EconPapers    
Economics at your fingertips  
 

Details about Angelo Ranaldo

E-mail:
Homepage:https://www.unisg.ch/de/universitaet/schools/finance/lehrstuhl-ranaldo/
Phone:+41 (0)71 224 70 10
Postal address:University of St.Gallen and Swiss Finance Institute Chair of Finance & Systemic Risk - SFI Senior Chair Unterer Graben 21 CH-9000 St.Gallen Switzerland
Workplace:School of Finance, Universität St. Gallen (University of St. Gallen), (more information at EDIRC)
Swiss Finance Institute, (more information at EDIRC)

Access statistics for papers by Angelo Ranaldo.

Last updated 2023-02-11. Update your information in the RePEc Author Service.

Short-id: pra161


Jump to Journal Articles

Working Papers

2022

  1. Collateral Cycles
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    Also in Bank of England working papers, Bank of England (2022) Downloads
  2. Constrained Dealers and Market Efficiency
    VfS Annual Conference 2022 (Basel): Big Data in Economics, Verein für Socialpolitik / German Economic Association Downloads View citations (1)
  3. Constrained Liquidity Provision in Currency Markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  4. Foreign Exchange Swaps and Cross-Currency Swaps
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)
  5. Non-Fungible Tokens
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  6. On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges
    Papers, arXiv.org Downloads
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2022) Downloads
  7. Realized Illiquidity
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads

2021

  1. Non-Standard Errors
    Working Paper Series, Social and Economic Sciences, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz Downloads View citations (1)
    Also in Working Papers, Faculty of Economics and Statistics, University of Innsbruck (2021) Downloads View citations (1)

2020

  1. Asymmetric Information Risk in FX Markets
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (2)
    See also Journal Article in Journal of Financial Economics (2021)
  2. Liquidity Risk and Funding Cost
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads
  3. Monetary policy disconnect
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (1)

2019

  1. Funding Illiquidity
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (9)
  2. Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (2)
    Also in Working Papers on Finance, University of St. Gallen, School of Finance (2018) Downloads View citations (7)
    Bank of England working papers, Bank of England (2018) Downloads View citations (8)
  3. OTC Premia
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (1)
    Also in Bank of England working papers, Bank of England (2018) Downloads

    See also Journal Article in Journal of Financial Economics (2020)
  4. Regulatory effects on short-term interest rates
    Bank of England working papers, Bank of England Downloads View citations (5)
    See also Journal Article in Journal of Financial Economics (2021)
  5. Safe Asset Carry Trade
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (1)
  6. The Forward Premium in Short-Term Rates
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads
  7. Trading Volume, Illiquidity and Commonalities in FX Markets
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (4)

2018

  1. Unsecured and Secured Funding
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
    Also in Working Papers on Finance, University of St. Gallen, School of Finance (2016) Downloads View citations (6)

    See also Journal Article in Journal of Money, Credit and Banking (2022)

2017

  1. A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low PricesWe propose a new method to estimate the bid-ask spread when quote data are not available. Compared to other low-frequency estimates, it utilizes a wider information set, namely, close, high, and low prices, which are readily available. In the absence of end-of-day quote data, it generally provides the highest cross-sectional and average time-series correlations with the TAQ effective spread benchmark. Moreover, it delivers the most accurate estimates for less liquid stocks. Our estimator has many potential applications including an accurate measurement of transaction cost, systematic liquidity risk, and commonality in liquidity for U.S. stocks dating back almost one century
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads

2016

  1. Uniform-price Auctions for Swiss Government Bonds: Origin and Evolution
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (3)
    Also in Economic Studies, Swiss National Bank (2016) Downloads View citations (3)

2015

  1. The Euro Interbank Repo Market
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (47)
    See also Journal Article in Review of Financial Studies (2016)
  2. Understanding FX Liquidity
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (84)
    See also Journal Article in Review of Financial Studies (2015)

2014

  1. Precious Metals Under the Microscope: A High-Frequency Analysis
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (1)
    See also Journal Article in Quantitative Finance (2015)

2013

  1. Monetary Policy Effects on Long-term Rates and Stock Prices
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (1)
  2. Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads

2012

  1. Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (5)
    Also in Working Papers, Swiss National Bank (2009) Downloads View citations (21)
  2. Intraday Patterns in FX Returns and Order Flow
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Working Papers, Swiss National Bank (2011) Downloads View citations (3)

    See also Journal Article in Journal of Money, Credit and Banking (2013)
  3. Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (14)
    Also in Working Papers, Swiss National Bank (2010) Downloads View citations (43)
  4. On the Predictability of Stock Prices: a Case for High and Low Prices
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads
    Also in "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2011) Downloads View citations (2)
    Working Papers, Swiss National Bank (2011) Downloads View citations (2)

    See also Journal Article in Journal of Banking & Finance (2013)
  5. Risk Spillovers in International Equity Portfolios
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads
    Also in Working Papers, Swiss National Bank (2012) Downloads

    See also Journal Article in Journal of Empirical Finance (2013)

2010

  1. Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
    Working Papers, Swiss National Bank Downloads View citations (40)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2009) Downloads

    See also Journal Article in Journal of Finance (2013)
  2. The Time-Varying Systematic Risk of Carry Trade Strategies
    Working Papers, Swiss National Bank Downloads View citations (5)
    Also in University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen (2009) Downloads View citations (3)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) Downloads View citations (5)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) Downloads View citations (8)

    See also Journal Article in Journal of Financial and Quantitative Analysis (2011)

2009

  1. Safe Haven Currencies
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)
    Also in University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen (2007) Downloads View citations (11)
    Working Papers, Swiss National Bank (2007) Downloads View citations (16)

    See also Journal Article in Review of Finance (2010)
  2. The Implementation of SNB Monetary Policy
    University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen Downloads View citations (8)
    See also Journal Article in Financial Markets and Portfolio Management (2009)

2008

  1. Does FOMC News Increase Global FX Trading?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    Also in Working Papers, Swiss National Bank (2008) Downloads View citations (1)

    See also Journal Article in Journal of Banking & Finance (2011)
  2. Extreme Coexceedances in New EU Member States' Stock Markets
    Working Papers, Swiss National Bank Downloads View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) Downloads View citations (6)

    See also Journal Article in Journal of Banking & Finance (2009)

2007

  1. Segmentation and Time-of-Day Patterns in Foreign Exchange Markets
    Working Papers, Swiss National Bank Downloads View citations (2)
    See also Journal Article in Journal of Banking & Finance (2009)
  2. The reaction of asset markets to Swiss National Bank communication
    Working Papers, Swiss National Bank Downloads View citations (3)
    See also Journal Article in Journal of International Money and Finance (2010)

2006

  1. Intraday Market Dynamics Around Public Information Arrivals
    Working Papers, Swiss National Bank Downloads View citations (5)
  2. Realized Bond-Stock Correlation: Macroeconomic Announcement Effects
    Working Papers, Swiss National Bank Downloads View citations (9)
    Also in Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies (2005) Downloads View citations (6)

    See also Journal Article in Journal of Futures Markets (2007)

2002

  1. Market Dynamics Around Public Information Arrivals
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads View citations (3)

Journal Articles

2022

  1. Liquidity in the global currency market
    Journal of Financial Economics, 2022, 146, (3), 859-883 Downloads View citations (1)
  2. Unsecured and Secured Funding
    Journal of Money, Credit and Banking, 2022, 54, (2-3), 651-662 Downloads
    See also Working Paper (2018)

2021

  1. Asymmetric information risk in FX markets
    Journal of Financial Economics, 2021, 140, (2), 391-411 Downloads View citations (15)
    See also Working Paper (2020)
  2. Regulatory effects on short-term interest rates
    Journal of Financial Economics, 2021, 141, (2), 750-770 Downloads View citations (3)
    See also Working Paper (2019)

2020

  1. OTC premia
    Journal of Financial Economics, 2020, 136, (1), 86-105 Downloads
    See also Working Paper (2019)

2019

  1. Euro repo market functioning: collateral is king
    BIS Quarterly Review, 2019 Downloads View citations (8)

2017

  1. A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
    Review of Financial Studies, 2017, 30, (12), 4437-4480 Downloads View citations (69)

2016

  1. The Euro Interbank Repo Market
    Review of Financial Studies, 2016, 29, (7), 1747-1779 Downloads View citations (53)
    See also Working Paper (2015)

2015

  1. Precious metals under the microscope: a high-frequency analysis
    Quantitative Finance, 2015, 15, (5), 743-759 Downloads View citations (14)
    See also Working Paper (2014)
  2. Understanding FX Liquidity
    Review of Financial Studies, 2015, 28, (11), 3073-3108 Downloads View citations (73)
    See also Working Paper (2015)

2013

  1. Intraday Patterns in FX Returns and Order Flow
    Journal of Money, Credit and Banking, 2013, 45, (5), 953-965 Downloads View citations (13)
    Also in Journal of Money, Credit and Banking, 2013, 45, (5), 953-965 (2013) Downloads View citations (28)

    See also Working Paper (2012)
  2. Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
    Journal of Finance, 2013, 68, (5), 1805-1841 Downloads View citations (151)
    See also Working Paper (2010)
  3. On the predictability of stock prices: A case for high and low prices
    Journal of Banking & Finance, 2013, 37, (12), 5132-5146 Downloads View citations (22)
    See also Working Paper (2012)
  4. Risk spillovers in international equity portfolios
    Journal of Empirical Finance, 2013, 24, (C), 121-137 Downloads View citations (4)
    See also Working Paper (2012)

2012

  1. A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices
    The European Journal of Finance, 2012, 18, (9), 761-774 Downloads View citations (5)

2011

  1. Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland
    Financial Markets and Portfolio Management, 2011, 25, (4), 435-453 Downloads View citations (2)
  2. Does FOMC news increase global FX trading?
    Journal of Banking & Finance, 2011, 35, (11), 2965-2973 Downloads View citations (14)
    See also Working Paper (2008)
  3. The Time-Varying Systematic Risk of Carry Trade Strategies
    Journal of Financial and Quantitative Analysis, 2011, 46, (4), 1107-1125 Downloads View citations (109)
    See also Working Paper (2010)

2010

  1. Safe Haven Currencies
    Review of Finance, 2010, 14, (3), 385-407 Downloads View citations (210)
    See also Working Paper (2009)
  2. The reaction of asset markets to Swiss National Bank communication
    Journal of International Money and Finance, 2010, 29, (3), 486-503 Downloads View citations (62)
    See also Working Paper (2007)

2009

  1. Editorial
    Financial Markets and Portfolio Management, 2009, 23, (4), 333-334 Downloads
  2. Extreme coexceedances in new EU member states' stock markets
    Journal of Banking & Finance, 2009, 33, (6), 1048-1057 Downloads View citations (48)
    See also Working Paper (2008)
  3. Segmentation and time-of-day patterns in foreign exchange markets
    Journal of Banking & Finance, 2009, 33, (12), 2199-2206 Downloads View citations (18)
    See also Working Paper (2007)
  4. The implementation of SNB monetary policy
    Financial Markets and Portfolio Management, 2009, 23, (4), 349-359 Downloads View citations (8)
    See also Working Paper (2009)

2008

  1. Wolf in Sheep's Clothing: The Active Investment Strategies behind Index Performance
    European Financial Management, 2008, 14, (1), 55-81 Downloads View citations (7)

2007

  1. Realized bond—stock correlation: Macroeconomic announcement effects
    Journal of Futures Markets, 2007, 27, (5), 439-469 Downloads View citations (21)
    See also Working Paper (2006)

2004

  1. Order aggressiveness in limit order book markets
    Journal of Financial Markets, 2004, 7, (1), 53-74 Downloads View citations (180)
 
Page updated 2023-03-24