EconPapers    
Economics at your fingertips  
 

Details about Angelo Ranaldo

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:Swiss Finance Institute, (more information at EDIRC)
School of Finance, Universität St. Gallen (University of St. Gallen), (more information at EDIRC)

Access statistics for papers by Angelo Ranaldo.

Last updated 2024-03-07. Update your information in the RePEc Author Service.

Short-id: pra161


Jump to Journal Articles Chapters

Working Papers

2024

  1. Pension Liquidity Risk
    Working Papers, DNB Downloads
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2024) Downloads

2023

  1. Constrained liquidity provision in currency markets
    BIS Working Papers, Bank for International Settlements Downloads
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2022) Downloads
  2. Foreign Exchange Swap Liquidity
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  3. HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  4. Money Market Disconnect
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)
  5. NFT Bubbles
    Papers, arXiv.org Downloads
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2023) Downloads
  6. On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges
    Papers, arXiv.org Downloads View citations (3)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2022) Downloads

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. Foreign Exchange Swaps and Cross-Currency Swaps
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (2)
    See also Chapter Foreign exchange swaps and cross-currency swaps, Chapters, Edward Elgar Publishing (2023) Downloads (2023)
  4. Non-Fungible Tokens
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Chapter Non-Fungible Tokens, Palgrave Studies in Financial Services Technology, Palgrave Macmillan (2023) (2023)
  5. Realized Illiquidity
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads

2021

  1. Non-Standard Errors
    Working Papers, Faculty of Economics and Statistics, Universität Innsbruck Downloads View citations (6)
    Also in Working Papers, Lund University, Department of Economics (2021) Downloads
    Working Paper Series, Social and Economic Sciences, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz (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 Asymmetric information risk in FX markets, Journal of Financial Economics, Elsevier (2021) Downloads View citations (18) (2021)
  2. Liquidity Risk and Funding Cost
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads
    See also Journal Article Liquidity Risk and Funding Cost, Review of Finance, European Finance Association (2023) Downloads (2023)
  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 (9)
    Bank of England working papers, Bank of England (2018) Downloads View citations (10)

    See also Journal Article Judgment day: Algorithmic trading around the Swiss franc cap removal, Journal of International Economics, Elsevier (2023) Downloads (2023)
  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 OTC premia, Journal of Financial Economics, Elsevier (2020) Downloads (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 Regulatory effects on short-term interest rates, Journal of Financial Economics, Elsevier (2021) Downloads View citations (5) (2021)
  5. Safe Asset Carry Trade
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (1)
    See also Journal Article Safe Asset Carry Trade, The Review of Asset Pricing Studies, Society for Financial Studies (2023) Downloads (2023)
  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 (5)
    Also in Working Papers on Finance, University of St. Gallen, School of Finance (2016) Downloads View citations (6)

    See also Journal Article Unsecured and Secured Funding, Journal of Money, Credit and Banking, Blackwell Publishing (2022) Downloads View citations (1) (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 (51)
    See also Journal Article The Euro Interbank Repo Market, The Review of Financial Studies, Society for Financial Studies (2016) Downloads View citations (63) (2016)
  2. Understanding FX Liquidity
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (95)
    See also Journal Article Understanding FX Liquidity, The Review of Financial Studies, Society for Financial Studies (2015) Downloads View citations (84) (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 Precious metals under the microscope: a high-frequency analysis, Quantitative Finance, Taylor & Francis Journals (2015) Downloads View citations (15) (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 (25)
  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 Intraday Patterns in FX Returns and Order Flow, Journal of Money, Credit and Banking, Blackwell Publishing (2013) Downloads View citations (13) (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 (16)
    Also in Working Papers, Swiss National Bank (2010) Downloads View citations (45)
  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 Working Papers, Swiss National Bank (2011) Downloads View citations (2)
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2011) Downloads 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) Downloads View citations (25) (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 Risk spillovers in international equity portfolios, Journal of Empirical Finance, Elsevier (2013) Downloads View citations (4) (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 Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums, Journal of Finance, American Finance Association (2013) Downloads View citations (167) (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 The Time-Varying Systematic Risk of Carry Trade Strategies, Journal of Financial and Quantitative Analysis, Cambridge University Press (2011) Downloads View citations (112) (2011)

2009

  1. Safe Haven Currencies
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)
    Also in Working Papers, Swiss National Bank (2007) Downloads View citations (17)
    University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen (2007) Downloads View citations (12)

    See also Journal Article Safe Haven Currencies, Review of Finance, European Finance Association (2010) Downloads View citations (227) (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 (9)
    See also Journal Article The implementation of SNB monetary policy, Financial Markets and Portfolio Management, Springer (2009) Downloads View citations (9) (2009)

2008

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

    See also Journal Article Does FOMC news increase global FX trading?, Journal of Banking & Finance, Elsevier (2011) Downloads View citations (14) (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 Extreme coexceedances in new EU member states' stock markets, Journal of Banking & Finance, Elsevier (2009) Downloads View citations (48) (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 Segmentation and time-of-day patterns in foreign exchange markets, Journal of Banking & Finance, Elsevier (2009) Downloads View citations (18) (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 The reaction of asset markets to Swiss National Bank communication, Journal of International Money and Finance, Elsevier (2010) Downloads View citations (68) (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 Realized bond—stock correlation: Macroeconomic announcement effects, Journal of Futures Markets, John Wiley & Sons, Ltd. (2007) Downloads View citations (22) (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

2023

  1. Bank positions in FX swaps: insights from CLS
    BIS Quarterly Review, 2023 Downloads
  2. Judgment day: Algorithmic trading around the Swiss franc cap removal
    Journal of International Economics, 2023, 140, (C) Downloads
    See also Working Paper Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal, Working Papers on Finance (2019) Downloads View citations (2) (2019)
  3. Liquidity Risk and Funding Cost
    Review of Finance, 2023, 27, (2), 399-422 Downloads
    See also Working Paper Liquidity Risk and Funding Cost, Working Papers on Finance (2020) Downloads (2020)
  4. Safe Asset Carry Trade
    The Review of Asset Pricing Studies, 2023, 13, (2), 223-265 Downloads
    See also Working Paper Safe Asset Carry Trade, Working Papers on Finance (2019) Downloads View citations (1) (2019)

2022

  1. Liquidity in the global currency market
    Journal of Financial Economics, 2022, 146, (3), 859-883 Downloads View citations (3)
  2. Unsecured and Secured Funding
    Journal of Money, Credit and Banking, 2022, 54, (2-3), 651-662 Downloads View citations (1)
    See also Working Paper Unsecured and Secured Funding, Tinbergen Institute Discussion Papers (2018) Downloads View citations (5) (2018)

2021

  1. Asymmetric information risk in FX markets
    Journal of Financial Economics, 2021, 140, (2), 391-411 Downloads View citations (18)
    See also Working Paper Asymmetric Information Risk in FX Markets, Working Papers on Finance (2020) Downloads View citations (2) (2020)
  2. Regulatory effects on short-term interest rates
    Journal of Financial Economics, 2021, 141, (2), 750-770 Downloads View citations (5)
    See also Working Paper Regulatory effects on short-term interest rates, Bank of England working papers (2019) Downloads View citations (5) (2019)

2020

  1. OTC premia
    Journal of Financial Economics, 2020, 136, (1), 86-105 Downloads
    See also Working Paper OTC Premia, Working Papers on Finance (2019) Downloads View citations (1) (2019)

2019

  1. Euro repo market functioning: collateral is king
    BIS Quarterly Review, 2019 Downloads View citations (11)

2017

  1. A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
    The Review of Financial Studies, 2017, 30, (12), 4437-4480 Downloads View citations (97)

2016

  1. The Euro Interbank Repo Market
    The Review of Financial Studies, 2016, 29, (7), 1747-1779 Downloads View citations (63)
    See also Working Paper The Euro Interbank Repo Market, Working Papers on Finance (2015) Downloads View citations (51) (2015)

2015

  1. Precious metals under the microscope: a high-frequency analysis
    Quantitative Finance, 2015, 15, (5), 743-759 Downloads View citations (15)
    See also Working Paper Precious Metals Under the Microscope: A High-Frequency Analysis, Working Papers on Finance (2014) Downloads View citations (1) (2014)
  2. Understanding FX Liquidity
    The Review of Financial Studies, 2015, 28, (11), 3073-3108 Downloads View citations (84)
    See also Working Paper Understanding FX Liquidity, Working Papers on Finance (2015) Downloads View citations (95) (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 Intraday Patterns in FX Returns and Order Flow, Working Papers (2012) Downloads (2012)
  2. Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
    Journal of Finance, 2013, 68, (5), 1805-1841 Downloads View citations (167)
    See also Working Paper Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums, Working Papers (2010) Downloads View citations (40) (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 (25)
    See also Working Paper On the Predictability of Stock Prices: a Case for High and Low Prices, Working Papers on Finance (2012) Downloads (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 Risk Spillovers in International Equity Portfolios, Working Papers on Finance (2012) Downloads (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 Does FOMC News Increase Global FX Trading?, Working Papers (2008) Downloads View citations (1) (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 (112)
    See also Working Paper The Time-Varying Systematic Risk of Carry Trade Strategies, Working Papers (2010) Downloads View citations (5) (2010)

2010

  1. Safe Haven Currencies
    Review of Finance, 2010, 14, (3), 385-407 Downloads View citations (227)
    See also Working Paper Safe Haven Currencies, CEPR Discussion Papers (2009) Downloads View citations (7) (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 (68)
    See also Working Paper The reaction of asset markets to Swiss National Bank communication, Working Papers (2007) Downloads View citations (3) (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 Extreme Coexceedances in New EU Member States' Stock Markets, Working Papers (2008) Downloads View citations (2) (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 Segmentation and Time-of-Day Patterns in Foreign Exchange Markets, Working Papers (2007) Downloads View citations (2) (2007)
  4. The implementation of SNB monetary policy
    Financial Markets and Portfolio Management, 2009, 23, (4), 349-359 Downloads View citations (9)
    See also Working Paper The Implementation of SNB Monetary Policy, University of St. Gallen Department of Economics working paper series 2009 (2009) Downloads View citations (9) (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 (22)
    See also Working Paper Realized Bond-Stock Correlation: Macroeconomic Announcement Effects, Working Papers (2006) Downloads View citations (9) (2006)

2004

  1. Order aggressiveness in limit order book markets
    Journal of Financial Markets, 2004, 7, (1), 53-74 Downloads View citations (184)

Chapters

2023

  1. Foreign exchange swaps and cross-currency swaps
    Chapter 20 in Research Handbook of Financial Markets, 2023, pp 451-469 Downloads
    See also Working Paper Foreign Exchange Swaps and Cross-Currency Swaps, Swiss Finance Institute (2022) Downloads View citations (2) (2022)
  2. Non-Fungible Tokens
    Palgrave Macmillan
    See also Working Paper Non-Fungible Tokens, Swiss Finance Institute (2022) Downloads (2022)
 
Page updated 2024-04-18