Details about Angelo Ranaldo
Access statistics for papers by Angelo Ranaldo.
Last updated 2025-03-14. Update your information in the RePEc Author Service.
Short-id: pra161
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Working Papers
2025
- Swiss treasury bond auctions: An update
Economic Studies, Swiss National Bank
- The demand for safe assets
Working Papers, Swiss National Bank 
Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2024)
2024
- Blockchain Currency Markets
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
- Constrained Liquidity Provision in Currency Markets
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2022) View citations (1) BIS Working Papers, Bank for International Settlements (2023)
- Hunting for Dollars
Swiss Finance Institute Research Paper Series, Swiss Finance Institute
- Nonstandard Errors
Post-Print, HAL 
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2024)  Working Papers, Lund University, Department of Economics (2021)  Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) (2024)
- On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges
Papers, arXiv.org View citations (4)
Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2022)
- Pension Liquidity Risk
Swiss Finance Institute Research Paper Series, Swiss Finance Institute 
Also in Working Papers, DNB (2024)
2023
- Foreign Exchange Swap Liquidity
Swiss Finance Institute Research Paper Series, Swiss Finance Institute
- HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading
Swiss Finance Institute Research Paper Series, Swiss Finance Institute
- Money Market Disconnect
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (4)
See also Journal Article Money Market Disconnect, The Review of Financial Studies, Society for Financial Studies (2023) View citations (1) (2023)
- NFT Bubbles
Papers, arXiv.org 
Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2023)
2022
- Collateral Cycles
Swiss Finance Institute Research Paper Series, Swiss Finance Institute 
Also in Bank of England working papers, Bank of England (2022)
- Constrained Dealers and Market Efficiency
VfS Annual Conference 2022 (Basel): Big Data in Economics, Verein für Socialpolitik / German Economic Association View citations (1)
- Foreign Exchange Swaps and Cross-Currency Swaps
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)
See also Chapter Foreign exchange swaps and cross-currency swaps, Chapters, Edward Elgar Publishing (2023) (2023)
- Non-Fungible Tokens
Swiss Finance Institute Research Paper Series, Swiss Finance Institute 
See also Chapter Non-Fungible Tokens, Palgrave Studies in Financial Services Technology, Palgrave Macmillan (2023) (2023)
- Realized Illiquidity
Swiss Finance Institute Research Paper Series, Swiss Finance Institute
2020
- Asymmetric Information Risk in FX Markets
Working Papers on Finance, University of St. Gallen, School of Finance View citations (2)
See also Journal Article Asymmetric information risk in FX markets, Journal of Financial Economics, Elsevier (2021) View citations (26) (2021)
- Liquidity Risk and Funding Cost
Working Papers on Finance, University of St. Gallen, School of Finance 
See also Journal Article Liquidity Risk and Funding Cost, Review of Finance, European Finance Association (2023) View citations (4) (2023)
- Monetary policy disconnect
Working Papers on Finance, University of St. Gallen, School of Finance View citations (1)
2019
- Funding Illiquidity
Working Papers on Finance, University of St. Gallen, School of Finance View citations (9)
- Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal
Working Papers on Finance, University of St. Gallen, School of Finance View citations (2)
Also in Bank of England working papers, Bank of England (2018) View citations (10) Working Papers on Finance, University of St. Gallen, School of Finance (2018) View citations (9)
See also Journal Article Judgment day: Algorithmic trading around the Swiss franc cap removal, Journal of International Economics, Elsevier (2023) (2023)
- OTC Premia
Working Papers on Finance, University of St. Gallen, School of Finance View citations (1)
Also in Bank of England working papers, Bank of England (2018) 
See also Journal Article OTC premia, Journal of Financial Economics, Elsevier (2020) (2020)
- Regulatory effects on short-term interest rates
Bank of England working papers, Bank of England View citations (7)
See also Journal Article Regulatory effects on short-term interest rates, Journal of Financial Economics, Elsevier (2021) View citations (12) (2021)
- Safe Asset Carry Trade
Working Papers on Finance, University of St. Gallen, School of Finance View citations (1)
See also Journal Article Safe Asset Carry Trade, The Review of Asset Pricing Studies, Society for Financial Studies (2023) View citations (1) (2023)
- The Forward Premium in Short-Term Rates
Working Papers on Finance, University of St. Gallen, School of Finance
- Trading Volume, Illiquidity and Commonalities in FX Markets
Working Papers on Finance, University of St. Gallen, School of Finance View citations (5)
2018
- Unsecured and Secured Funding
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
Also in Working Papers on Finance, University of St. Gallen, School of Finance (2016) View citations (6)
See also Journal Article Unsecured and Secured Funding, Journal of Money, Credit and Banking, Blackwell Publishing (2022) View citations (1) (2022)
2017
- 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
2016
- Uniform-price Auctions for Swiss Government Bonds: Origin and Evolution
Working Papers on Finance, University of St. Gallen, School of Finance View citations (3)
Also in Economic Studies, Swiss National Bank (2016) View citations (3)
2015
- The Euro Interbank Repo Market
Working Papers on Finance, University of St. Gallen, School of Finance View citations (51)
See also Journal Article The Euro Interbank Repo Market, The Review of Financial Studies, Society for Financial Studies (2016) View citations (77) (2016)
- Understanding FX Liquidity
Working Papers on Finance, University of St. Gallen, School of Finance View citations (98)
See also Journal Article Understanding FX Liquidity, The Review of Financial Studies, Society for Financial Studies (2015) View citations (87) (2015)
2014
- Precious Metals Under the Microscope: A High-Frequency Analysis
Working Papers on Finance, University of St. Gallen, School of Finance View citations (1)
See also Journal Article Precious metals under the microscope: a high-frequency analysis, Quantitative Finance, Taylor & Francis Journals (2015) View citations (15) (2015)
2013
- Monetary Policy Effects on Long-term Rates and Stock Prices
Working Papers on Finance, University of St. Gallen, School of Finance View citations (1)
- Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals
Working Papers on Finance, University of St. Gallen, School of Finance
2012
- Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model
Working Papers on Finance, University of St. Gallen, School of Finance View citations (5)
Also in Working Papers, Swiss National Bank (2009) View citations (25)
- Intraday Patterns in FX Returns and Order Flow
Working Papers, Queen Mary University of London, School of Economics and Finance 
Also in Working Papers, Swiss National Bank (2011) View citations (3)
See also Journal Article Intraday Patterns in FX Returns and Order Flow, Journal of Money, Credit and Banking, Blackwell Publishing (2013) View citations (16) (2013)
- Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity
Working Papers on Finance, University of St. Gallen, School of Finance View citations (16)
Also in Working Papers, Swiss National Bank (2010) View citations (46)
- On the Predictability of Stock Prices: a Case for High and Low Prices
Working Papers on Finance, University of St. Gallen, School of Finance 
Also in "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2011) View citations (2) Working Papers, Swiss National Bank (2011) View citations (2)
See also Journal Article On the predictability of stock prices: A case for high and low prices, Journal of Banking & Finance, Elsevier (2013) View citations (25) (2013)
- Risk Spillovers in International Equity Portfolios
Working Papers on Finance, University of St. Gallen, School of Finance 
Also in Working Papers, Swiss National Bank (2012) 
See also Journal Article Risk spillovers in international equity portfolios, Journal of Empirical Finance, Elsevier (2013) View citations (4) (2013)
2010
- Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
Working Papers, Swiss National Bank View citations (39)
Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2009) 
See also Journal Article Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums, Journal of Finance, American Finance Association (2013) View citations (175) (2013)
- The Time-Varying Systematic Risk of Carry Trade Strategies
Working Papers, Swiss National Bank View citations (5)
Also in University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen (2009) View citations (3) CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (5) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (8)
See also Journal Article The Time-Varying Systematic Risk of Carry Trade Strategies, Journal of Financial and Quantitative Analysis, Cambridge University Press (2011) View citations (114) (2011)
2009
- Safe Haven Currencies
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
Also in University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen (2007) View citations (12) Working Papers, Swiss National Bank (2007) View citations (17)
See also Journal Article Safe Haven Currencies, Review of Finance, European Finance Association (2010) View citations (247) (2010)
- The Implementation of SNB Monetary Policy
University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen View citations (10)
See also Journal Article The implementation of SNB monetary policy, Financial Markets and Portfolio Management, Springer (2009) View citations (10) (2009)
2008
- Does FOMC News Increase Global FX Trading?
Working Papers, Swiss National Bank View citations (1)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (1)
See also Journal Article Does FOMC news increase global FX trading?, Journal of Banking & Finance, Elsevier (2011) View citations (15) (2011)
- Extreme Coexceedances in New EU Member States' Stock Markets
Working Papers, Swiss National Bank View citations (2)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (6)
See also Journal Article Extreme coexceedances in new EU member states' stock markets, Journal of Banking & Finance, Elsevier (2009) View citations (48) (2009)
2007
- Segmentation and Time-of-Day Patterns in Foreign Exchange Markets
Working Papers, Swiss National Bank View citations (2)
See also Journal Article Segmentation and time-of-day patterns in foreign exchange markets, Journal of Banking & Finance, Elsevier (2009) View citations (19) (2009)
- The reaction of asset markets to Swiss National Bank communication
Working Papers, Swiss National Bank View citations (3)
See also Journal Article The reaction of asset markets to Swiss National Bank communication, Journal of International Money and Finance, Elsevier (2010) View citations (71) (2010)
2006
- Intraday Market Dynamics Around Public Information Arrivals
Working Papers, Swiss National Bank View citations (5)
- Realized Bond-Stock Correlation: Macroeconomic Announcement Effects
Working Papers, Swiss National Bank View citations (9)
Also in Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies (2005) View citations (6)
See also Journal Article Realized bond—stock correlation: Macroeconomic announcement effects, Journal of Futures Markets, John Wiley & Sons, Ltd. (2007) View citations (22) (2007)
2002
- Market Dynamics Around Public Information Arrivals
FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (3)
Journal Articles
2024
- Nonstandard Errors
Journal of Finance, 2024, 79, (3), 2339-2390 
See also Working Paper Nonstandard Errors, Post-Print (2024) (2024)
2023
- Bank positions in FX swaps: insights from CLS
BIS Quarterly Review, 2023 View citations (3)
- Judgment day: Algorithmic trading around the Swiss franc cap removal
Journal of International Economics, 2023, 140, (C) 
See also Working Paper Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal, Working Papers on Finance (2019) View citations (2) (2019)
- Liquidity Risk and Funding Cost
Review of Finance, 2023, 27, (2), 399-422 View citations (4)
See also Working Paper Liquidity Risk and Funding Cost, Working Papers on Finance (2020) (2020)
- Money Market Disconnect
The Review of Financial Studies, 2023, 36, (10), 4158-4189 View citations (1)
See also Working Paper Money Market Disconnect, Swiss Finance Institute Research Paper Series (2023) View citations (4) (2023)
- Safe Asset Carry Trade
The Review of Asset Pricing Studies, 2023, 13, (2), 223-265 View citations (1)
See also Working Paper Safe Asset Carry Trade, Working Papers on Finance (2019) View citations (1) (2019)
2022
- Liquidity in the global currency market
Journal of Financial Economics, 2022, 146, (3), 859-883 View citations (3)
- Unsecured and Secured Funding
Journal of Money, Credit and Banking, 2022, 54, (2-3), 651-662 View citations (1)
See also Working Paper Unsecured and Secured Funding, Tinbergen Institute Discussion Papers (2018) View citations (5) (2018)
2021
- Asymmetric information risk in FX markets
Journal of Financial Economics, 2021, 140, (2), 391-411 View citations (26)
See also Working Paper Asymmetric Information Risk in FX Markets, Working Papers on Finance (2020) View citations (2) (2020)
- Regulatory effects on short-term interest rates
Journal of Financial Economics, 2021, 141, (2), 750-770 View citations (12)
See also Working Paper Regulatory effects on short-term interest rates, Bank of England working papers (2019) View citations (7) (2019)
2020
- OTC premia
Journal of Financial Economics, 2020, 136, (1), 86-105 
See also Working Paper OTC Premia, Working Papers on Finance (2019) View citations (1) (2019)
2019
- Euro repo market functioning: collateral is king
BIS Quarterly Review, 2019 View citations (17)
2017
- A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
The Review of Financial Studies, 2017, 30, (12), 4437-4480 View citations (126)
2016
- The Euro Interbank Repo Market
The Review of Financial Studies, 2016, 29, (7), 1747-1779 View citations (77)
See also Working Paper The Euro Interbank Repo Market, Working Papers on Finance (2015) View citations (51) (2015)
2015
- Precious metals under the microscope: a high-frequency analysis
Quantitative Finance, 2015, 15, (5), 743-759 View citations (15)
See also Working Paper Precious Metals Under the Microscope: A High-Frequency Analysis, Working Papers on Finance (2014) View citations (1) (2014)
- Understanding FX Liquidity
The Review of Financial Studies, 2015, 28, (11), 3073-3108 View citations (87)
See also Working Paper Understanding FX Liquidity, Working Papers on Finance (2015) View citations (98) (2015)
2013
- Intraday Patterns in FX Returns and Order Flow
Journal of Money, Credit and Banking, 2013, 45, (5), 953-965 View citations (16)
Also in Journal of Money, Credit and Banking, 2013, 45, (5), 953-965 (2013) View citations (31)
See also Working Paper Intraday Patterns in FX Returns and Order Flow, Working Papers (2012) (2012)
- Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
Journal of Finance, 2013, 68, (5), 1805-1841 View citations (175)
See also Working Paper Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums, Working Papers (2010) View citations (39) (2010)
- On the predictability of stock prices: A case for high and low prices
Journal of Banking & Finance, 2013, 37, (12), 5132-5146 View citations (25)
See also Working Paper On the Predictability of Stock Prices: a Case for High and Low Prices, Working Papers on Finance (2012) (2012)
- Risk spillovers in international equity portfolios
Journal of Empirical Finance, 2013, 24, (C), 121-137 View citations (4)
See also Working Paper Risk Spillovers in International Equity Portfolios, Working Papers on Finance (2012) (2012)
2012
- A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices
The European Journal of Finance, 2012, 18, (9), 761-774 View citations (5)
2011
- 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 View citations (2)
- Does FOMC news increase global FX trading?
Journal of Banking & Finance, 2011, 35, (11), 2965-2973 View citations (15)
See also Working Paper Does FOMC News Increase Global FX Trading?, Working Papers (2008) View citations (1) (2008)
- The Time-Varying Systematic Risk of Carry Trade Strategies
Journal of Financial and Quantitative Analysis, 2011, 46, (4), 1107-1125 View citations (114)
See also Working Paper The Time-Varying Systematic Risk of Carry Trade Strategies, Working Papers (2010) View citations (5) (2010)
2010
- Safe Haven Currencies
Review of Finance, 2010, 14, (3), 385-407 View citations (247)
See also Working Paper Safe Haven Currencies, CEPR Discussion Papers (2009) View citations (7) (2009)
- The reaction of asset markets to Swiss National Bank communication
Journal of International Money and Finance, 2010, 29, (3), 486-503 View citations (71)
See also Working Paper The reaction of asset markets to Swiss National Bank communication, Working Papers (2007) View citations (3) (2007)
2009
- Editorial
Financial Markets and Portfolio Management, 2009, 23, (4), 333-334
- Extreme coexceedances in new EU member states' stock markets
Journal of Banking & Finance, 2009, 33, (6), 1048-1057 View citations (48)
See also Working Paper Extreme Coexceedances in New EU Member States' Stock Markets, Working Papers (2008) View citations (2) (2008)
- Segmentation and time-of-day patterns in foreign exchange markets
Journal of Banking & Finance, 2009, 33, (12), 2199-2206 View citations (19)
See also Working Paper Segmentation and Time-of-Day Patterns in Foreign Exchange Markets, Working Papers (2007) View citations (2) (2007)
- The implementation of SNB monetary policy
Financial Markets and Portfolio Management, 2009, 23, (4), 349-359 View citations (10)
See also Working Paper The Implementation of SNB Monetary Policy, University of St. Gallen Department of Economics working paper series 2009 (2009) View citations (10) (2009)
2008
- Wolf in Sheep's Clothing: The Active Investment Strategies behind Index Performance
European Financial Management, 2008, 14, (1), 55-81 View citations (7)
2007
- Realized bond—stock correlation: Macroeconomic announcement effects
Journal of Futures Markets, 2007, 27, (5), 439-469 View citations (22)
See also Working Paper Realized Bond-Stock Correlation: Macroeconomic Announcement Effects, Working Papers (2006) View citations (9) (2006)
2004
- Order aggressiveness in limit order book markets
Journal of Financial Markets, 2004, 7, (1), 53-74 View citations (191)
Chapters
2023
- Foreign exchange swaps and cross-currency swaps
Chapter 20 in Research Handbook of Financial Markets, 2023, pp 451-469 
See also Working Paper Foreign Exchange Swaps and Cross-Currency Swaps, Swiss Finance Institute (2022) View citations (2) (2022)
- Non-Fungible Tokens
Palgrave Macmillan
See also Working Paper Non-Fungible Tokens, Swiss Finance Institute (2022) (2022)
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