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
Jump to Journal Articles
Working Papers
2014
- International portfolio allocation with European fixed-income funds: What scope for Italian funds?
MPRA Paper, University Library of Munich, Germany 
Also in Working Paper series, Rimini Centre for Economic Analysis (2014)
2012
- Bonds Transaction Services and the Term Structure of Interest Rates: Implications for Equilibrium Determinacy
Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna
- Effective Trade Execution
MPRA Paper, University Library of Munich, Germany View citations (1)
Also in Working Paper series, Rimini Centre for Economic Analysis (2012) View citations (1) Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (2012) View citations (1) Papers, arXiv.org (2012) View citations (1)
- 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 Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (2012) View citations (8) MPRA Paper, University Library of Munich, Germany (2012) View citations (8) Papers, arXiv.org (2012) View citations (9)
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 (4) (2015)
- Measuring Market Liquidity: An Introductory Survey
Working Paper series, Rimini Centre for Economic Analysis View citations (10)
Also in Papers, arXiv.org (2011) View citations (31) Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (2011) View citations (31) MPRA Paper, University Library of Munich, Germany (2011) View citations (30)
- 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 Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (2012) View citations (1) Papers, arXiv.org (2012)  MPRA Paper, University Library of Munich, Germany (2012) View citations (1)
2011
- 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 Working Paper series, Rimini Centre for Economic Analysis (2011) View citations (1) MPRA Paper, University Library of Munich, Germany (2011) View citations (1)
- 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)
- 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)  MPRA Paper, University Library of Munich, Germany (2011)  Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (2011)
- 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
- 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
- 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)
- Distortionary Tax Instruments and Implementable Monetary Policy
EcoMod2010, EcoMod 
Also in Research Papers in Economics, Stockholm University, Department of Economics (2007) View citations (1) Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (2009) 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)
- 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)
- 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)
- 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
- 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)
- 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)
- 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 (49) (2010)
- Monetary Asset Substitution in the Euro Area
MPRA Paper, University Library of Munich, Germany
- Money-Market Segmentation in the Euro Area: What has Changed During the Turmoil?
Research Papers in Economics, Stockholm University, Department of Economics
- 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
- 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
- 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
- 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)
- 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
- Along the Forward Curve for Natural Gas: Unobservable Shocks and Dynamic Correlations
Research Papers in Economics, Stockholm University, Department of Economics
- Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets
Research Papers in Economics, Stockholm University, Department of Economics
- 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)
- 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
- Does the Yield Spread Predict the Output Gap in the U.S.?
Research Papers in Economics, Stockholm University, Department of Economics View citations (4)
- Monetary Policy and the Term Structure: A Fully Structural DSGE approach
Computing in Economics and Finance 2006, Society for Computational Economics
- 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)
- Optimal Simple Nonlinear Rules for Monetary Policy in a New-Keynesian Model
Computing in Economics and Finance 2006, Society for Computational Economics
- 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
- 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)
- 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
- Macroeconomic Stability in a Model with Bond Transaction Services
IJFS, 2018, 6, (1), 1-27 View citations (3)
2015
- 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)
- 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 (4)
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
- 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
- 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)
- 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)
- 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)
- 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
- 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
- Measuring and Modelling the Market Liquidity of Stocks: Methods and Issues
Journal of Finance and Investment Analysis, 2012, 1, (4), 8 View citations (1)
- 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
- 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
- Did the turmoil affect money-market segmentation in the Euro area?
Applied Economics Letters, 2010, 17, (18), 1783-1788
- Macroeconomic factors and oil futures prices: A data-rich model
Energy Economics, 2010, 32, (2), 409-417 View citations (49)
See also Working Paper Macroeconomic Factors and Oil Futures Prices: A Data-Rich Model, Research Papers in Economics (2009) View citations (4) (2009)
- 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)
- 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
- Fractional integration of inflation rates: a note
Applied Economics Letters, 2009, 16, (11), 1103-1105 View citations (8)
- Nonlinearity in monetary policy: A reconsideration of the opportunistic approach to disinflation
Structural Change and Economic Dynamics, 2009, 20, (4), 288-300
2008
- A note on the conditional correlation between energy prices: Evidence from future markets
Energy Economics, 2008, 30, (5), 2454-2458 View citations (8)
2007
- Operational Fiscal and Monetary Policy with Staggered Wage and Price Dynamics
Finnish Economic Papers, 2007, 20, (2), 121-138
2006
- How reliable are Taylor rules? A view from asymmetry in the U.S. Fed funds rate
Economics Bulletin, 2006, 5, (14), 1-11
2005
- 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
- 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)
|
The links between different versions of a paper are constructed automatically by matching on the titles.
Please contact if a link is incorrect.
Use this form
to add links between versions where the titles do not match.
|