7
H index
4
i10 index
192
Citations
Paolo Zagaglia : Citation Profile
Rimini Centre for Economic Analysis (RCEA) (50% share) | RESEARCH PRODUCTION: 24 Articles 66 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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16 years (2002 - 2018). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Paolo Zagaglia. | Is cited by:
| Cites to:
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Main data
Where Paolo Zagaglia has published?
| Journals with more than one article published | # docs |
|---|---|
| Applied Economics Letters | 5 |
| Journal of Finance and Investment Analysis | 2 |
| Energy Economics | 2 |
Recent works citing Paolo Zagaglia (2021 and 2020)
| Year | Title of citing document |
|---|---|
| 2020 | A constraint-based notion of illiquidity. (2020). Teichmann, Josef ; Krabichler, Thomas. In: Papers. RePEc:arx:papers:2004.12394. Full description at Econpapers || Download paper |
| 2020 | Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries. (2020). Broto, Carmen ; Lamas, Matias. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:217-229. Full description at Econpapers || Download paper |
| 2020 | The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559. Full description at Econpapers || Download paper |
| 2020 | Nonlinear dynamics of gold and the dollar. (2020). Yu, Jishuang ; Guo, Yongxiu ; He, Qing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300577. Full description at Econpapers || Download paper |
| 2020 | A multi-granularity heterogeneous combination approach to crude oil price forecasting. (2020). Zhou, Hao ; Wang, Jue ; Li, Xiang ; Hong, Tao. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320301304. Full description at Econpapers || Download paper |
| 2020 | Liquidity, implied volatility and tail risk: A comparison of liquidity measures. (2020). Righi, Marcelo Brutti ; Ramos, Henrique Pinto. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301071. Full description at Econpapers || Download paper |
| 2020 | Forecasting realized gold volatility: Is there a role of geopolitical risks?. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s154461231930529x. Full description at Econpapers || Download paper |
| 2020 | Regime dependent effects and cyclical volatility spillover between crude oil price movements and stock returns. (2020). Onwuka, Kevin O ; Urom, Christian ; Yuni, Denis N ; Uma, Kalu E. In: International Economics. RePEc:eee:inteco:v:161:y:2020:i:c:p:10-29. Full description at Econpapers || Download paper |
| 2020 | Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin. (2020). , Walid. In: Journal of Economics and Business. RePEc:eee:jebusi:v:108:y:2020:i:c:s0148619519302206. Full description at Econpapers || Download paper |
| 2020 | An evaluation of alternative fiscal adjustment plans: The case of Italy. (2020). Di Bartolomeo, Giovanni ; Acocella, Nicola ; Felici, Francesco ; di Pietro, Marco ; Beqiraj, Elton. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:42:y:2020:i:3:p:699-711. Full description at Econpapers || Download paper |
| 2020 | Hedging and safe-haven characteristics of Gold against currencies: An investigation based on multivariate dynamic copula theory. (2020). Guesmi, Khaled ; Chevallier, Julien ; Majdoub, Najemeddine ; Bedoui, Rihab ; Nguyen, Quynh Nga. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420719304921. Full description at Econpapers || Download paper |
| 2021 | Markets as networks evolving step by step: Relational Event Models for the interbank market. (2021). Vu, Duy Q ; Zappa, Paola . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:565:y:2021:i:c:s0378437120308554. Full description at Econpapers || Download paper |
| 2020 | Forecasting Oil Price by Hierarchical Shrinkage in Dynamic Parameter Models. (2020). Wei, YU ; Liu, Yuntong. In: Discrete Dynamics in Nature and Society. RePEc:hin:jnddns:6640180. Full description at Econpapers || Download paper |
| 2020 | Liquidity Constraints for Portfolio Selection Based on Financial Volume. (2020). Filomena, Tiago Pascoal ; Fernandes, Eduardo Bered. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:4:d:10.1007_s10614-019-09957-0. Full description at Econpapers || Download paper |
| 2020 | The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets. (2020). Rafiq, Shuddhasattwa ; Gomis-Porqueras, Pedro ; Yao, Wenying. In: MPRA Paper. RePEc:pra:mprapa:102781. Full description at Econpapers || Download paper |
| 2020 | Gold as a Financial Instrument. (2020). Gomis-Porqueras, Pedro ; Tan, David ; Shi, Shuping. In: MPRA Paper. RePEc:pra:mprapa:102782. Full description at Econpapers || Download paper |
| 2020 | Does Trading Volume explain the Information Flow of Crude Palm Oil Futures Returns?. (2020). Lau, Wee-Yeap ; Go, You-How. In: The Review of Finance and Banking. RePEc:rfb:journl:v:12:y:2020:i:2:p:115-136. Full description at Econpapers || Download paper |
| 2020 | The role of temporal dependence in factor selection and forecasting oil prices. (2020). Mjelde, James W ; Pourahmadi, Mohsen ; Binder, Kyle E. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:3:d:10.1007_s00181-018-1574-9. Full description at Econpapers || Download paper |
| 2020 | Nonlinear dynamics of gold and the dollar. (2020). Yu, Jishuang ; Guo, Yongxiu ; He, Qing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300577. Full description at Econpapers || Download paper |
| 2020 | Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin. (2020). , Walid. In: Journal of Economics and Business. RePEc:eee:jebusi:v:108:y:2020:i:c:s0148619519302206. Full description at Econpapers || Download paper |
Works by Paolo Zagaglia:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2002 | On (Sub)Optimal Monetary Policy Rules under Untied Fiscal Hands In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2002 | On (Sub) Optimal Monetary Policy Rules under Untied Fiscal Hands.(2002) In: Research Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2002 | On (Sub)Optimal Monetary Policy Rules under Untied Fiscal Hands.(2002) In: Rivista italiana degli economisti. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
| 2002 | Matlab Implementation of the AIM Algorithm: A Beginners Guide In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 2011 | Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2011 | Optimal trading execution with nonlinear market impact: an alternative solution method.(2011) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2011 | Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method.(2011) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2011 | Measuring market liquidity: An introductory survey In: Papers. [Full Text][Citation analysis] | paper | 25 |
| 2011 | Measuring market liquidity: An introductory survey.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | paper | |
| 2011 | Measuring market liquidity: an introductory survey.(2011) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | paper | |
| 2012 | Measuring Market Liquidity: An Introductory Survey.(2012) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | paper | |
| 2012 | Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework In: Papers. [Full Text][Citation analysis] | paper | 8 |
| 2012 | Forecasting Value-at-Risk with Time-Varying Variance, Skewnessn and Kurtosis in an Exponential Weighted Moving Average Framework.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2012 | Forecasting Value-at-Risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework.(2012) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2012 | Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework.(2012) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2015 | FORECASTING VALUE-AT-RISK WITH TIME-VARYING VARIANCE, SKEWNESS AND KURTOSIS IN AN EXPONENTIAL WEIGHTED MOVING AVERAGE FRAMEWORK.(2015) In: Annals of Financial Economics (AFE). [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
| 2012 | Effective Trade Execution In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Effective Trade Execution.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2012 | Effective Trade Execution.(2012) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2012 | Effective Trade Execution.(2012) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2012 | Structural distortions in the Euro interbank market: The role of key players during the recent market turmoil In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2012 | Structural distortions in the Euro interbank market: The role of ‘key players’ during the recent market turmoil.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2012 | Structural distortions in the Euro interbank market: the role of key players during the recent market turmoil.(2012) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2012 | Structural Distortions in the Euro Interbank Market: The Role of Key Players during the Recent Market Turmoil.(2012) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2008 | Money-market segmentation in the euro area : what has changed during the turmoil? In: Research Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2009 | Money-Market Segmentation in the Euro Area: What has Changed During the Turmoil?.(2009) In: Research Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2008 | Determinacy of interest rate rules with bond transaction services in a cashless economy In: Research Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Determinacy of Interest Rate Rules with Bond Transaction Services in a Cashless Economy.(2008) In: Research Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2008 | A continuous-time model of the term structure of interest rates with fiscal-monetary policy interactions In: Research Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | A Continuous-Time Model of the Term Structure of Interest Rates with Fiscal-Monetary Policy Interactions.(2008) In: Research Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2008 | The co-movements along the forward curve of natural gas futures : a structural view In: Research Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2006 | Optimal Opportunistic Monetary Policy in A New-Keynesian Model In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2006 | Optimal Opportunistic Monetary Policy in a New-Keynesian Model.(2006) In: Research Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2009 | A further look at the 2004 reform of the operational framework of the ECB In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | A Further Look at the 2004 Reform of the Operational Framework of the ECB.(2009) In: Research Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2009 | Distortionary tax instruments and implementable monetary policy In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Distortionary tax instruments and implementable monetary policy.(2013) In: International Review of Economics & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2010 | Distortionary Tax Instruments and Implementable Monetary Policy.(2010) In: EcoMod2010. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2007 | Distortionary Tax Instruments and Implementable Monetary Policy.(2007) In: Research Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2010 | Lo shock Lehman Brothers: una tempesta dentro la tempesta? Lesperienza degli ETF LYXOR su Euro MTS In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | A welfare perspective on the fiscal-monetary policy mix: The role of alternative fiscal instruments In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 2011 | A welfare perspective on the fiscal–monetary policy mix: The role of alternative fiscal instruments.(2011) In: Journal of Policy Modeling. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
| 2011 | The Relationship Between Financial Risk Premia and Macroeconomic Volatility: Issues and Perspectives on the Run-Up to the Turmoil In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Equilibrium Selection in a Cashless Economy with Transaction Frictions in the Bond Market In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2011 | Equilibrium selection in a cashless economy with transaction frictions in the bond market.(2011) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2011 | Equilibrium Selection in a Cashless Economy with Transaction Frictions in the Bond Market.(2011) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2012 | Bonds Transaction Services and the Term Structure of Interest Rates: Implications for Equilibrium Determinacy In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | How reliable are Taylor rules? A view from asymmetry in the U.S. Fed funds rate In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2008 | A note on the conditional correlation between energy prices: Evidence from future markets In: Energy Economics. [Full Text][Citation analysis] | article | 6 |
| 2010 | Macroeconomic factors and oil futures prices: A data-rich model In: Energy Economics. [Full Text][Citation analysis] | article | 35 |
| 2009 | Macroeconomic Factors and Oil Futures Prices: A Data-Rich Model.(2009) In: Research Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 35 | paper | |
| 2014 | Asymmetric information and term lending in the Euro money market: Evidence from the beginning of the turmoil In: The Quarterly Review of Economics and Finance. [Full Text][Citation analysis] | article | 1 |
| 2009 | Nonlinearity in monetary policy: A reconsideration of the opportunistic approach to disinflation In: Structural Change and Economic Dynamics. [Full Text][Citation analysis] | article | 0 |
| 2017 | International diversification for portfolios of European fixed-income mutual funds: The case of core EMU countries In: Managerial Finance. [Full Text][Citation analysis] | article | 1 |
| 2007 | Operational Fiscal and Monetary Policy with Staggered Wage and Price Dynamics In: Finnish Economic Papers. [Full Text][Citation analysis] | article | 0 |
| 2018 | Macroeconomic Stability in a Model with Bond Transaction Services In: International Journal of Financial Studies. [Full Text][Citation analysis] | article | 2 |
| 2006 | The Predictive Power of the Yield Spread under the Veil of Time In: Research Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
| 2006 | Does the Yield Spread Predict the Output Gap in the U.S.? In: Research Papers in Economics. [Full Text][Citation analysis] | paper | 3 |
| 2007 | Volatility forecasting for crude oil futures In: Research Papers in Economics. [Full Text][Citation analysis] | paper | 20 |
| 2010 | Volatility forecasting for crude oil futures.(2010) In: Applied Economics Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | article | |
| 2007 | Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets In: Research Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
| 2007 | The Comovements between Futures Markets for Crude Oil: Evidence from a Structural GARCH Model In: Research Papers in Economics. [Full Text][Citation analysis] | paper | 3 |
| 2007 | Along the Forward Curve for Natural Gas: Unobservable Shocks and Dynamic Correlations In: Research Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
| 2008 | The Sources of Volatility Transmission in the Euro Area Money Market: From Longer Maturities to the Overnight? In: Research Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
| 2010 | The sources of volatility transmission in the Euro area money market: from longer maturities to the overnight?.(2010) In: Applied Economics Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2009 | The Comovements Along the Term Structure of Oil Forwards in Periods of High and Low Volatility: How Tight Are They? In: Research Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
| 2009 | What Drives the Term Structure in the Euro Area? Evidence from a Model with Feedback In: Research Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
| 2009 | Forecasting with a DSGE Model of the term Structure of Interest Rates: The Role of the Feedback In: Research Papers in Economics. [Full Text][Citation analysis] | paper | 3 |
| 2013 | Forecasting Long-Term Interest Rates with a General-Equilibrium Model of the Euro Area: What Role for Liquidity Services of Bonds? In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 3 |
| 2005 | Solving Rational-Expectations Models through the Anderson-Moore Algorithm: An Introduction to the Matlab Implementation In: Computational Economics. [Full Text][Citation analysis] | article | 1 |
| 2015 | Drivers of demand and supply in the Euro interbank market: the role of “Key Players” during the recent turmoil In: Financial Markets and Portfolio Management. [Full Text][Citation analysis] | article | 3 |
| 2009 | Monetary Asset Substitution in the Euro Area In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Informed trading in the Euro money market for term lending In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Informed Trading in the Euro Money Market for Term Lending.(2010) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2010 | Gold and the U.S. Dollar: Tales from the turmoil In: MPRA Paper. [Full Text][Citation analysis] | paper | 36 |
| 2010 | Gold and the U.S. Dollar: Tales from the Turmoil.(2010) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
| 2013 | Gold and the U.S. dollar: tales from the turmoil.(2013) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | article | |
| 2014 | International portfolio allocation with European fixed-income funds: What scope for Italian funds? In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2014 | International portfolio allocation with European fixed-income funds: What scope for Italian funds?.(2014) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2011 | Forecasting Long-Term Interest Rates with a Dynamic General Equilibrium Model of the Euro Area: The Role of the Feedback In: Working Paper series. [Full Text][Citation analysis] | paper | 2 |
| 2011 | Trading Directions and the Pricing of Euro Interbank Deposits in the Long Run In: Working Paper series. [Full Text][Citation analysis] | paper | 1 |
| 2012 | Trading directions and the pricing of Euro interbank deposits in the long run.(2012) In: Applied Economics Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2006 | Monetary Policy and the Term Structure: A Fully Structural DSGE approach In: Computing in Economics and Finance 2006. [Citation analysis] | paper | 0 |
| 2006 | Optimal Simple Nonlinear Rules for Monetary Policy in a New-Keynesian Model In: Computing in Economics and Finance 2006. [Citation analysis] | paper | 0 |
| 2013 | Hedging Italian Equity Mutual Fund Returns during the Recent Financial Turmoil: A Duration-Dependent Markov-Switching Approach In: Journal of Applied Finance & Banking. [Full Text][Citation analysis] | article | 0 |
| 2012 | Measuring and Modelling the Market Liquidity of Stocks: Methods and Issues In: Journal of Finance and Investment Analysis. [Full Text][Citation analysis] | article | 0 |
| 2013 | The Impact of the 2004 Reform of the Operational Framework of the ECB:Structural GARCH Evidence In: Journal of Finance and Investment Analysis. [Full Text][Citation analysis] | article | 0 |
| 2009 | Fractional integration of inflation rates: a note In: Applied Economics Letters. [Full Text][Citation analysis] | article | 5 |
| 2010 | Did the turmoil affect money-market segmentation in the Euro area? In: Applied Economics Letters. [Full Text][Citation analysis] | article | 0 |
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