu, Tiziano ; Awerkin, Almendra. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00365-4.

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

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2023Trade, equilibrium prices and rents in European auctions for emission allowances. (2023). Bosco, Bruno. In: Environmental Economics and Policy Studies. RePEc:spr:envpol:v:25:y:2023:i:1:d:10.1007_s10018-022-00344-y.

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2023A new design for market power monitoring in the electricity market. A simulation for Italy. (2023). Polinori, Paolo ; Derrico, Maria Chiara ; Bollino, Carlo Andrea ; Bigerna, Simona. In: Economia Politica: Journal of Analytical and Institutional Economics. RePEc:spr:epolit:v:40:y:2023:i:1:d:10.1007_s40888-022-00276-6.

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2023Foreign exchange trading and management with the stochastic dual dynamic programming method. (2023). Sepulveda-Hurtado, Guillermo Alexander ; Reus, Lorenzo. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00433-7.

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2023Economic expectations and anxiety during the COVID-19 pandemic: a one-year longitudinal evaluation on Italian university students. (2023). Busetta, Giovanni ; Panarello, Demetrio ; Campolo, Maria Gabriella. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:57:y:2023:i:1:d:10.1007_s11135-022-01330-y.

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2023Formative-reflective scheme for the assessment of tourism destination competitiveness: an analysis of Italian municipalities. (2023). Conti, Enrico ; Magrini, Alessandro ; Grassini, Laura. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:57:y:2023:i:4:d:10.1007_s11135-022-01519-1.

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2021Using Textual and Economic Features to Predict the RMB Exchange Rate. (2021). Hung, Chihli ; Chou, Hsien-Ming ; Chung, Yi-Chen. In: Advances in Management and Applied Economics. RePEc:spt:admaec:v:11:y:2021:i:6:f:11_6_8.

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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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2022How is machine learning useful for macroeconomic forecasting?. (2022). Surprenant, Stephane ; Stevanovic, Dalibor ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:5:p:920-964.

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2021Effects of structural changes on the prediction of downside volatility in futures markets. (2021). Lin, Boqiang ; Gong, XU. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:7:p:1124-1153.

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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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article4
2016The Impact of RES in the Italian DayAhead and Balancing Markets In: The Energy Journal.
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article29
2019The RES-Induced Switching Effect Across Fossil Fuels: An Analysis of Day-Ahead and Balancing Prices In: The Energy Journal.
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article6
2007A Robust Multivariate Long Run Analysis of European Electricity Prices In: International Energy Markets Working Papers.
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paper9
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: 9
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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: 9
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2016Measures of variance for smoothed disturbances in linear state-space models: a clarification In: gretl working papers.
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2022Spatio-temporal Event Studies for Air Quality Assessment under Cross-sectional Dependence In: Papers.
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2009Modelling Good and Bad Volatility In: Studies in Nonlinear Dynamics & Econometrics.
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article6
2007Modelling good and bad volatility.(2007) In: Working Papers.
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This paper has another version. Agregated cites: 6
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2018A Review of Balancing Costs in Italy before and after RES introduction In: BEMPS - Bozen Economics & Management Paper Series.
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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: 24
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2019Statistical Learning and Exchange Rate Forecasting In: DISEIS - Quaderni del Dipartimento di Economia internazionale, delle istituzioni e dello sviluppo.
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2020Statistical learning and exchange rate forecasting.(2020) In: International Journal of Forecasting.
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2017Curbing systemic risk in the insurance sector: A mission impossible? In: The British Accounting Review.
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article1
2018A least squares approach to latent variables extraction in formative–reflective models In: Computational Statistics & Data Analysis.
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2012A least squares approach to latent variables extraction in formative-reflective models.(2012) In: Working Papers.
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2013Rank tests for short memory stationarity In: Journal of Econometrics.
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article13
2012Strategic bidding in vertically integrated power markets with an application to the Italian electricity auctions In: Energy Economics.
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