Paolo Zagaglia : Citation Profile

Are you Paolo Zagaglia?

Rimini Centre for Economic Analysis (RCEA) (50% share)

7

H index

4

i10 index

157

Citations

RESEARCH PRODUCTION:

24

Articles

66

Papers

RESEARCH ACTIVITY:

   16 years (2002 - 2018). See details.
   Cites by year: 9
   Journals where Paolo Zagaglia has often published
   Relations with other researchers
   Recent citing documents: 34.    Total self citations: 12 (7.1 %)

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   Permalink: http://citec.repec.org/pza65
   Updated: 2019-10-06    RAS profile: 2018-05-13    
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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:

Pierdzioch, Christian (8)

CAPELLE-BLANCARD, Gunther (6)

Muscatelli, Vito (6)

GUPTA, RANGAN (6)

Tirelli, Patrizio (6)

Havrylchyk, Olena (5)

Reboredo, Juan (4)

Aloui, Chaker (4)

Trecroci, Carmine (4)

Chevallier, Julien (4)

Balcilar, Mehmet (3)

Cites to:

Rudebusch, Glenn (19)

Diebold, Francis (16)

Wieland, Volker (16)

Uribe, Martín (15)

Schmitt-Grohe, Stephanie (15)

Kim, Jinill (13)

Leeper, Eric (11)

Durré, Alain (11)

Piazzesi, Monika (10)

Woodford, Michael (10)

Coenen, Günter (10)

Main data

Where Paolo Zagaglia has published?

Journals with more than one article published# docs
Applied Economics Letters5
Journal of Finance and Investment Analysis2
Energy Economics2

Working Papers Series with more than one paper published# docs
Working Papers / Dipartimento Scienze Economiche, Universita' di Bologna13
Working Paper series / Rimini Centre for Economic Analysis11
MPRA Paper / University Library of Munich, Germany10
Papers / arXiv.org5
Working Papers / Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali2
Computing in Economics and Finance 2006 / Society for Computational Economics2

Recent works citing Paolo Zagaglia (2018 and 2017)

YearTitle of citing document
2017Managing Energy Price Risk using Futures Contracts: A Comparative Analysis. (2017). Hanly, Jim. In: The Energy Journal. RePEc:aen:journl:ej38-3-hanly.

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2018Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence. (2018). Filis, George ; Degiannakis, Stavros ; Arora, Vipin. In: The Energy Journal. RePEc:aen:journl:ej39-5-filis.

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2019calculation worst-case Value-at-Risk prediction using empirical data under model uncertainty. (2019). Hu, Wentao. In: Papers. RePEc:arx:papers:1908.00982.

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2017Volatility Modelling and Parametric Value-At-Risk Forecast Accuracy: Evidence from Metal Products. (2017). Mabrouk, Samir. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:63-80.

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2018Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?. (2018). Rottmann, Horst ; Auer, Benjamin R. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7204.

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2017A note on how to enhance liquidity in emerging markets by levering on trading participants. (2017). Alderighi, Stefano. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00648.

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2018A Regression Analysis of Determinants Affecting Crude Oil Price. (2018). Dawod, Wajdi Hamza. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-04-14.

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2017The bank lending channel of monetary policy in EU countries during the global financial crisis. (2017). Tzeremes, Panayiotis ; Heryan, Tomas. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:10-22.

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2018Forecasting the prices of crude oil using the predictor, economic and combined constraints. (2018). Yi, Yongsheng ; Huang, Dengshi ; Zhang, Yaojie ; Ma, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:237-245.

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2017Comparison of data-rich and small-scale data time series models generating probabilistic forecasts: An application to U.S. natural gas gross withdrawals. (2017). Duangnate, Kannika ; Mjelde, James W. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:411-423.

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2017Can investor attention predict oil prices?. (2017). Yin, Libo ; Han, Liyan ; Lv, Qiuna. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:547-558.

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2017A deep learning ensemble approach for crude oil price forecasting. (2017). Zhao, Yang ; Yu, Lean ; Li, Jianping. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:9-16.

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2017Forecasting crude-oil market volatility: Further evidence with jumps. (2017). Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:508-519.

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2018Investor sentiment and the price of oil. (2018). Qadan, Mahmoud ; Nama, Hazar. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:42-58.

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2018Comparison between Bayesian and information-theoretic model averaging: Fossil fuels prices example. (2018). Drachal, Krzysztof. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:208-251.

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2017Effects of changes in stock index compositions: A literature survey. (2017). Afego, Pyemo. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:228-239.

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2019Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?. (2019). Rottmann, Horst ; Auer, Benjamin R. In: Journal of Economics and Business. RePEc:eee:jebusi:v:103:y:2019:i:c:p:61-79.

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2017Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration. (2017). Miller, Stephen ; Canarella, Giorgio. In: Journal of Economics and Business. RePEc:eee:jebusi:v:92:y:2017:i:c:p:45-62.

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2018Does gold act as a safe haven against exchange rate fluctuations? The case of Pakistan rupee. (2018). Qureshi, Saba. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:40:y:2018:i:4:p:685-708.

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2017Dynamics of crude oil and gold price post 2008 global financial crisis – New evidence from threshold vector error-correction model. (2017). Kanjilal, Kakali ; Ghosh, Sajal . In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:358-365.

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2017Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach. (2017). Wohar, Mark ; Pierdzioch, Christian ; GUPTA, RANGAN ; Majumdar, Anandamayee. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:65:y:2017:i:c:p:276-284.

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2019Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?. (2019). He, Ling-Yun ; Ripple, Ronald ; Yao, Ting ; Zhang, Yue-Jun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:302-317.

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2017Stock liquidity and SMEs’ likelihood of bankruptcy: Evidence from the US market. (2017). Hudson, Robert ; el Kalak, Izidin ; Karim, Mohamad Abd ; Azevedo, Alcino. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1383-1393.

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2018Determining Time-Varying Drivers of Spot Oil Price in a Dynamic Model Averaging Framework. (2018). Drachal, Krzysztof. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:5:p:1207-:d:145404.

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2019The Predictive Power of the User Cost Spread for Economic Recession in China and the US. (2019). Tang, Biyan ; Mattson, Ryan S ; Chang, Dongfeng. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:7:y:2019:i:2:p:34-:d:240702.

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2019A Divisia User Cost Interpretation of the Yield Spread Recession Prediction. (2019). Mattson, Ryan. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:7-:d:195284.

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2017How does the underlying affect the risk-return profiles of structured products?. (2017). Cao, JI. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:31:y:2017:i:1:d:10.1007_s11408-016-0281-9.

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2017On exchange-rate movements and gold-price fluctuations: evidence for gold-producing countries from a nonparametric causality-in-quantiles test. (2017). Pierdzioch, Christian ; GUPTA, RANGAN ; Balcilar, Mehmet. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:14:y:2017:i:4:d:10.1007_s10368-016-0357-z.

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2019Forecasting Realized Gold Volatility: Is there a Role of Geopolitical Risks?. (2019). GUPTA, RANGAN ; Pierdzioch, Christian ; Gkillas, Konstantinos. In: Working Papers. RePEc:pre:wpaper:201943.

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2018Projecting impacts of carbon dioxide emission reductions in the US electric power sector: evidence from a data-rich approach. (2018). Binder, Kyle E ; Mjelde, James W. In: Climatic Change. RePEc:spr:climat:v:151:y:2018:i:2:d:10.1007_s10584-018-2297-9.

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2017On the influence of US monetary policy on crude oil price volatility. (2017). Scognamillo, Antonio ; Amendola, Alessandra ; Candila, Vincenzo. In: Empirical Economics. RePEc:spr:empeco:v:52:y:2017:i:1:d:10.1007_s00181-016-1069-5.

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2018A structural approach to identify financial transmission in distinguished scenarios of crises. (2018). Herwartz, Helmut ; Roestel, Jan. In: Economics Working Papers. RePEc:zbw:cauewp:201808.

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2018Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?. (2018). Rottmann, Horst ; Auer, Benjamin R. In: Weidener Diskussionspapiere. RePEc:zbw:hawdps:64.

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2018Bank credit supply and firm innovation. (2018). Kraft, Kornelius ; Giebel, Marek. In: ZEW Discussion Papers. RePEc:zbw:zewdip:18011.

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Works by Paolo Zagaglia:

YearTitleTypeCited
2002On (Sub)Optimal Monetary Policy Rules under Untied Fiscal Hands In: Working Papers.
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2002On (Sub) Optimal Monetary Policy Rules under Untied Fiscal Hands.(2002) In: Research Papers in Economics.
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2002On (Sub)Optimal Monetary Policy Rules under Untied Fiscal Hands.(2002) In: Rivista italiana degli economisti.
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2002Matlab Implementation of the AIM Algorithm: A Beginners Guide In: Working Papers.
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2011Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method In: Papers.
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2011Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method.(2011) In: Working Papers.
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2011Optimal trading execution with nonlinear market impact: an alternative solution method.(2011) In: MPRA Paper.
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2011Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method.(2011) In: Working Paper series.
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2011Measuring market liquidity: An introductory survey In: Papers.
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2011Measuring market liquidity: an introductory survey.(2011) In: MPRA Paper.
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2012Measuring Market Liquidity: An Introductory Survey.(2012) In: Working Paper series.
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2011Measuring market liquidity: An introductory survey.(2011) In: Working Papers.
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2012Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework In: Papers.
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2012Forecasting Value-at-Risk with Time-Varying Variance, Skewnessn and Kurtosis in an Exponential Weighted Moving Average Framework.(2012) In: Working Papers.
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2012Forecasting Value-at-Risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework.(2012) In: MPRA Paper.
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2012Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework.(2012) In: Working Paper series.
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2015FORECASTING VALUE-AT-RISK WITH TIME-VARYING VARIANCE, SKEWNESS AND KURTOSIS IN AN EXPONENTIAL WEIGHTED MOVING AVERAGE FRAMEWORK.(2015) In: Annals of Financial Economics (AFE).
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2012Effective Trade Execution In: Papers.
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2012Effective Trade Execution.(2012) In: Working Papers.
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2012Effective Trade Execution.(2012) In: MPRA Paper.
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2012Effective Trade Execution.(2012) In: Working Paper series.
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2012Structural distortions in the Euro interbank market: The role of key players during the recent market turmoil In: Papers.
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2012Structural distortions in the Euro interbank market: The role of ‘key players’ during the recent market turmoil.(2012) In: Working Papers.
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2012Structural distortions in the Euro interbank market: the role of key players during the recent market turmoil.(2012) In: MPRA Paper.
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2012Structural Distortions in the Euro Interbank Market: The Role of Key Players during the Recent Market Turmoil.(2012) In: Working Paper series.
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2008Money-market segmentation in the euro area : what has changed during the turmoil? In: Research Discussion Papers.
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2009Money-Market Segmentation in the Euro Area: What has Changed During the Turmoil?.(2009) In: Research Papers in Economics.
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2008Determinacy of interest rate rules with bond transaction services in a cashless economy In: Research Discussion Papers.
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2008Determinacy of Interest Rate Rules with Bond Transaction Services in a Cashless Economy.(2008) In: Research Papers in Economics.
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2008A continuous-time model of the term structure of interest rates with fiscal-monetary policy interactions In: Research Discussion Papers.
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2008A Continuous-Time Model of the Term Structure of Interest Rates with Fiscal-Monetary Policy Interactions.(2008) In: Research Papers in Economics.
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2008The co-movements along the forward curve of natural gas futures : a structural view In: Research Discussion Papers.
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2006Optimal Opportunistic Monetary Policy in A New-Keynesian Model In: Working Papers.
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2006Optimal Opportunistic Monetary Policy in a New-Keynesian Model.(2006) In: Research Papers in Economics.
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2009A further look at the 2004 reform of the operational framework of the ECB In: Working Papers.
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2009A Further Look at the 2004 Reform of the Operational Framework of the ECB.(2009) In: Research Papers in Economics.
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2009Distortionary tax instruments and implementable monetary policy In: Working Papers.
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2013Distortionary tax instruments and implementable monetary policy.(2013) In: International Review of Economics & Finance.
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2002Distortionary Tax Instruments and Implementable Monetary Policy.(2002) In: EcoMod2010.
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2007Distortionary Tax Instruments and Implementable Monetary Policy.(2007) In: Research Papers in Economics.
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2010Lo shock Lehman Brothers: una tempesta dentro la tempesta? Lesperienza degli ETF LYXOR su Euro MTS In: Working Papers.
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2010A welfare perspective on the fiscal-monetary policy mix: The role of alternative fiscal instruments In: Working Papers.
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2011A welfare perspective on the fiscal–monetary policy mix: The role of alternative fiscal instruments.(2011) In: Journal of Policy Modeling.
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2011The Relationship Between Financial Risk Premia and Macroeconomic Volatility: Issues and Perspectives on the Run-Up to the Turmoil In: Working Papers.
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2011Equilibrium Selection in a Cashless Economy with Transaction Frictions in the Bond Market In: Working Papers.
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2011Equilibrium selection in a cashless economy with transaction frictions in the bond market.(2011) In: MPRA Paper.
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2011Equilibrium Selection in a Cashless Economy with Transaction Frictions in the Bond Market.(2011) In: Working Paper series.
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2012Bonds Transaction Services and the Term Structure of Interest Rates: Implications for Equilibrium Determinacy In: Working Papers.
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2006How reliable are Taylor rules? A view from asymmetry in the U.S. Fed funds rate In: Economics Bulletin.
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2008A note on the conditional correlation between energy prices: Evidence from future markets In: Energy Economics.
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2010Macroeconomic factors and oil futures prices: A data-rich model In: Energy Economics.
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2009Macroeconomic Factors and Oil Futures Prices: A Data-Rich Model.(2009) In: Research Papers in Economics.
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2014Asymmetric information and term lending in the Euro money market: Evidence from the beginning of the turmoil In: The Quarterly Review of Economics and Finance.
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2009Nonlinearity in monetary policy: A reconsideration of the opportunistic approach to disinflation In: Structural Change and Economic Dynamics.
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2017International diversification for portfolios of European fixed-income mutual funds: The case of core EMU countries In: Managerial Finance.
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2007Operational Fiscal and Monetary Policy with Staggered Wage and Price Dynamics In: Finnish Economic Papers.
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2018Macroeconomic Stability in a Model with Bond Transaction Services In: International Journal of Financial Studies.
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2006The Predictive Power of the Yield Spread under the Veil of Time In: Research Papers in Economics.
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2006Does the Yield Spread Predict the Output Gap in the U.S.? In: Research Papers in Economics.
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2007Volatility forecasting for crude oil futures In: Research Papers in Economics.
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2010Volatility forecasting for crude oil futures.(2010) In: Applied Economics Letters.
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2007Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets In: Research Papers in Economics.
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2007The Comovements between Futures Markets for Crude Oil: Evidence from a Structural GARCH Model In: Research Papers in Economics.
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2007Along the Forward Curve for Natural Gas: Unobservable Shocks and Dynamic Correlations In: Research Papers in Economics.
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2008The Sources of Volatility Transmission in the Euro Area Money Market: From Longer Maturities to the Overnight? In: Research Papers in Economics.
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2010The sources of volatility transmission in the Euro area money market: from longer maturities to the overnight?.(2010) In: Applied Economics Letters.
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2009The Comovements Along the Term Structure of Oil Forwards in Periods of High and Low Volatility: How Tight Are They? In: Research Papers in Economics.
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2009What Drives the Term Structure in the Euro Area? Evidence from a Model with Feedback In: Research Papers in Economics.
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2009Forecasting with a DSGE Model of the term Structure of Interest Rates: The Role of the Feedback In: Research Papers in Economics.
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2013Forecasting 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.
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2005Solving Rational-Expectations Models through the Anderson-Moore Algorithm: An Introduction to the Matlab Implementation In: Computational Economics.
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2015Drivers of demand and supply in the Euro interbank market: the role of “Key Players” during the recent turmoil In: Financial Markets and Portfolio Management.
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2009Monetary Asset Substitution in the Euro Area In: MPRA Paper.
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2010Informed trading in the Euro money market for term lending In: MPRA Paper.
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2010Informed Trading in the Euro Money Market for Term Lending.(2010) In: Working Paper series.
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2010Gold and the U.S. Dollar: Tales from the turmoil In: MPRA Paper.
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2010Gold and the U.S. Dollar: Tales from the Turmoil.(2010) In: Working Paper series.
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2013Gold and the U.S. dollar: tales from the turmoil.(2013) In: Quantitative Finance.
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2014International portfolio allocation with European fixed-income funds: What scope for Italian funds? In: MPRA Paper.
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2014International portfolio allocation with European fixed-income funds: What scope for Italian funds?.(2014) In: Working Paper series.
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2011Forecasting Long-Term Interest Rates with a Dynamic General Equilibrium Model of the Euro Area: The Role of the Feedback In: Working Paper series.
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2011Trading Directions and the Pricing of Euro Interbank Deposits in the Long Run In: Working Paper series.
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2012Trading directions and the pricing of Euro interbank deposits in the long run.(2012) In: Applied Economics Letters.
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2006Monetary Policy and the Term Structure: A Fully Structural DSGE approach In: Computing in Economics and Finance 2006.
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2006Optimal Simple Nonlinear Rules for Monetary Policy in a New-Keynesian Model In: Computing in Economics and Finance 2006.
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2013Hedging Italian Equity Mutual Fund Returns during the Recent Financial Turmoil: A Duration-Dependent Markov-Switching Approach In: Journal of Applied Finance & Banking.
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2012Measuring and Modelling the Market Liquidity of Stocks: Methods and Issues In: Journal of Finance and Investment Analysis.
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2013The Impact of the 2004 Reform of the Operational Framework of the ECB:Structural GARCH Evidence In: Journal of Finance and Investment Analysis.
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2009Fractional integration of inflation rates: a note In: Applied Economics Letters.
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2010Did the turmoil affect money-market segmentation in the Euro area? In: Applied Economics Letters.
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