Details about Paolo Zagaglia

Access statistics for papers by Paolo Zagaglia.

Last updated 2018-05-13. Update your information in the RePEc Author Service.

Short-id: pza65

Working Papers

2014

1. International portfolio allocation with European fixed-income funds: What scope for Italian funds?
   Working Paper series, Rimini Centre for Economic Analysis
   Also in MPRA Paper, University Library of Munich, Germany (2014)

2012

2. Bonds Transaction Services and the Term Structure of Interest Rates: Implications for Equilibrium Determinacy
   Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna
3. Effective Trade Execution
   Papers, arXiv.org View citations (1)
   Also in Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (2012) View citations (1)
   Working Paper series, Rimini Centre for Economic Analysis (2012) View citations (1)
   MPRA Paper, University Library of Munich, Germany (2012) View citations (1)
4. Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
   Working Paper series, Rimini Centre for Economic Analysis View citations (10)
   Also in MPRA Paper, University Library of Munich, Germany (2012) View citations (8)
   Papers, arXiv.org (2012) View citations (9)
   Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (2012) View citations (8)
   See also Journal Article FORECASTING VALUE-AT-RISK WITH TIME-VARYING VARIANCE, SKEWNESS AND KURTOSIS IN AN EXPONENTIAL WEIGHTED MOVING AVERAGE FRAMEWORK, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2015) View citations (5) (2015)
5. Measuring Market Liquidity: An Introductory Survey
   Working Paper series, Rimini Centre for Economic Analysis View citations (10)
   Also in MPRA Paper, University Library of Munich, Germany (2011) View citations (31)
   Papers, arXiv.org (2011) View citations (32)
   Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (2011) View citations (32)
6. Structural Distortions in the Euro Interbank Market: The Role of 'Key Players' during the Recent Market Turmoil
   Working Paper series, Rimini Centre for Economic Analysis
   Also in Papers, arXiv.org (2012)
   Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (2012) View citations (1)
   MPRA Paper, University Library of Munich, Germany (2012) View citations (1)

2011

7. Equilibrium Selection in a Cashless Economy with Transaction Frictions in the Bond Market
   Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna View citations (1)
   Also in MPRA Paper, University Library of Munich, Germany (2011) View citations (1)
   Working Paper series, Rimini Centre for Economic Analysis (2011) View citations (1)
8. Forecasting Long-Term Interest Rates with a Dynamic General Equilibrium Model of the Euro Area: The Role of the Feedback
   Working Paper series, Rimini Centre for Economic Analysis View citations (2)
9. Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method
   Papers, arXiv.org
   Also in Working Paper series, Rimini Centre for Economic Analysis (2011)
   Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (2011)
   MPRA Paper, University Library of Munich, Germany (2011)
10. The Relationship Between Financial Risk Premia and Macroeconomic Volatility: Issues and Perspectives on the Run-Up to the Turmoil
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna
11. Trading Directions and the Pricing of Euro Interbank Deposits in the Long Run
    Working Paper series, Rimini Centre for Economic Analysis View citations (1)
    See also Journal Article Trading directions and the pricing of Euro interbank deposits in the long run, Applied Economics Letters, Taylor & Francis Journals (2012) View citations (1) (2012)

2010

12. A welfare perspective on the fiscal-monetary policy mix: The role of alternative fiscal instruments
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna View citations (2)
    See also Journal Article A welfare perspective on the fiscal–monetary policy mix: The role of alternative fiscal instruments, Journal of Policy Modeling, Elsevier (2011) View citations (9) (2011)
13. Distortionary Tax Instruments and Implementable Monetary Policy
    EcoMod2010, EcoMod
    Also in Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (2009) View citations (1)
    Research Papers in Economics, Stockholm University, Department of Economics (2007) View citations (1)
    See also Journal Article Distortionary tax instruments and implementable monetary policy, International Review of Economics & Finance, Elsevier (2013) View citations (1) (2013)
14. Gold and the U.S. Dollar: Tales from the Turmoil
    Working Paper series, Rimini Centre for Economic Analysis View citations (18)
    Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (1)
    See also Journal Article Gold and the U.S. dollar: tales from the turmoil, Quantitative Finance, Taylor & Francis Journals (2013) View citations (30) (2013)
15. Informed Trading in the Euro Money Market for Term Lending
    Working Paper series, Rimini Centre for Economic Analysis View citations (3)
    Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (3)
16. Lo 'shock' Lehman Brothers: una tempesta dentro la tempesta? L'esperienza degli ETF LYXOR su Euro MTS
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna

2009

17. A Further Look at the 2004 Reform of the Operational Framework of the ECB
    Research Papers in Economics, Stockholm University, Department of Economics
    Also in Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (2009)
18. Forecasting with a DSGE Model of the term Structure of Interest Rates: The Role of the Feedback
    Research Papers in Economics, Stockholm University, Department of Economics View citations (3)
19. Macroeconomic Factors and Oil Futures Prices: A Data-Rich Model
    Research Papers in Economics, Stockholm University, Department of Economics View citations (4)
    See also Journal Article Macroeconomic factors and oil futures prices: A data-rich model, Energy Economics, Elsevier (2010) View citations (51) (2010)
20. Monetary Asset Substitution in the Euro Area
    MPRA Paper, University Library of Munich, Germany
21. Money-Market Segmentation in the Euro Area: What has Changed During the Turmoil?
    Research Papers in Economics, Stockholm University, Department of Economics
22. The Comovements Along the Term Structure of Oil Forwards in Periods of High and Low Volatility: How Tight Are They?
    Research Papers in Economics, Stockholm University, Department of Economics
23. What Drives the Term Structure in the Euro Area? Evidence from a Model with Feedback
    Research Papers in Economics, Stockholm University, Department of Economics View citations (1)

2008

24. A Continuous-Time Model of the Term Structure of Interest Rates with Fiscal-Monetary Policy Interactions
    Research Papers in Economics, Stockholm University, Department of Economics
25. Determinacy of Interest Rate Rules with Bond Transaction Services in a Cashless Economy
    Research Papers in Economics, Stockholm University, Department of Economics View citations (4)
26. The Sources of Volatility Transmission in the Euro Area Money Market: From Longer Maturities to the Overnight?
    Research Papers in Economics, Stockholm University, Department of Economics
    See also Journal Article The sources of volatility transmission in the Euro area money market: from longer maturities to the overnight?, Applied Economics Letters, Taylor & Francis Journals (2010) View citations (1) (2010)

2007

27. Along the Forward Curve for Natural Gas: Unobservable Shocks and Dynamic Correlations
    Research Papers in Economics, Stockholm University, Department of Economics
28. Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets
    Research Papers in Economics, Stockholm University, Department of Economics
29. The Comovements between Futures Markets for Crude Oil: Evidence from a Structural GARCH Model
    Research Papers in Economics, Stockholm University, Department of Economics View citations (5)
30. Volatility forecasting for crude oil futures
    Research Papers in Economics, Stockholm University, Department of Economics View citations (4)
    See also Journal Article Volatility forecasting for crude oil futures, Applied Economics Letters, Taylor & Francis Journals (2010) View citations (18) (2010)

2006

31. Does the Yield Spread Predict the Output Gap in the U.S.?
    Research Papers in Economics, Stockholm University, Department of Economics View citations (4)
32. Monetary Policy and the Term Structure: A Fully Structural DSGE approach
    Computing in Economics and Finance 2006, Society for Computational Economics
33. Optimal Opportunistic Monetary Policy in A New-Keynesian Model
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna View citations (4)
    Also in Research Papers in Economics, Stockholm University, Department of Economics (2006) View citations (3)
34. Optimal Simple Nonlinear Rules for Monetary Policy in a New-Keynesian Model
    Computing in Economics and Finance 2006, Society for Computational Economics
35. The Predictive Power of the Yield Spread under the Veil of Time
    Research Papers in Economics, Stockholm University, Department of Economics View citations (1)

2002

36. Matlab Implementation of the AIM Algorithm: A Beginner's Guide
    Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali View citations (9)
37. On (Sub) Optimal Monetary Policy Rules under Untied Fiscal Hands
    Research Papers in Economics, Stockholm University, Department of Economics View citations (14)
    Also in Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali (2002) View citations (14)
    See also Journal Article On (Sub)Optimal Monetary Policy Rules under Untied Fiscal Hands, Rivista italiana degli economisti, Società editrice il Mulino (2002) View citations (14) (2002)

Journal Articles

2018

1. Macroeconomic Stability in a Model with Bond Transaction Services
   IJFS, 2018, 6, (1), 1-27 View citations (3)

2015

2. Drivers of demand and supply in the Euro interbank market: the role of “Key Players” during the recent turmoil
   Financial Markets and Portfolio Management, 2015, 29, (3), 207-250 View citations (4)
3. FORECASTING VALUE-AT-RISK WITH TIME-VARYING VARIANCE, SKEWNESS AND KURTOSIS IN AN EXPONENTIAL WEIGHTED MOVING AVERAGE FRAMEWORK
   Annals of Financial Economics (AFE), 2015, 10, (01), 1-29 View citations (5)
   See also Working Paper Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework, Working Paper series (2012) View citations (10) (2012)

2014

4. Asymmetric information and term lending in the Euro money market: Evidence from the beginning of the turmoil
   The Quarterly Review of Economics and Finance, 2014, 54, (4), 487-499 View citations (2)

2013

5. Distortionary tax instruments and implementable monetary policy
   International Review of Economics & Finance, 2013, 25, (C), 219-243 View citations (1)
   See also Working Paper Distortionary Tax Instruments and Implementable Monetary Policy, EcoMod2010 (2010) (2010)
6. Forecasting Long-Term Interest Rates with a General-Equilibrium Model of the Euro Area: What Role for Liquidity Services of Bonds?
   Asia-Pacific Financial Markets, 2013, 20, (4), 383-430 View citations (7)
7. Gold and the U.S. dollar: tales from the turmoil
   Quantitative Finance, 2013, 13, (4), 571-582 View citations (30)
   See also Working Paper Gold and the U.S. Dollar: Tales from the Turmoil, Working Paper series (2010) View citations (18) (2010)
8. Hedging Italian Equity Mutual Fund Returns during the Recent Financial Turmoil: A Duration-Dependent Markov-Switching Approach
   Journal of Applied Finance & Banking, 2013, 3, (3), 20
9. The Impact of the 2004 Reform of the Operational Framework of the ECB:Structural GARCH Evidence
   Journal of Finance and Investment Analysis, 2013, 2, (1), 8

2012

10. Measuring and Modelling the Market Liquidity of Stocks: Methods and Issues
    Journal of Finance and Investment Analysis, 2012, 1, (4), 8 View citations (1)
11. Trading directions and the pricing of Euro interbank deposits in the long run
    Applied Economics Letters, 2012, 19, (18), 1827-1839 View citations (1)
    See also Working Paper Trading Directions and the Pricing of Euro Interbank Deposits in the Long Run, Working Paper series (2011) View citations (1) (2011)

2011

12. A welfare perspective on the fiscal–monetary policy mix: The role of alternative fiscal instruments
    Journal of Policy Modeling, 2011, 33, (6), 920-952 View citations (9)
    See also Working Paper A welfare perspective on the fiscal-monetary policy mix: The role of alternative fiscal instruments, Working Papers (2010) View citations (2) (2010)

2010

13. Did the turmoil affect money-market segmentation in the Euro area?
    Applied Economics Letters, 2010, 17, (18), 1783-1788
14. Macroeconomic factors and oil futures prices: A data-rich model
    Energy Economics, 2010, 32, (2), 409-417 View citations (51)
    See also Working Paper Macroeconomic Factors and Oil Futures Prices: A Data-Rich Model, Research Papers in Economics (2009) View citations (4) (2009)
15. The sources of volatility transmission in the Euro area money market: from longer maturities to the overnight?
    Applied Economics Letters, 2010, 17, (9), 865-868 View citations (1)
    See also Working Paper The Sources of Volatility Transmission in the Euro Area Money Market: From Longer Maturities to the Overnight?, Research Papers in Economics (2008) (2008)
16. Volatility forecasting for crude oil futures
    Applied Economics Letters, 2010, 17, (16), 1587-1599 View citations (18)
    See also Working Paper Volatility forecasting for crude oil futures, Research Papers in Economics (2007) View citations (4) (2007)

2009

17. Fractional integration of inflation rates: a note
    Applied Economics Letters, 2009, 16, (11), 1103-1105 View citations (8)
18. Nonlinearity in monetary policy: A reconsideration of the opportunistic approach to disinflation
    Structural Change and Economic Dynamics, 2009, 20, (4), 288-300

2008

19. A note on the conditional correlation between energy prices: Evidence from future markets
    Energy Economics, 2008, 30, (5), 2454-2458 View citations (8)

2007

20. Operational Fiscal and Monetary Policy with Staggered Wage and Price Dynamics
    Finnish Economic Papers, 2007, 20, (2), 121-138

2006

21. How reliable are Taylor rules? A view from asymmetry in the U.S. Fed funds rate
    Economics Bulletin, 2006, 5, (14), 1-11

2005

22. Solving Rational-Expectations Models through the Anderson-Moore Algorithm: An Introduction to the Matlab Implementation
    Computational Economics, 2005, 26, (1), 91-106 View citations (1)

2002

23. On (Sub)Optimal Monetary Policy Rules under Untied Fiscal Hands
    Rivista italiana degli economisti, 2002, (2), 219-248 View citations (14)
    See also Working Paper On (Sub) Optimal Monetary Policy Rules under Untied Fiscal Hands, Research Papers in Economics (2002) View citations (14) (2002)