Unfortunately I don't have specific studies at hand right now. However depression was classified as melancholic and atypical. Melancholic depression is marked by pronounced diurnal mood variation among other things. There was one study that measured negative and positive affect in MDD and healthy controls. It was shown that the mood variation is related to positive affect in MDD.

That pattern inspired a short term treatment for MDD where sleep is limited or completely omitted. That has a very pronounced antidepressant effect in many and can even trigger mania.

Also, I have seen lots of cases among friends and family that show that behaviour.

EDIT: To clarify: This is true in a subset of patients. It is not a necessary condition.