Matteo M Pelagatti Author of Evaluating Organization Development
FEATURED AUTHOR

Matteo M Pelagatti

Professor of Economic Statistics
Università degli Studi di Milano-Bicocca

I am professor of Economic Statistics at the University of Milan-Bicocca and hold a PhD in Statistics obtained from the University of Milan in 2002. During my PhD I spent 8 months at the Institute of Statistics and Econometrics of the University of Berlin, where I wrote part of my dissertation. I am also a consultant and a trainer for statistical modelling and forecasting for several companies. In particular, I collaborate with SAS and SPSS (Italian branches) since the early 2000's.

Subjects: Statistics

Areas of Research / Professional Expertise

    Time Series Analysis, Electricity Markets, Robust Statistics, Financial Econometrics, Business Cycle Analysis, Statistical Software, Indexes Numbers, Relations Between Poker Ability and Executive Functions.

Personal Interests

    Playing guitar and alto sax.
    Visiting cities and historical sites.

Websites

Books

Featured Title
 Featured Title - Time Series Modelling with Unobserved Components - 1st Edition book cover

Articles

The Energy Journal

The Impact of RES in the Italian Day–Ahead and Balancing Markets


Published: May 24, 2016 by The Energy Journal
Authors: Angelica Gianfreda, Lucia Parisio, Matteo Pelagatti
Subjects: Energy & Clean Technology

We empirically investigate the effect of RES generation on the Italian spot and regulation prices by examining price dynamics from 2012 to 2014 in day-ahead, intra-daily and balancing market sessions. We model the relationships among spot, adjustment and regulation prices and provide empirical evidence that the intra-daily sessions are well-functioning and low-cost market tools to ease the introduction of a high share of RES.

Energy Policy 94

Revisiting long-run relations in power markets with high RES penetration


Published: Feb 08, 2016 by Energy Policy 94
Authors: Angelica Gianfreda, Lucia Parisio, Matteo Pelagatti
Subjects: Energy & Clean Technology

We show that the electricity–fuel nexus found over 2006–2008 changed dramatically over 2010–2014 for the majority of countries considered. In particular, the long-run dependence of electricity from gas and coal prices is much lower in recent years. Furthermore, our results confirm that the considered EU countries are becoming less integrated as RES-E increases.

The Energy Journal 37(1)

Price Coordination in Vertically Integrated Electricity Markets


Published: Jan 01, 2016 by The Energy Journal 37(1)
Authors: Bosco, B. and Parisio, L. and Pelagatti, M.
Subjects: Engineering - Electrical, Statistics

We analyse vertical integration between generators and retailers in electricitymarkets and we discuss the implications for price decisions of the presence of a symmetric (cost) information in a simple P-A framework. We analyze a situationin which generators post supply bids taking into account the profit of the entire vertically integrated group they belong to. We then discuss the way in which the degree of vertical integration affects this bidding strategy.

Human Relations 68(3)

Internal and external equity in compensation systems, organizational absenteeism


Published: Mar 15, 2015 by Human Relations 68(3)
Authors: della Torre, E. and Pelagatti, M. and Solari, L.
Subjects: Business & Management, Statistics

We investigate how the design of compensation systems influences workers’ behaviours at the organizational level by building upon the consequences of equity theory at the individual level.

Journal of Banking & Finance 50

The Importance of Being Systemically Important Financial Institutions


Published: Jan 15, 2015 by Journal of Banking & Finance 50
Authors: Bongini, P. and Nieri, L. and Pelagatti, M.
Subjects: Business & Management, Statistics

We investigate whether financial markets reacted to the regulatory changes implied by the publication of the list of systemically important financial institutions (SIFI) and the new rules designed to address the too-big-to-fail problem of systemic banks.

Journal of Applied Econometrics 30(6)

On the empirical failure of purchasing power parity tests


Published: Sep 19, 2014 by Journal of Applied Econometrics 30(6)
Authors: Pelagatti, M.M. and Colombo, E.
Subjects: Statistics

Empirical research on the validity of the purchasing power parity (PPP) condition is generally based on real exchange rates built using the consumer price index (CPI), but fails to provide clear support to PPP. In this paper we show theoretically that, even if the law of one price (LOP) holds for traded goods, CPI-based real exchange rates are not mean-reverting, and are neither stationary nor integrated. Our theoretical results are validated both by simulations and an empirical application.

Energy Policy 54

Price-capping in partially monopolistic electricity markets with an application


Published: Mar 15, 2013 by Energy Policy 54
Authors: Bosco, B. and Parisio, L. and Pelagatti, M.
Subjects: Statistics

In this article we show that these market conditions may imply the non-concavity in prices of the pivotal supply function, which in turn means that there can be situations in which a pivotal operator's supply has virtually no price limits. We also show that this monopolistic market power can be significantly reduced by vertical integration and/or regulatory policies such as virtual power plants. We examine the existing price-cap and propose an alternative mechanism.

Journal of Econometrics 172(1)

Rank tests for short memory stationarity


Published: Jan 15, 2013 by Journal of Econometrics 172(1)
Authors: Pelagatti, M. and Sen, P.K.
Subjects: Statistics

We propose a rank-test of the null hypothesis of short memory stationarity possibly after linear detrending. For the level-stationarity hypothesis, the test statistic we propose is a modified version of the popular KPSS statistic, in which ranks substitute the original observations.

Energy Economics 34(6)

Strategic bidding in vertically integrated power markets with an application


Published: Nov 15, 2012 by Energy Economics 34(6)
Authors: Bosco, B. and Parisio, L. and Pelagatti, M.
Subjects: Statistics

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 functions, price-cost margins and Lerner Indexes of market power for a sample of Italian companies.

Electronic Journal of Applied Statistical Analysis 5(3)

Inconsistencies of the PLS-PM approach to structural equation models with [...]


Published: Jun 15, 2012 by Electronic Journal of Applied Statistical Analysis 5(3)
Authors: Fattore, M. and Pelagatti, M. and Vittadini, G.
Subjects: Statistics

The aim of the paper is to show evidence of possible inconsistencies of PLS-PM as a statistical tool to estimate structural equation models with formative-reflective schemes. We pursue this goal, discussing a real-data example where PLS-PM fails to identify existing causal links between the variables concerned. We also suggest a possible formal interpretation of this fact, focusing on the way PLS-PM represents the link between reflective latent variables and their indicators.

Journal of Statistical Software 41(3)

State Space Methods in Ox/SsfPack


Published: May 15, 2011 by Journal of Statistical Software 41(3)
Authors: Pelagatti, M.
Subjects: Statistics

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.

Journal of Business Cycle Measurement and Analysis 2010(2)

The Industrial Cycle of Milan as an Accurate Leading Indicator for the [...]


Published: Feb 03, 2011 by Journal of Business Cycle Measurement and Analysis 2010(2)
Authors: Pelagatti, M. and Negri, V.
Subjects: Statistics

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.

Journal of Applied Econometrics 25(5)

Long run relations in European electricity prices


Published: Aug 15, 2010 by Journal of Applied Econometrics 25(5)
Authors: Bosco, B. and Parisio, L. and Pelagatti, M. and Baldi, F.
Subjects: Statistics

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).

Studies in Nonlinear Dynamics and Econometrics 13(1)

Modelling good and bad volatility


Published: Mar 06, 2009 by Studies in Nonlinear Dynamics and Econometrics 13(1)
Authors: Pelagatti, M.
Subjects: Statistics

In this paper we propose a process that allows the simultaneous modelling of skewed conditional returns and different dynamics in their conditional second moments. The main stochastic properties of the model are analyzed and necessary and sufficient conditions for weak and strict stationarity are derived.

International Tinnitus Journal 14(2)

Epidemiology of paroxysmal positioning vertigo: correlation with seasons, [...]


Published: Jul 15, 2008 by International Tinnitus Journal 14(2)
Authors: Mariani, P. and Pelagatti, M. and Hahn, A. and Alpini, D.
Subjects: Biomedical Science, Statistics

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).

PharmacoEconomics Italian Research Articles 10(2)

Effect of age and sex related therapeutic needs on general practices’ [...]


Published: Jul 01, 2008 by PharmacoEconomics Italian Research Articles 10(2)
Authors: G. Favato, P. Mariani, C. F. Print, A. Capone, M. Pelagatti, V. Pieri, A. Marcobelli, E. Tragni, M. G. Trotta, A.
Subjects: Medicine, Statistics

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 distribution of the population and individual clinical needs.

International Advances in Economic Research13(4)

Deregulated Wholesale Electricity Prices in Italy


Published: Jul 26, 2007 by International Advances in Economic Research13(4)
Authors: Bosco, B. and Parisio, L. and Pelagatti, M
Subjects: Engineering - Electrical, Statistics

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.

PLoS ONE 2(7)

ASSET (Age/Sex Standardised Estimates of Treatment): a research model to [...]


Published: Jul 04, 2007 by PLoS ONE 2(7)
Authors: G Favato, P Mariani, R W Mills, A Capone, M Pelagatti, V Pieri, A Marcobelli, M G Trotta, A Zucchi, A L Catapano
Subjects: Medicine, Statistics

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).

Il Nuovo Cimento C 29(2)

Statistical investigation on the relation between car accidents and warm [...]


Published: Mar 15, 2006 by Il Nuovo Cimento C 29(2)
Authors: Pelagatti, M. and Fuà, D. and Galliani, C. and Condemi, V.
Subjects: Physics, Statistics

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 detected in the increase of car accidents.