Details about Angelo Ranaldo

Access statistics for papers by Angelo Ranaldo.

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

Short-id: pra161

Working Papers

2022

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

2021

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

2020

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

2019

12. Funding Illiquidity
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (9)
13. 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 Working Papers on Finance, University of St. Gallen, School of Finance (2018) View citations (7)
    Bank of England working papers, Bank of England (2018) View citations (8)
14. 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 in Journal of Financial Economics (2020)
15. Regulatory effects on short-term interest rates
    Bank of England working papers, Bank of England View citations (5)
    See also Journal Article in Journal of Financial Economics (2021)
16. Safe Asset Carry Trade
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (1)
17. The Forward Premium in Short-Term Rates
    Working Papers on Finance, University of St. Gallen, School of Finance
18. Trading Volume, Illiquidity and Commonalities in FX Markets
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (4)

2018

19. Unsecured and Secured Funding
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    Also in Working Papers on Finance, University of St. Gallen, School of Finance (2016) View citations (6)
    See also Journal Article in Journal of Money, Credit and Banking (2022)

2017

20. 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

21. 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

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

2014

24. 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 in Quantitative Finance (2015)

2013

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

2012

27. 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 (21)
28. 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 in Journal of Money, Credit and Banking (2013)
29. 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 (14)
    Also in Working Papers, Swiss National Bank (2010) View citations (43)
30. 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 in Journal of Banking & Finance (2013)
31. 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 in Journal of Empirical Finance (2013)

2010

32. Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
    Working Papers, Swiss National Bank View citations (40)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2009)
    See also Journal Article in Journal of Finance (2013)
33. 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 in Journal of Financial and Quantitative Analysis (2011)

2009

34. 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 (11)
    Working Papers, Swiss National Bank (2007) View citations (16)
    See also Journal Article in Review of Finance (2010)
35. 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 (8)
    See also Journal Article in Financial Markets and Portfolio Management (2009)

2008

36. Does FOMC News Increase Global FX Trading?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    Also in Working Papers, Swiss National Bank (2008) View citations (1)
    See also Journal Article in Journal of Banking & Finance (2011)
37. 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 in Journal of Banking & Finance (2009)

2007

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

2006

40. Intraday Market Dynamics Around Public Information Arrivals
    Working Papers, Swiss National Bank View citations (5)
41. 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 in Journal of Futures Markets (2007)

2002

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

Journal Articles

2022

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

2021

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

2020

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

2019

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

2017

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

2016

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

2015

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

2013

11. Intraday Patterns in FX Returns and Order Flow
    Journal of Money, Credit and Banking, 2013, 45, (5), 953-965 View citations (13)
    Also in Journal of Money, Credit and Banking, 2013, 45, (5), 953-965 (2013) View citations (28)
    See also Working Paper (2012)
12. Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
    Journal of Finance, 2013, 68, (5), 1805-1841 View citations (151)
    See also Working Paper (2010)
13. On the predictability of stock prices: A case for high and low prices
    Journal of Banking & Finance, 2013, 37, (12), 5132-5146 View citations (22)
    See also Working Paper (2012)
14. Risk spillovers in international equity portfolios
    Journal of Empirical Finance, 2013, 24, (C), 121-137 View citations (4)
    See also Working Paper (2012)

2012

15. 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

16. 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)
17. Does FOMC news increase global FX trading?
    Journal of Banking & Finance, 2011, 35, (11), 2965-2973 View citations (14)
    See also Working Paper (2008)
18. The Time-Varying Systematic Risk of Carry Trade Strategies
    Journal of Financial and Quantitative Analysis, 2011, 46, (4), 1107-1125 View citations (109)
    See also Working Paper (2010)

2010

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

2009

21. Editorial
    Financial Markets and Portfolio Management, 2009, 23, (4), 333-334
22. 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 (2008)
23. Segmentation and time-of-day patterns in foreign exchange markets
    Journal of Banking & Finance, 2009, 33, (12), 2199-2206 View citations (18)
    See also Working Paper (2007)
24. The implementation of SNB monetary policy
    Financial Markets and Portfolio Management, 2009, 23, (4), 349-359 View citations (8)
    See also Working Paper (2009)

2008

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

2007

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

2004

27. Order aggressiveness in limit order book markets
    Journal of Financial Markets, 2004, 7, (1), 53-74 View citations (180)