Paolo Zagaglia

University of Bologna

Via degli Ariani 1

Ravenna, 48121

Italy

Rimini Centre for Economic Analysis

Rimini

Italy

SCHOLARLY PAPERS

15

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1,764

CITATIONS
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Top 12,014

in Total Papers Citations

44

Ideas:
“  Central bank communication  ”

Scholarly Papers (15)

1.

Measuring Market Liquidity: An Introductory Survey

Quaderni DSE Working Paper No. 802
Number of pages: 39 Posted: 23 Dec 2011
Credit Suisse AG, University of Bologna - Department of Economics and University of Bologna
Downloads 350 (83,812)
Citation 11

Abstract:

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market microstructure, liquidity risk, frictions, transaction costs

2.

Gold and the U.S. Dollar: Tales from the Turmoil

Number of pages: 20 Posted: 01 May 2010
Massimiliano Marzo and Paolo Zagaglia
University of Bologna - Department of Economics and University of Bologna
Downloads 303 (98,411)
Citation 4

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Gold, Exchange Rates, GARCH, Quantile Regressions

3.

Effective Trade Execution

Quaderni DSE Working Paper No. 836
Number of pages: 30 Posted: 22 Jun 2012
Riccardo Cesari, Massimiliano Marzo and Paolo Zagaglia
University of Bologna - Department of Mathematics for Economic and Social Sciences, University of Bologna - Department of Economics and University of Bologna
Downloads 233 (129,525)
Citation 1

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Order book, price impact, execution strategy, high frequency trading

4.

The Co-Movements Along the Forward Curve of Natural Gas Futures: A Structural View

Bank of Finland Research Discussion Paper No. 26/2008
Number of pages: 35 Posted: 16 Nov 2008 Last Revised: 14 Apr 2015
Fabrizio Spargoli and Paolo Zagaglia
Rotterdam School of Management and University of Bologna
Downloads 230 (131,134)
Citation 6

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natural gas prices, forward markets, GARCH, structural VAR

5.

Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework

Quaderni DSE Working Paper No. 831
Number of pages: 35 Posted: 08 Jun 2012
Credit Suisse AG, University of Bologna, University of Edinburgh and Bank of England - Monetary Analysis
Downloads 227 (132,827)
Citation 4

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exponential weighted moving average, time-varying higher moments, Cornish- Fisher expansion, Gram-Charlier density, risk management, Value-at-Risk

6.

Money-Market Segmentation in the Euro Area: What Has Changed During the Turmoil?

Bank of Finland Research Discussion Paper No. 23/2008
Number of pages: 36 Posted: 13 Nov 2008
Paolo Zagaglia
University of Bologna
Downloads 84 (292,375)
Citation 9

Abstract:

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money market, high-frequency data, time-series methods

7.

A Continuous-Time Model of the Term Structure of Interest Rates with Fiscal-Monetary Policy Interactions

Bank of Finland Research Discussion Paper No. 25/2008
Number of pages: 38 Posted: 17 Nov 2008
Massimiliano Marzo, Silvia Romagnoli and Paolo Zagaglia
University of Bologna - Department of Economics, University of Bologna - Department of Statistics and University of Bologna
Downloads 69 (327,488)

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bond pricing, fiscal policy, term structure of interest rates

8.

Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method

Quaderni DSE Working Paper No. 797
Number of pages: 16 Posted: 25 Nov 2011
Massimiliano Marzo, Daniele Ritelli and Paolo Zagaglia
University of Bologna - Department of Economics, University of Bologna - Department of Mathematics for Economic and Social Sciences and University of Bologna
Downloads 51 (379,790)
Citation 1

Abstract:

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optimal execution, market impact, trading strategy

9.

Determinacy of Interest Rate Rules with Bond Transaction Services in a Cashless Economy

Bank of Finland Research Discussion Paper No. 24/2008
Number of pages: 39 Posted: 16 Nov 2008
Massimiliano Marzo and Paolo Zagaglia
University of Bologna - Department of Economics and University of Bologna
Downloads 46 (396,784)
Citation 8

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monetary policy, fiscal policy, government bonds, determinacy

10.

A Welfare Perspective on the Fiscal-Monetary Policy Mix: The Role of Alternative Fiscal Instruments

Number of pages: 46 Posted: 03 Dec 2010
Luigi Marattin, Massimiliano Marzo and Paolo Zagaglia
University of Bologna - Department of Economics, University of Bologna - Department of Economics and University of Bologna
Downloads 38 (426,707)
Citation 1

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11.

The Relationship between Financial Risk Premia and Macroeconomic Volatility: Issues and Perspectives on the Run-Up to the Turmoil

Quaderni DSE Working Paper No. 732
Number of pages: 8 Posted: 09 Mar 2011
Massimiliano Marzo, Zhoushi Liu and Paolo Zagaglia
University of Bologna - Department of Economics, Barrie & Hibbert Limited and University of Bologna
Downloads 36 (434,769)

Abstract:

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Asset pricing, macroeconomic volatility, Great Moderation

12.

Equilibrium Selection in a Cashless Economy with Transaction Frictions in the Bond Market

Quaderni DSE Working Paper No. 769
Number of pages: 55 Posted: 05 Jul 2011
Massimiliano Marzo and Paolo Zagaglia
University of Bologna - Department of Economics and University of Bologna
Downloads 32 (451,669)
Citation 1

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term structure, determinacy, pricing kernel, fiscal and monetary policy

13.

Structural Distortions in the Euro Interbank Market: The Role of ‘Key Players’ During the Recent Market Turmoil

Quaderni DSE Working Paper No. 841
Number of pages: 34 Posted: 24 Jul 2012
Università degli Studi di Milano-Bicocca, University of Bologna - Department of Economics, University of Bologna and National University of Ireland, Maynooth (NUI Maynooth) - Maynooth University
Downloads 28 (470,695)

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market microstructure, network analysis, money markets, asset pricing

14.

Bonds Transaction Services and the Term Structure of Interest Rates: Implications for Equilibrium Determinacy

Quaderni DSE Working Paper No. 821
Number of pages: 55 Posted: 28 Mar 2012
Massimiliano Marzo and Paolo Zagaglia
University of Bologna - Department of Economics and University of Bologna
Downloads 21 (508,910)
Citation 2

Abstract:

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term structure, determinacy, pricing kernel, fiscal and monetary policy

15.

Monetary Asset Substitution in the Euro Area

Frontiers in Finance and Economics, Vol. 10, No. 2, 85-102, 2013
Number of pages: 18 Posted: 03 Feb 2015
Paolo Zagaglia
University of Bologna
Downloads 16 (537,653)

Abstract:

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money demand, nonparametric methods, elasticity estimation