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The sources of volatility transmission in the Euro area money market : from longer maturities to the overnight?
Zagaglia, Paolo (contributor) - 2008
Persistent link: https://www.econbiz.de/10003715129
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Money-market segmentation in the Euro area : what has changed during the turmoil?
Zagaglia, Paolo (contributor) - 2008
Persistent link: https://www.econbiz.de/10003762657
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Money-market segmentation in the Euro area : what has changed during the turmoil?
Zagaglia, Paolo - 2009
Persistent link: https://www.econbiz.de/10003831076
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Hedging Italian equity mutual fund returns during the recent financial turmoil : a duration-dependent Markov-switching approach
Zagaglia, Paolo - In: Journal of applied finance & banking 3 (2013) 3, pp. 325-337
We study optimal hedging design for returns on an Italian equity mutual fund index since 2008. Alternative hedging instruments include one-month futures contracts for FTSE-MIB, FTSE100 and Xetra DAX. We use bivariate models of our Italian equity mutual fund index and each hedging instrument to...
Persistent link: https://www.econbiz.de/10009743345
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The sources of volatility transmission in the Euro area money market : from longer maturities to the overnight?
Zagaglia, Paolo - In: Applied economics letters 17 (2010) 7/9, pp. 865-868
Persistent link: https://www.econbiz.de/10003996950
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The co-movements along the forward curve of natural gas futures: a structural view
Spargoli, Fabrizio (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003762669
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Along the forward curve for natural gas : unobservable shocks and dynamic correlations
Spargoli, Fabrizio (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003521058
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The comovements along the term structure of oil forwards in periods of high and low volatility : how tight are they?
Marzo, Massimiliano; Zagaglia, Paolo - 2009
Persistent link: https://www.econbiz.de/10003793443
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Forecasting value-at-risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework
Gabrielsen, Alexandros; Kirchner, Axel; Liu, Zhuoshi; … - In: Annals of financial economics 10 (2015) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10011382540
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Volatility forecasting for crude oil futures
Marzo, Massimiliano; Zagaglia, Paolo - In: Applied economics letters 17 (2010) 16/18, pp. 1587-1599
Persistent link: https://www.econbiz.de/10009232176