All Stories

  1. International diversification for portfolios of European fixed-income mutual funds

    Article • Managerial Finance, February 2017, Emerald

    Dr Paolo Zagaglia

  2. FORECASTING VALUE-AT-RISK WITH TIME-VARYING VARIANCE, SKEWNESS AND KURTOSIS IN AN EXPONENTIAL WEIGHTED MOVING AVERAGE FRAMEWORK

    Article • Annals of Financial Economics, June 2015, World Scientific Pub Co Pte Lt

    Dr Paolo Zagaglia

  3. Asymmetric information and term lending in the Euro money market: Evidence from the beginning of the turmoil

    Article • The Quarterly Review of Economics and Finance, November 2014, Elsevier

    Dr Paolo Zagaglia

  4. Gold and the U.S. dollar: tales from the turmoil

    Article • Quantitative Finance, April 2013, Taylor & Francis

    Dr Paolo Zagaglia

  5. Strategic and tactical aspects for executing trades through systematic algorithms

    Article • February 2013, Oxford University Press (OUP)

    Dr Paolo Zagaglia

  6. Trading directions and the pricing of Euro interbank deposits in the long run

    Article • Applied Economics Letters, December 2012, Taylor & Francis

    Dr Paolo Zagaglia

  7. Testing for Convergence in the European Insurance Sector: A Non-Linear Factor Approach

    Article • Asian Journal of Finance & Accounting, June 2012, Macrothink Institute, Inc.

    Dr Paolo Zagaglia

  8. Effective Trade Execution

    Article • SSRN Electronic Journal, January 2012, Elsevier

    Dr Paolo Zagaglia

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

    Article • SSRN Electronic Journal, January 2012, Elsevier

    Dr Paolo Zagaglia

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

    Article • SSRN Electronic Journal, January 2012, Elsevier

    Dr Paolo Zagaglia, Caterina Liberati

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

    Article • SSRN Electronic Journal, January 2012, Elsevier

    Dr Paolo Zagaglia

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

    Article • SSRN Electronic Journal, January 2011, Elsevier

    Dr Paolo Zagaglia

  13. Measuring Market Liquidity: An Introductory Survey

    Article • SSRN Electronic Journal, January 2011, Elsevier

    Dr Paolo Zagaglia

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

    Article • SSRN Electronic Journal, January 2011, Elsevier

    Dr Paolo Zagaglia

  15. Did the turmoil affect money-market segmentation in the Euro area?

    Article • Applied Economics Letters, November 2010, Taylor & Francis

    Dr Paolo Zagaglia

  16. Volatility forecasting for crude oil futures

    Article • Applied Economics Letters, October 2010, Taylor & Francis

    Dr Paolo Zagaglia

  17. The sources of volatility transmission in the Euro area money market: from longer maturities to the overnight?

    Article • Applied Economics Letters, June 2010, Taylor & Francis

    Dr Paolo Zagaglia

  18. Macroeconomic factors and oil futures prices: A data-rich model

    Article • Energy Economics, March 2010, Elsevier

    Dr Paolo Zagaglia

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

    Article • SSRN Electronic Journal, January 2010, Elsevier

    Dr Paolo Zagaglia

  20. Nonlinearity in monetary policy: A reconsideration of the opportunistic approach to disinflation

    Article • Structural Change and Economic Dynamics, December 2009, Elsevier

    Dr Paolo Zagaglia

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

    Article • SSRN Electronic Journal, January 2008, Elsevier

    Dr Paolo Zagaglia

  22. The Predictive Power of the Yield Spread Under the Veil of Time

    Article • SSRN Electronic Journal, January 2006, Elsevier

    Dr Paolo Zagaglia