Angelo Ranaldo : Citation Profile

Are you Angelo Ranaldo?

Universität St. Gallen

11

H index

11

i10 index

659

Citations

RESEARCH PRODUCTION:

20

Articles

46

Papers

RESEARCH ACTIVITY:

   16 years (2002 - 2018). See details.
   Cites by year: 41
   Journals where Angelo Ranaldo has often published
   Relations with other researchers
   Recent citing documents: 123.    Total self citations: 17 (2.51 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pra161
   Updated: 2018-09-15    RAS profile: 2018-09-08    
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Relations with other researchers

Works with:

Caporin, Massimiliano (5)

Wrampelmeyer, Jan (5)

Breedon, Francis (3)

Söderlind, Paul (2)

Karnaukh, Nina (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Angelo Ranaldo.

Is cited by:

Nitschka, Thomas (12)

Rime, Dagfinn (9)

Caporin, Massimiliano (9)

McAleer, Michael (8)

Fuhrer, Lucas (8)

Hautsch, Nikolaus (8)

Schmeling, Maik (7)

Hoffmann, Mathias (7)

Fukuda, Shin-ichi (7)

Christiansen, Charlotte (7)

Hansen, Stephen (6)

Cites to:

Bollerslev, Tim (25)

Diebold, Francis (17)

Andersen, Torben (17)

Swanson, Eric (13)

Garcia-de-Andoain, Carlos (12)

Gürkaynak, Refet (12)

Acharya, Viral (12)

Skeie, David (10)

Caporin, Massimiliano (10)

Campbell, John (9)

Vayanos, Dimitri (9)

Main data

Where Angelo Ranaldo has published?

Journals with more than one article published# docs
Journal of Banking & Finance4
Financial Markets and Portfolio Management3
Review of Financial Studies2

Working Papers Series with more than one paper published# docs
Working Papers on Finance / University of St. Gallen, School of Finance15
Working Papers / Swiss National Bank14
University of St. Gallen Department of Economics working paper series 2009 / Department of Economics, University of St. Gallen2

Recent works citing Angelo Ranaldo (2018 and 2017)

YearTitle of citing document
2018Nonstationary cointegration in the fractionally cointegrated VAR model. (2018). Nielsen, Morten ; Johansen, Soren. In: CREATES Research Papers. RePEc:aah:create:2018-17.

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2017Limit-order book resiliency after effective market orders: Spread, depth and intensity. (2017). Xu, Hai-Chuan ; Zhou, Wei-Xing ; Zhang, Wei ; Xiong, Xiong ; Chen, Wei. In: Papers. RePEc:arx:papers:1602.00731.

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2018Benchmark Dataset for Mid-Price Forecasting of Limit Order Book Data with Machine Learning Methods. (2018). Ntakaris, Adamantios ; Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Magris, Martin . In: Papers. RePEc:arx:papers:1705.03233.

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2018What Drives Interbank Loans? Evidence from Canada. (2018). Guérin, Pierre ; Bulusu, Narayan ; Guerin, Pierre . In: Staff Working Papers. RePEc:bca:bocawp:18-5.

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2017Illiquid Collateral and Bank Lending during the European Sovereign Debt Crisis. (2017). Nguyen, Benoît ; Bignon, Vincent ; Barthélemy, Jean. In: Working papers. RePEc:bfr:banfra:631.

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2017Eurosystem’s asset purchases and money market rates. (2017). Vari, Miklos ; Nguyen, Benoît ; Rahmouni-Rousseau, I ; Arrata, W. In: Working papers. RePEc:bfr:banfra:652.

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2017Foreign exchange liquidity in the Americas. (2017). Bank for International Settlements, . In: BIS Papers. RePEc:bis:bisbps:90.

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2018Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M. In: BIS Papers. RePEc:bis:bisbps:95.

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2017Repo market functioning. (2017). Bank for International Settlements, . In: CGFS Papers. RePEc:bis:biscgf:59.

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2017Monetary policys rising FX impact in the era of ultra-low rates. (2017). Schrimpf, Andreas ; Kearns, Jonathan ; Ferrari, Massimo. In: BIS Working Papers. RePEc:bis:biswps:626.

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2017The beneficial aspect of FX volatility for market liquidity. (2017). SHIM, ILHYOCK ; Koosakul, Jakree . In: BIS Working Papers. RePEc:bis:biswps:629.

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2017Effects of capital controls on foreign exchange liquidity. (2017). Cant, Carlos . In: BIS Working Papers. RePEc:bis:biswps:659.

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2017Informal one-sided target zone model and the Swiss franc. (2017). Moessner, Richhild ; Funke, Michael ; Chen, Yu-Fu. In: BIS Working Papers. RePEc:bis:biswps:660.

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2017Asset prices and macroeconomic outcomes: a survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: BIS Working Papers. RePEc:bis:biswps:676.

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2017ODD LOT ORDER AGGRESSIVENESS AND STEALTH TRADING. (2017). Johnson, Hardy ; Roseman, Brian. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:2:p:249-281.

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2017The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets. (2017). LINTON, OLIVER ; Crowley-Reidy, Liam ; Tobek, Ondrej ; Pedace, Lucas ; Noss, Joseph. In: Bank of England working papers. RePEc:boe:boeewp:0687.

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2017The leverage ratio and liquidity in the gilt and repo markets. (2017). Elliott, David ; Bicu, Andreea ; Chen, Louisa. In: Bank of England working papers. RePEc:boe:boeewp:0690.

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2018Does Central Bank Transparency and Communication Affect Financial and Macroeconomic Forecasts?. (2018). Lustenberger, Thomas ; Rossi, Enzo . In: Working papers. RePEc:bsl:wpaper:2018/06.

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2017A Theory of Repurchase Agreements, Collateral Re-use, and Repo Intermediation. (2017). Monnet, Cyril ; Gottardi, Piero ; Maurin, Vincent . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6579.

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2017Monetary policys rising FX impact in the era of ultra-low rates. (2017). Schrimpf, Andreas ; Kearns, Jonathan ; Ferrari, Massimo. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11918.

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2017Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12460.

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2017FUTURES-BASED MEASURES OF MONETARY POLICY AND JUMP RISK. (2017). Inekwe, John ; Nkwoma, Inekwe John . In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:21:y:2017:i:02:p:384-405_00.

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2017Carry trade returns with Support Vector Machines. (2017). Colombo, Emilio ; Rossignoli, Roberto ; Forte, Gianfranco. In: DISEIS - Quaderni del Dipartimento di Economia internazionale, delle istituzioni e dello sviluppo. RePEc:dis:wpaper:dis1705.

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2018Nonlinear Intermediary Pricing in the Oil Futures Market. (2018). Bierbaumer, Daniel ; Velinov, Anton ; Rieth, Malte. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1722.

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2017Illiquid Collateral and Bank Lending during the European Sovereign Debt Crisis. (2017). Nguyen, Benoît ; Bignon, Vincent ; Barthélemy, Jean. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-21.

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2017On collateral: implications for financial stability and monetary policy. (2017). Hoerova, Marie ; Heider, Florian ; Corradin, Stefano . In: Working Paper Series. RePEc:ecb:ecbwps:20172107.

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2017.

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2017Financial crises, exchange rate linkages and uncovered interest parity: Evidence from G7 markets. (2017). Kenourgios, Dimitris ; Dimitriou, Dimitrios ; Simos, Theodore . In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:112-120.

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2017Asset market response to monetary policy news from SNB press releases. (2017). Huning, Hendrik . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:160-177.

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2017Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements. (2017). Gau, Yin-Feng ; Hsu, Chih-Chiang ; Chang, Ya-Ting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:172-192.

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2017Time-varying quantile association regression model with applications to financial contagion and VaR. (2017). Liu, Xiaoquan ; Ye, Wuyi ; Luo, Kebing . In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:3:p:1015-1028.

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2017Foreign exchange predictability and the carry trade: A decomposition approach. (2017). Liu, Xiaochun ; Gospodinov, Nikolay ; Anatolyev, Stanislav ; Jamali, Ibrahim . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:199-211.

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2017Funding liquidity, market liquidity and TED spread: A two-regime model. (2017). Rosenthal, Dale ; Dale, ; Boudt, Kris. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:143-158.

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2018Global macro risks in currency excess returns. (2018). Berg, Kimberly ; Mark, Nelson C. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:300-315.

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2017Is information assimilated at announcements in the European carbon market?. (2017). Bredin, Don ; Muckley, Cal B ; Chen, Jiayuan . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:234-247.

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2017Exchange rate volatility response to macroeconomic news during the global financial crisis. (2017). Savaser, Tanseli ; Savaer, Tanseli ; ben Omrane, Walid . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:130-143.

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2017The financial economics of white precious metals — A survey. (2017). Vigne, Samuel A ; Yarovaya, Larisa ; Oconnor, Fergal A ; Lucey, Brian M. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:292-308.

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2017Systemic risk in carry-trade portfolios. (2017). Liu, Chih-Liang ; Yang, Hsin-Feng . In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:40-46.

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2017Multiple markets, algorithmic trading, and market liquidity. (2017). Upson, James ; van Ness, Robert A. In: Journal of Financial Markets. RePEc:eee:finmar:v:32:y:2017:i:c:p:49-68.

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2018Funding constraints and liquidity in two-tiered OTC markets. (2018). Benos, Evangelos ; Ike, Filip. In: Journal of Financial Markets. RePEc:eee:finmar:v:39:y:2018:i:c:p:24-43.

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2017Optimal equity infusions in interbank networks. (2017). Amini, Hamed ; Sulem, Agnes ; Minca, Andreea. In: Journal of Financial Stability. RePEc:eee:finsta:v:31:y:2017:i:c:p:1-17.

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2017Sovereign collateral as a Trojan Horse: Why do we need an LCR+. (2017). Buschmann, Christian ; Schmaltz, Christian. In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:311-330.

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2018Financial stress and its non-linear impact on CEE exchange rates. (2018). Adam, Toma ; Matj, Jakub ; Benecka, Soa. In: Journal of Financial Stability. RePEc:eee:finsta:v:36:y:2018:i:c:p:346-360.

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2018Performance ranking (dis)similarities in commodity markets. (2018). Zhang, Hanxiong ; Vortelinos, Dimitrios I ; Auer, Benjamin R. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:115-137.

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2018Safe-haven and hedge currencies for the US, UK, and Euro area stock markets: A copula-based approach. (2018). Tachibana, Minoru. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:82-96.

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2018Common information in carry trade risk factors. (2018). Sakemoto, Ryuta ; Byrne, Joseph ; Ibrahim, Boulis Maher. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:37-47.

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2017Simple measures of market efficiency: A study in foreign exchange markets. (2017). Kitamura, Yoshihiro. In: Japan and the World Economy. RePEc:eee:japwor:v:41:y:2017:i:c:p:1-16.

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2017The impact of the European sovereign debt crisis on banks stocks. Some evidence of shift contagion in Europe. (2017). Allegret, Jean-Pierre ; Rharrabti, Houda ; Raymond, Helene. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:74:y:2017:i:c:p:24-37.

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2017Central bank collateral frameworks. (2017). Nyborg, Kjell. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:76:y:2017:i:c:p:198-214.

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2017Investor sentiment, flight-to-quality, and corporate bond comovement. (2017). Bethke, Sebastian ; Kempf, Alexander ; Gehde-Trapp, Monika . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:112-132.

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2017Reprint of: Central bank collateral frameworks. (2017). Nyborg, Kjell. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:232-248.

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2018Jumps, cojumps, and efficiency in the spot foreign exchange market. (2018). Piccotti, Louis R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:49-67.

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2017Dark pool trading strategies, market quality and welfare. (2017). Buti, Sabrina ; Werner, Ingrid M ; Rindi, Barbara. In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:2:p:244-265.

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2017Offshore activities and financial vs operational hedging. (2017). Hoberg, Gerard ; Moon, Katie S. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:2:p:217-244.

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2017Systemic risk in clearing houses: Evidence from the European repo market. (2017). thesmar, david ; Ors, Evren ; Derrien, Franois ; Boissel, Charles. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:511-536.

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2017Confidence, bond risks, and equity returns. (2017). Zhao, Guihai. In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:668-688.

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2017Violations of uncovered interest rate parity and international exchange rate dependences. (2017). Ames, Matthew ; Peters, Gareth W ; Bagnarosa, Guillaume . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pa:p:162-187.

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2017Central bank transparency and cross-border banking. (2017). Tonzer, Lena ; Eichler, Stefan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:1-30.

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2017Systematic consumption risk in currency returns. (2017). Hoffmann, Mathias ; Studer-Suter, Rahel . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:187-208.

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2017Monetary policy and covered interest parity in the post GFC period: Evidence from the Australian dollar and the NZ dollar. (2017). Fukuda, Shin-ichi ; Tanaka, Mariko ; Shin- ichi Fukuda, . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:301-317.

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2017Cross-border spillover effects of unconventional monetary policies on Swiss asset prices. (2017). Bernhard, Severin ; Ebner, Till . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:75:y:2017:i:c:p:109-127.

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2017Words are not all created equal: A new measure of ECB communication. (2017). Renault, Thomas ; PICAULT, Matthieu. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:79:y:2017:i:c:p:136-156.

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2017Is the Renminbi a safe haven?. (2017). Zhu, Guozhong ; Yamamoto, Yohei ; Fatum, Rasmus. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:79:y:2017:i:c:p:189-202.

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2018Factors of the term structure of sovereign yield spreads. (2018). Trueck, Stefan ; Wellmann, Dennis ; Truck, Stefan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:56-75.

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2018Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy. (2018). Nitschka, Thomas. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:83:y:2018:i:c:p:44-54.

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2018Liquidity in the repo market. (2018). Fuhrer, Lucas. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:84:y:2018:i:c:p:1-22.

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2018Conditioning carry trades: Less risk, more return. (2018). Mulder, Arjen ; Tims, Ben . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:85:y:2018:i:c:p:1-19.

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2017Price forecasting in the precious metal market: A multivariate EMD denoising approach. (2017). He, Kaijian ; Chen, Yanhui. In: Resources Policy. RePEc:eee:jrpoli:v:54:y:2017:i:c:p:9-24.

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2017Timing liquidity in the foreign exchange market: Did hedge funds do it?. (2017). Luo, JI ; Li, Baibing ; Tee, Kai-Hong . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:40:y:2017:i:c:p:47-62.

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2017The reactions to on-air stock reports: Prices, volume, and order submission behavior. (2017). Chiao, Chaoshin ; Lee, Cheng-Few ; Lin, Tung-Ying. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:44:y:2017:i:c:p:27-46.

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2017Exchange rate expectations and economic policy uncertainty. (2017). Czudaj, Robert ; Beckmann, Joscha. In: European Journal of Political Economy. RePEc:eee:poleco:v:47:y:2017:i:c:p:148-162.

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2017The asymmetry in carry trade and the U.S. dollar. (2017). Wu, Chih-Chiang. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:65:y:2017:i:c:p:304-313.

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2017A literature review of technical analysis on stock markets. (2017). Kimura, Herbert ; Sobreiro, Vinicius Amorim ; Lima, Jessica ; Farias, Rodolfo Toribio . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:115-126.

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2018Systematic exchange rate variation: Where does the dollar factor come from?. (2018). Lee, Kyuseok. In: International Review of Economics & Finance. RePEc:eee:reveco:v:56:y:2018:i:c:p:288-307.

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2017On the predictability of carry trade returns: The case of the Chinese Yuan. (2017). Sinnakkannu, Jothee ; Ramasamy, Sockalingam . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:358-376.

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2017Liquidity, information, strategic trading in an electronic order book: New insights from the European carbon markets. (2017). Rannou, Yves . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pb:p:779-808.

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2017Forecasting realized volatility: HAR against Principal Components Combining, neural networks and GARCH. (2017). Vortelinos, Dimitrios I. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pb:p:824-839.

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2017Scheduled macro-news effects on a Euro/US dollar limit order book around the 2008 financial crisis. (2017). Welch, Robert ; Tao, Yusi ; ben Omrane, Walid . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:9-30.

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2017Asset prices and macroeconomic outcomes: A survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: CAMA Working Papers. RePEc:een:camaaa:2017-76.

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2017A theory of repurchase agreements, collateral re-use, and repo intermediation. (2017). Monnet, Cyril ; Gottardi, Piero. In: Economics Working Papers. RePEc:eui:euiwps:eco2017/03.

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2017International Illiquidity. (2017). Venter, Gyuri ; Vedolin, Andrea ; Mueller, Philippe ; Malkhozov, Aytek. In: International Finance Discussion Papers. RePEc:fip:fedgif:1201.

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2018International capital flow pressures. (2018). Krogstrup, Signe ; Goldberg, Linda. In: Staff Reports. RePEc:fip:fednsr:834.

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2018Why Is the Correlation between Crude Oil Prices and the US Dollar Exchange Rate Time-Varying?—Explanations Based on the Role of Key Mediators. (2018). Liao, Jia ; Xu, Xiangyun ; Shi, YU. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:3:p:61-:d:154226.

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2017The impact of the European sovereign debt crisis on banks stocks. Some evidence of shift contagion in Europe. (2017). Allegret, Jean-Pierre ; Rharrabti, Houda ; Raymond, Helene. In: Post-Print. RePEc:hal:journl:hal-01589269.

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2018Liquidity and exchange rate volatility. (2018). Hanh, Thi Hong. In: Working Papers. RePEc:hal:wpaper:halshs-01708633.

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2017A Simple Theoretical Setup for the Evaluation of Sterilized Intervention Effectiveness in a Small Open Commodity Exporting Economy. (2017). Shulgin, Andrei. In: HSE Working papers. RePEc:hig:wpaper:170/ec/2017.

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2017Effects of Interest Rate on Stock Market Returns in Kenya. (2017). Otieno, Donald A ; Ngugi, Rose W. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:9:y:2017:i:8:p:40-50.

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2018Financial Stability and Resolution of Federal Reserve Goal and Implementation Conflicts. (2018). Wall, Larry ; Kwan, Simon ; Eisenbeis, Robert A. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:53:y:2018:i:2:d:10.1007_s10693-018-0297-6.

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2017Commonality in Liquidity and Real Estate Securities. (2017). Hoesli, Martin ; Reka, Kustrim ; Kadilli, Anjeza . In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:55:y:2017:i:1:d:10.1007_s11146-016-9554-3.

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2017International Trade Finance and Exports: Evidence from Korean Bank-Intermediated Trade Finance Instruments. (2017). Hwang, Sangyeon ; Im, Hyejoon . In: Open Economies Review. RePEc:kap:openec:v:28:y:2017:i:2:d:10.1007_s11079-016-9423-y.

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2017Order cancellations across investor groups: evidence from an emerging order-driven market. (2017). Chiao, Chaoshin ; Tong, Shiau-Yuan ; Wang, Zi-May . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:49:y:2017:i:4:d:10.1007_s11156-017-0620-6.

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2017Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:1718.

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2017FX Market Metrics: New Findings Based on CLS Bank Settlement Data. (2017). Levich, Richard M ; Hasbrouck, Joel . In: NBER Working Papers. RePEc:nbr:nberwo:23206.

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2017Should Retail Investors Leverage Be Limited?. (2017). Heimer, Rawley ; Simsek, Alp. In: NBER Working Papers. RePEc:nbr:nberwo:24176.

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2017What Are the Best Liquidity Proxies for Global Research?. (2017). Trzcinka, Charles ; Holden, Craig W. In: Review of Finance. RePEc:oup:revfin:v:21:y:2017:i:4:p:1355-1401..

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2018Do Behavioral Biases Affect Order Aggressiveness?. (2018). Bian, Jiangze ; Zhou, Hao ; Shi, Donghui ; Chan, Kalok . In: Review of Finance. RePEc:oup:revfin:v:22:y:2018:i:3:p:1121-1151..

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2017What Are the Best Liquidity Proxies for Global Research?. (2017). , Kingsley ; Trzcinka, Charles A ; Holden, Craig W. In: Review of Financial Studies. RePEc:oup:rfinst:v:21:y:2017:i:4:p:1355-1401..

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2017Price convergence within and between the Italian electricity day-ahead and dispatching services markets. (2017). Fontini, Fulvio ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Marco Fanno Working Papers. RePEc:pad:wpaper:0215.

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2017A risk control tool for foreign financial activities – A new derivatives pricing model. (2017). I-Ming Jiang, ; Skindilias, Konstantinos ; Karathanasopoulos, Andreas. In: Journal of Asset Management. RePEc:pal:assmgt:v:18:y:2017:i:4:d:10.1057_s41260-016-0023-6.

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2017Algorithmic Trading Behaviour and High-Frequency Liquidity Withdrawal in the FX Spot Market. (2017). Stenfors, Alexis ; Susai, Masayuki . In: Working Papers in Economics & Finance. RePEc:pbs:ecofin:2017-04.

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2017Liquidity Withdrawal in the FX Spot Market: A Cross-Country Study Using High-Frequency Data. (2017). Stenfors, Alexis ; Susai, Masayuki . In: Working Papers in Economics & Finance. RePEc:pbs:ecofin:2017-06.

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More than 100 citations found, this list is not complete...

Works by Angelo Ranaldo:

YearTitleTypeCited
2007Extreme Coexceedances in New EU Member States’ Stock Markets In: CREATES Research Papers.
[Full Text][Citation analysis]		paper46
2009Extreme coexceedances in new EU member states stock markets.(2009) In: Journal of Banking & Finance.
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2008Extreme Coexceedances in New EU Member States Stock Markets.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 46		paper
2009The Time-Varying Systematic Risk of Carry Trade Strategies In: CREATES Research Papers.
[Full Text][Citation analysis]		paper71
2009The Time-Varying Systematic Risk of Carry Trade Strategies.(2009) In: CEPR Discussion Papers.
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2011The Time-Varying Systematic Risk of Carry Trade Strategies.(2011) In: Journal of Financial and Quantitative Analysis.
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This paper has another version. Agregated cites: 71		article
2010The Time-Varying Systematic Risk of Carry Trade Strategies.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 71		paper
2009The Time-Varying Systematic Risk of Carry Trade Strategies.(2009) In: University of St. Gallen Department of Economics working paper series 2009.
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This paper has another version. Agregated cites: 71		paper
2008Wolf in Sheeps Clothing: The Active Investment Strategies behind Index Performance In: European Financial Management.
[Full Text][Citation analysis]		article1
2013Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums In: Journal of Finance.
[Full Text][Citation analysis]		article76
2010Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 76		paper
2018Judgement Day: algorithmic trading around the Swiss franc cap removal In: Bank of England working papers.
[Full Text][Citation analysis]		paper0
2018Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal.(2018) In: Working Papers on Finance.
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This paper has another version. Agregated cites: 0		paper
2018OTC premia In: Bank of England working papers.
[Full Text][Citation analysis]		paper0
2008Does FOMC News Increase Global FX Trading? In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper5
2011Does FOMC news increase global FX trading?.(2011) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 5		article
2008Does FOMC News Increase Global FX Trading?.(2008) In: Working Papers.
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2009Safe Haven Currencies In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper110
2010Safe Haven Currencies.(2010) In: Review of Finance.
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This paper has another version. Agregated cites: 110		article
2007Safe Haven Currencies.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 110		paper
2007Safe Haven Currencies.(2007) In: University of St. Gallen Department of Economics working paper series 2007.
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This paper has another version. Agregated cites: 110		paper
2013Risk spillovers in international equity portfolios In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article3
2012Risk spillovers in international equity portfolios.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 3		paper
2012Risk Spillovers in International Equity Portfolios.(2012) In: Working Papers on Finance.
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This paper has another version. Agregated cites: 3		paper
2004Order aggressiveness in limit order book markets In: Journal of Financial Markets.
[Full Text][Citation analysis]		article130
2009Segmentation and time-of-day patterns in foreign exchange markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article8
2007Segmentation and Time-of-Day Patterns in Foreign Exchange Markets.(2007) In: Working Papers.
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This paper has another version. Agregated cites: 8		paper
2013On the predictability of stock prices: A case for high and low prices In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article7
2011On the Predictability of Stock Prices: A Case for High and Low Prices..(2011) In: Marco Fanno Working Papers.
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This paper has another version. Agregated cites: 7		paper
2011On the Predictability of Stock Prices: a Case for High and Low Prices.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 7		paper
2012On the Predictability of Stock Prices: a Case for High and Low Prices.(2012) In: Working Papers on Finance.
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This paper has another version. Agregated cites: 7		paper
2010The reaction of asset markets to Swiss National Bank communication In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article30
2007The reaction of asset markets to Swiss National Bank communication.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30		paper
2002Market Dynamics Around Public Information Arrivals In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper1
2005Realized Bond-Stock Correlation: Macroeconomic Announcement Effects In: Finance Research Group Working Papers.
[Full Text][Citation analysis]		paper25
2006Realized Bond-Stock Correlation: Macroeconomic Announcement Effects.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25		paper
2007Realized bond—stock correlation: Macroeconomic announcement effects.(2007) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25		article
2009Editorial In: Financial Markets and Portfolio Management.
[Full Text][Citation analysis]		article0
2009The implementation of SNB monetary policy In: Financial Markets and Portfolio Management.
[Full Text][Citation analysis]		article6
2009The Implementation of SNB Monetary Policy.(2009) In: University of St. Gallen Department of Economics working paper series 2009.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2011Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland In: Financial Markets and Portfolio Management.
[Full Text][Citation analysis]		article2
2013Intraday Patterns in FX Returns and Order Flow In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]		article4
2012Intraday Patterns in FX Returns and Order Flow.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2011Intraday patterns in FX returns and order flow.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 4		paper
2015Understanding FX Liquidity In: Review of Financial Studies.
[Full Text][Citation analysis]		article26
2015Understanding FX Liquidity.(2015) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26		paper
2016The Euro Interbank Repo Market In: Review of Financial Studies.
[Full Text][Citation analysis]		article48
2015The Euro Interbank Repo Market.(2015) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48		paper
2012Intraday Patterns in FX Returns and Order Flow In: Working Papers.
[Full Text][Citation analysis]		paper0
2016Uniform-price auctions for Swiss government bonds: Origin and evolution In: Economic Studies.
[Full Text][Citation analysis]		paper0
2016Uniform-price Auctions for Swiss Government Bonds: Origin and Evolution.(2016) In: Working Papers on Finance.
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This paper has another version. Agregated cites: 0		paper
2006Intraday Market Dynamics Around Public Information Arrivals In: Working Papers.
[Full Text][Citation analysis]		paper4
2009Forecasting realized (co)variances with a block structure Wishart autoregressive model In: Working Papers.
[Full Text][Citation analysis]		paper22
2012Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model.(2012) In: Working Papers on Finance.
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This paper has another version. Agregated cites: 22		paper
2010Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity In: Working Papers.
[Full Text][Citation analysis]		paper18
2012Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity.(2012) In: Working Papers on Finance.
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This paper has another version. Agregated cites: 18		paper
2012A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices In: The European Journal of Finance.
[Full Text][Citation analysis]		article4
2015Precious metals under the microscope: a high-frequency analysis In: Quantitative Finance.
[Full Text][Citation analysis]		article4
2014Precious Metals Under the Microscope: A High-Frequency Analysis.(2014) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2018Unsecured and Secured Funding In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2016Unsecured and Secured Funding.(2016) In: Working Papers on Finance.
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This paper has another version. Agregated cites: 1		paper
2013Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals In: Working Papers on Finance.
[Full Text][Citation analysis]		paper0
2013Monetary Policy Effects on Long-term Rates and Stock Prices In: Working Papers on Finance.
[Full Text][Citation analysis]		paper1
2016Fragility of Money Markets In: Working Papers on Finance.
[Full Text][Citation analysis]		paper6
2017A 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 e In: Working Papers on Finance.
[Full Text][Citation analysis]		paper0
2017Explaining the Failure of the Expectations Hypothesis with Short-Term Rates In: Working Papers on Finance.
[Full Text][Citation analysis]		paper0

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