15
H index
17
i10 index
1344
Citations
Universität St. Gallen (50% share) | 15 H index 17 i10 index 1344 Citations RESEARCH PRODUCTION: 28 Articles 66 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Angelo Ranaldo. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Financial Economics | 4 |
Journal of Banking & Finance | 4 |
Financial Markets and Portfolio Management | 3 |
Review of Financial Studies | 3 |
Journal of Money, Credit and Banking | 2 |
Year | Title of citing document | |
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2021 | Loss Sharing in Central Clearinghouses: Winners and Losers. (2021). Sherman, Mila Getmansky ; Pelizzon, Loriana ; Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:066. Full description at Econpapers || Download paper | |
2021 | Forecasting open-high-low-close data contained in candlestick chart. (2021). Wang, Shanshan ; Huang, Wenyang. In: Papers. RePEc:arx:papers:2104.00581. Full description at Econpapers || Download paper | |
2021 | Foreign exchange markets: price response and spread impact. (2021). Henao, Juan Camilo ; Guhr, Thomas. In: Papers. RePEc:arx:papers:2104.09309. Full description at Econpapers || Download paper | |
2021 | Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk. (2021). Roncalli, Thierry ; Karray-Meziou, Fatma ; Cherief, Amina ; Regnault, Margaux. In: Papers. RePEc:arx:papers:2105.08377. Full description at Econpapers || Download paper | |
2021 | Modelling risk for commodities in Brazil: An application to live cattle spot and futures prices. (2021). J. A. C. Santos, ; Eg, A D ; Bernardino, W ; Alcoforado, R G. In: Papers. RePEc:arx:papers:2107.07556. Full description at Econpapers || Download paper | |
2021 | Behavioral Bias Benefits: Beating Benchmarks By Bundling Bouncy Baskets. (2021). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2109.03740. Full description at Econpapers || Download paper | |
2021 | Using Network-based Causal Inference to Detect the Sources of Contagion in the Currency Market. (2021). Cook, Samantha ; Wit, Ernst-Jan Camiel ; Rigana, Katerina. In: Papers. RePEc:arx:papers:2112.13127. Full description at Econpapers || Download paper | |
2022 | Industry Characteristics and Financial Risk Spillovers. (2022). Chiua, Wan-Chien ; Wang, Chih-Wei ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.02263. Full description at Econpapers || Download paper | |
2022 | Imitate then Transcend: Multi-Agent Optimal Execution with Dual-Window Denoise PPO. (2022). Zhang, Xinwen ; Xiang, YI ; Weng, Jiacheng ; Fang, Jin. In: Papers. RePEc:arx:papers:2206.10736. Full description at Econpapers || Download paper | |
2021 | Monetary policy, Twitter and financial markets: evidence from social media traffic. (2021). Romelli, Davide ; Rubera, Gaia ; Masciandaro, Donato. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20160. Full description at Econpapers || Download paper | |
2021 | Monetary policy, Twitter and financial markets: evidence from social media traffic. (2021). Romelli, Davide ; Rubera, Gaia ; Masciandaro, Donato. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp21160. Full description at Econpapers || Download paper | |
2021 | Foreign Exchange Fixings and Returns Around the Clock. (2021). Whelan, Paul ; Mueller, Philippe ; Krohn, Ingomar. In: Staff Working Papers. RePEc:bca:bocawp:21-48. Full description at Econpapers || Download paper | |
2022 | Lending Relationships and Currency Hedging. (2022). Araujo, Gustavo ; Oliveira, Raquel F ; Schiozer, Rafael ; Leo, Sergio . In: Working Papers Series. RePEc:bcb:wpaper:565. Full description at Econpapers || Download paper | |
2021 | A composite indicator of sovereign bond market liquidity in the euro area. (2021). Taboga, Marco ; Poli, Riccardo. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_663_21. Full description at Econpapers || Download paper | |
2021 | Identifying deposits outflows in real-time. (2021). Rainone, Edoardo. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1319_21. Full description at Econpapers || Download paper | |
2021 | Los determinantes de la liquidez en Colombia: un análisis del mercado de divisas de contado. (2021). Gamboa-Estrada, Fredy ; Castaeda-Arevalo, David. In: Borradores de Economia. RePEc:bdr:borrec:1185. Full description at Econpapers || Download paper | |
2022 | What drives repo haircuts? Evidence from the UK market. (2022). Pinter, Gabor ; Yuan, Kathy ; Todorov, Karamfil ; Julliard, Christian. In: BIS Working Papers. RePEc:bis:biswps:1027. Full description at Econpapers || Download paper | |
2021 | Measuring Market Liquidity and Liquidity Mismatches across Sectors. (2021). Ponomarenko, Alexey ; Burova, Anna ; Makhankova, Natalia ; Akhmetov, Arthur. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps82. Full description at Econpapers || Download paper | |
2021 | Behavioural Bias Benefits: Beating Benchmarks By Bundling Bouncy Baskets. (2021). Kashyap, Ravi. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4885-4921. Full description at Econpapers || Download paper | |
2021 | Gender, ethnicity and stock liquidity: evidence from South Africa. (2021). Muniandy, Balachandran ; Nguyen, Ha Thanh . In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:2337-2377. Full description at Econpapers || Download paper | |
2021 | Is faster or slower trading better? An examination of order type execution speed and costs. (2021). Wu, Fei ; Huang, Tao ; Garvey, Ryan. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:2:p:326-363. Full description at Econpapers || Download paper | |
2021 | The role of asymmetry and dynamics in carry trade and general financial markets. (2021). Wu, ChihChiang ; Huang, Meichi. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:331-353. Full description at Econpapers || Download paper | |
2022 | Doubly heterogeneous monetary spillovers. (2022). Shah, Nihar. In: International Finance. RePEc:bla:intfin:v:25:y:2022:i:2:p:126-150. Full description at Econpapers || Download paper | |
2021 | Intraday order placement and execution in a limit order market: Evidence from the Indonesia stock market. (2021). Rhee, Ghon S ; Liu, Chunlin ; Ekaputra, Irwan A ; Zeng, Hongchao. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:2:p:404-429. Full description at Econpapers || Download paper | |
2021 | Liquidity risk and corporate bond yield spread: Evidence from China. (2021). Jiang, Lunan ; Chen, Yinghui. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:4:p:1117-1151. Full description at Econpapers || Download paper | |
2021 | Risk reduction using trailing stop?loss rules. (2021). Visaltanachoti, Nuttawat ; Marshall, Ben R ; Dai, Bochuan ; Nguyen, Nhut H. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:4:p:1334-1352. Full description at Econpapers || Download paper | |
2022 | Euro Area: Towards a European Common Bond? – Empirical Evidence from the Sovereign Debt Markets. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Journal of Common Market Studies. RePEc:bla:jcmkts:v:60:y:2022:i:4:p:1019-1046. Full description at Econpapers || Download paper | |
2022 | Liquidity measurement: A comparative review of the literature with a focus on high frequency. (2022). Ekinci, Cumhur ; Guloglu, Zeynep Cobandag. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:1:p:41-74. Full description at Econpapers || Download paper | |
2022 | Common Risk Factors in Cryptocurrency. (2022). Wu, XI ; Tsyvinski, Aleh ; Liu, Yukun. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:1133-1177. Full description at Econpapers || Download paper | |
2021 | Do Investors Care Who Did the Audit? Evidence from Form AP. (2021). Lopez, Thomas J ; Lawson, James G ; Doxey, Marcus M ; Swanquist, Quinn T. In: Journal of Accounting Research. RePEc:bla:joares:v:59:y:2021:i:5:p:1741-1782. Full description at Econpapers || Download paper | |
2022 | Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc. (2022). Hertrich, Markus. In: Review of International Economics. RePEc:bla:reviec:v:30:y:2022:i:2:p:450-489. Full description at Econpapers || Download paper | |
2021 | Peer Monitoring vs. Search Costs in the Interbank Market: Evidence from Payment Flow Data in Norway. (2021). Findreng, Jon H. In: Working Paper. RePEc:bno:worpap:2021_2. Full description at Econpapers || Download paper | |
2021 | How do secured funding markets behave under stress? Evidence from the gilt repo market. (2021). Veraart, Luitgard ; Lepore, Caterina ; Huser, Anne-Caroline. In: Bank of England working papers. RePEc:boe:boeewp:0910. Full description at Econpapers || Download paper | |
2021 | The repo market under Basel III. (2021). Katsoulis, Petros ; Gerba, Eddie. In: Bank of England working papers. RePEc:boe:boeewp:0954. Full description at Econpapers || Download paper | |
2021 | The Pricing of Unexpected Volatility in the Currency Market. (2021). Xu, Yongdeng ; Lu, Wenna ; Copeland, Laurence. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2021/16. Full description at Econpapers || Download paper | |
2021 | A Factor Model for Cryptocurrency Returns. (2021). Babiak, Mykola ; Bianchi, Daniele. In: CERGE-EI Working Papers. RePEc:cer:papers:wp710. Full description at Econpapers || Download paper | |
2022 | Trading Volume and Liquidity Provision in Cryptocurrency Markets. (2022). Dickerson, Alexander ; Babiak, Mykola ; Bianchi, Daniele. In: CERGE-EI Working Papers. RePEc:cer:papers:wp730. Full description at Econpapers || Download paper | |
2022 | Can Time-Varying Currency Risk Hedging Explain Exchange Rates?. (2022). Hau, Harald ; Brauer, Leonie. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10065. Full description at Econpapers || Download paper | |
2021 | Currency Anomalies. (2021). Bartram, Söhnke ; Garratt, Anthony ; Djuranovik, Leslie . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15653. Full description at Econpapers || Download paper | |
2021 | (In)efficient repo markets. (2021). Schuerhoff, Norman ; Schurhoff, Norman ; Mancini, Loriano ; Dieler, Tobias. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15782. Full description at Econpapers || Download paper | |
2022 | The Eurosystem’s bond market share at an all-time high: what does it mean for repo markets?. (2022). Hudepohl, Tom ; de Souza, Toms Carrera. In: Working Papers. RePEc:dnb:dnbwpp:745. Full description at Econpapers || Download paper | |
2021 | Hedge and safe haven status of Bitcoin: copula-DCC approach. (2021). Zhuo, Juanjuan ; Kumamoto, Masao. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00425. Full description at Econpapers || Download paper | |
2021 | Asset encumbrance in euro area banks: analysing trends, drivers and prediction properties for individual bank crises. (2021). Cesati, Enrico ; Berthonnaud, Pierre ; Vroege, Robert ; Siakoulis, Vasileios ; Schwarz, Claudia ; Schneider, Ludwig ; Lanciani, Marcello ; Kick, Heinrich ; Jager, Kirsten ; Drudi, Maria Ludovica. In: Occasional Paper Series. RePEc:ecb:ecbops:2021261. Full description at Econpapers || Download paper | |
2021 | Non-bank financial intermediation in the euro area: implications for monetary policy transmission and key vulnerabilities. (2021). Taboga, Marco ; Moura, Alban ; Migiakis, Petros ; Maddaloni, Angela ; Mazelis, Falk ; Mayordomo, Sergio ; Kaufmann, Christoph ; Matilainen, Jani ; Holm-Hadulla, Federic ; Schober-Rhomberg, Alexandra ; Nicoletti, Giulio ; Tavares, Luis Miguel ; Gulan, Adam ; Corradin, Stefano ; Sedillot, Franck ; Cappiello, Lorenzo ; Ratnovski, Lev ; Behrens, Caterina ; Guazzarotti, Giovanni ; Koskinen, Kimmo ; Pierrard, Olivier ; Asimakopoulos, Ioannis ; Stupariu, Patricia ; Meme, Nicolas ; Avakian, Lucia Kazarian ; Golden, Brian ; Arts, Laura ; Soares, Carla ; Petersen, Annelie ; McCarthy, Barra ; Unger, Robert ; Giuzio, Margherita ; Zaghini, Andrea ; Sigmund, Michael ; Niemela, Juha ; van den | |
2021 | Assessing the efficacy, efficiency and potential side effects of the ECB’s monetary policy instruments since 2014. (2021). von Landesberger, Julian ; Tapking, Jens ; Linzert, Tobias ; Lemke, Wolfgang ; Altavilla, Carlo ; Carlo Altavilla , . In: Occasional Paper Series. RePEc:ecb:ecbops:2021278. Full description at Econpapers || Download paper | |
2021 | Global risk and the dollar. (2021). Müller, Gernot ; Georgiadis, Georgios ; Schumann, Ben. In: Working Paper Series. RePEc:ecb:ecbwps:20212628. Full description at Econpapers || Download paper | |
2022 | Liquidation value and loan pricing. (2022). Schepens, Glenn ; Sigaux, Jean-David ; Barbiero, Francesca. In: Working Paper Series. RePEc:ecb:ecbwps:20222645. Full description at Econpapers || Download paper | |
2022 | Monetary policy transmission in segmented markets. (2022). Zhang, Anthony Lee ; Ma, Yiming ; Eisenschmidt, Jens. In: Working Paper Series. RePEc:ecb:ecbwps:20222706. Full description at Econpapers || Download paper | |
2023 | Window dressing of regulatory metrics: evidence from repo markets. (2023). Waibel, Martin ; Grill, Michael ; Behn, Markus ; Bassi, Claudio. In: Working Paper Series. RePEc:ecb:ecbwps:20232771. Full description at Econpapers || Download paper | |
2021 | Fraud commitment in a smaller world: Evidence from a natural experiment. (2021). Zhang, Feida Frank ; Tong, Jamie Yixing ; Ouyang, Caiyue ; Xiong, Jiacai. In: Journal of Corporate Finance. RePEc:eee:corfin:v:70:y:2021:i:c:s0929119921002121. Full description at Econpapers || Download paper | |
2021 | Is gold a hedge or a safe-haven asset in the COVID–19 crisis?. (2021). Sensoy, Ahmet ; Lucey, Brian M ; Boubaker, Sabri ; Akhtaruzzaman, MD. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001772. Full description at Econpapers || Download paper | |
2021 | The impact of offshore exchange rate expectations on onshore exchange rates: The case of Chinese RMB. (2021). Xu, Xiangyun ; Ren, Junfan ; Shen, Yao ; Jia, Fei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302321. Full description at Econpapers || Download paper | |
2022 | Rigid payment breaking, default spread and yields of Chinese treasury bonds. (2022). Xu, Xiangyun ; Jia, Fei ; Chen, Yunping ; Yu, Cong ; Huang, Xiaoyong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001777. Full description at Econpapers || Download paper | |
2022 | Determining hedges and safe havens for stocks using interval analysis. (2022). Hsueh, Shao-Chieh ; Liu, Yilei ; Ju, Peijie ; Chang, Meng-Shiuh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000274. Full description at Econpapers || Download paper | |
2022 | Order Choices: An Intraday Analysis of the Taiwan Stock Exchange. (2022). Lo, Hsiang-Yu ; Hung, Pi-Hsia ; Lien, Donald. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000912. Full description at Econpapers || Download paper | |
2022 | Measuring liquidity with return volatility: An analytical approach based on heavy-tailed Censored-GARCH model. (2022). Wang, Mingjin ; Gao, Yang ; Zhao, Wandi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001164. Full description at Econpapers || Download paper | |
2022 | Asymptotic properties of correlation-based principal component analysis. (2022). Yang, Xiye ; Choi, Jungjun. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:1-18. Full description at Econpapers || Download paper | |
2022 | On the transmission of monetary policy to the housing market. (2022). Koeniger, Winfried ; Ramelet, Marc-Antoine ; Lennartz, Benedikt. In: European Economic Review. RePEc:eee:eecrev:v:145:y:2022:i:c:s0014292122000496. Full description at Econpapers || Download paper | |
2022 | Deep reinforcement learning for the optimal placement of cryptocurrency limit orders. (2022). Schnaubelt, Matthias. In: European Journal of Operational Research. RePEc:eee:ejores:v:296:y:2022:i:3:p:993-1006. Full description at Econpapers || Download paper | |
2022 | Low liquidity beta anomaly in China. (2022). Li, Youwei ; Vigne, Samuel A ; Han, Xing ; Frommel, Michael. In: Emerging Markets Review. RePEc:eee:ememar:v:50:y:2022:i:c:s1566014121000406. Full description at Econpapers || Download paper | |
2021 | Trading activity and price discovery in Bitcoin futures markets. (2021). Yang, Jimmy J ; Liu, Hung-Chun ; Hung, Jui-Cheng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:107-120. Full description at Econpapers || Download paper | |
2022 | Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model. (2022). Hambuckers, J ; Ulm, M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:125-148. Full description at Econpapers || Download paper | |
2022 | Uncovered interest rate parity redux: Non-uniform effects. (2022). Cheung, Yin-Wong ; Wang, Wenhao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:67:y:2022:i:c:p:133-151. Full description at Econpapers || Download paper | |
2022 | Small is beautiful? How the introduction of mini futures contracts affects the regular contracts. (2022). Theissen, Erik ; Greppmair, Stefan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:67:y:2022:i:c:p:19-38. Full description at Econpapers || Download paper | |
2022 | Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19. (2022). Jamasb, Tooraj ; Nepal, Rabindra ; Farid, Saqib ; Naeem, Muhammad Abubakr ; Arif, Muhammad. In: Energy Policy. RePEc:eee:enepol:v:168:y:2022:i:c:s0301421522003275. Full description at Econpapers || Download paper | |
2021 | The quality premium with leverage and liquidity constraints. (2021). Rubio, Gonzalo ; Gonzalez-Urteaga, Ana. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000429. Full description at Econpapers || Download paper | |
2021 | The role of the carbon market in relation to the cryptocurrency market: Only diversification or more?. (2021). Yang, Lu ; Hamori, Shigeyuki. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001940. Full description at Econpapers || Download paper | |
2022 | Senior official speech attributes and foreign exchange risk around business cycles. (2022). Welch, Robert ; Wang, Jiayu ; ben Omrane, Walid ; Ayadi, Mohamed A. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521921003240. Full description at Econpapers || Download paper | |
2022 | Does previous carry trade position affect following investors decision-making and carry returns?. (2022). Li, BO ; Chen, SU ; Zhang, Ziyun. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s105752192200031x. Full description at Econpapers || Download paper | |
2022 | Risk transmissions between bitcoin and traditional financial assets during the COVID-19 era: The role of global uncertainties. (2022). Gözgör, Giray ; Marco, Chi Keung ; Elsayed, Ahmed H. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000436. Full description at Econpapers || Download paper | |
2022 | Exchange rate return predictability in times of geopolitical risk. (2022). Narayan, Paresh Kumar ; Bach, Dinh Hoang ; Iyke, Bernard Njindan. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000692. Full description at Econpapers || Download paper | |
2022 | Are carry, momentum and value still there in currencies?. (2022). Sharma, Tripti ; O'Reilly, Philip ; O'Brien, John ; Kyziropoulos, Panagiotis E ; Hutchinson, Mark C. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002058. Full description at Econpapers || Download paper | |
2022 | The 2008 global financial crisis and COVID-19 pandemic: How safe are the safe haven assets?. (2022). Szulczyk, Kenneth R ; Faff, Robert ; Cheema, Muhammad A. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002691. Full description at Econpapers || Download paper | |
2021 | Understanding Bitcoin liquidity. (2021). Scharnowski, Stefan. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319311286. Full description at Econpapers || Download paper | |
2021 | Analyzing the Nonlinear Pricing of Liquidity Risk according to the Market State. (2021). Uribe, Jorge ; Chuliá, Helena ; Chulia, Helena ; Koser, Christoph. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320300933. Full description at Econpapers || Download paper | |
2021 | What drives the liquidity of cryptocurrencies? A long-term analysis. (2021). Theissen, Erik ; Mestel, Roland ; Brauneis, Alexander. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s154461231931400x. Full description at Econpapers || Download paper | |
2021 | Illiquidity contagion and pricing of commonality risk: Evidence from a dynamic conditional correlation model. (2021). Hueng, C. ; Huang, Peng ; Beyene, Nardos. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320302993. Full description at Econpapers || Download paper | |
2021 | Commonality in FX liquidity: High-frequency evidence. (2021). Sensoy, Ahmet ; Lucey, Brian M ; Uzun, Sevcan. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320304220. Full description at Econpapers || Download paper | |
2022 | Liquidity spillover in foreign exchange markets. (2022). Hsu, Chih-Chiang ; Gau, Yin-Feng ; Chang, Ya-Ting. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001860. Full description at Econpapers || Download paper | |
2022 | Exploring the hedge and safe haven properties of cryptocurrency in policy uncertainty. (2022). Hassan, M. Kabir ; Abdul Karim, Zulkefly ; Rashid, Md Mamunur ; Hasan, Md Bokhtiar. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003147. Full description at Econpapers || Download paper | |
2022 | Euro area stock markets integration: Empirical evidence after the end of 2010 debt crisis. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004128. Full description at Econpapers || Download paper | |
2022 | Price discovery in fiat currency and cryptocurrency markets. (2022). Wu, Zhen-Xing ; Gau, Yin-Feng ; Huang, Guan-Ying. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005535. Full description at Econpapers || Download paper | |
2022 | Commodity tail-risk and exchange rates. (2022). Rillo, Giovanni ; Bondatti, Massimiliano. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612322001994. Full description at Econpapers || Download paper | |
2022 | The dollar’s ”Convenience Yield”. (2022). Robe, Michel A. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001477. Full description at Econpapers || Download paper | |
2022 | The repo channel of cross-border lending in the European sovereign debt crisis. (2022). Luque, Jaime . In: Journal of Financial Markets. RePEc:eee:finmar:v:59:y:2022:i:pa:s1386418121000574. Full description at Econpapers || Download paper | |
2022 | Are retail investors less aggressive on small price stocks?. (2022). Roger, Tristan ; Metais, Carole . In: Journal of Financial Markets. RePEc:eee:finmar:v:59:y:2022:i:pa:s1386418121000604. Full description at Econpapers || Download paper | |
2021 | Can technical trading beat the foreign exchange market in times of crisis?. (2021). Yamani, Ehab. In: Global Finance Journal. RePEc:eee:glofin:v:48:y:2021:i:c:s1044028320300818. Full description at Econpapers || Download paper | |
2021 | Are safe haven assets really safe during the 2008 global financial crisis and COVID-19 pandemic?. (2021). Hassan, Kabir M ; Hasan, Md Bokhtiar ; Alhenawi, Yasser ; Rashid, Md Mamunur. In: Global Finance Journal. RePEc:eee:glofin:v:50:y:2021:i:c:s1044028321000661. Full description at Econpapers || Download paper | |
2022 | Safe havens in Islamic financial markets: COVID-19 versus GFC. (2022). Kamran, Muhammad ; Choudhury, Tonmoy ; Djajadikerta, Hadrian Geri ; Hassan, Kabir M. In: Global Finance Journal. RePEc:eee:glofin:v:54:y:2022:i:c:s1044028321000417. Full description at Econpapers || Download paper | |
2021 | Covered interest parity deviations: Macrofinancial determinants. (2021). Obstfeld, Maurice ; Cerutti, Eugenio ; Zhou, Haonan. In: Journal of International Economics. RePEc:eee:inecon:v:130:y:2021:i:c:s0022199621000246. Full description at Econpapers || Download paper | |
2021 | Currency returns and FX dealer balance sheets. (2021). Reitz, Stefan ; Umlandt, Dennis. In: Journal of International Economics. RePEc:eee:inecon:v:133:y:2021:i:c:s0022199621001215. Full description at Econpapers || Download paper | |
2022 | Currency volatility and global technological innovation. (2022). HSU, Po-Hsuan ; Xu, QI ; Wang, Zigan ; Taylor, Mark P. In: Journal of International Economics. RePEc:eee:inecon:v:137:y:2022:i:c:s0022199622000393. Full description at Econpapers || Download paper | |
2021 | The tail behavior of safe haven currencies: A cross-quantilogram analysis. (2021). Cho, Dooyeon ; Han, Heejoon. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:70:y:2021:i:c:s1042443120301414. Full description at Econpapers || Download paper | |
2021 | Flight to quality – Gold mining shares versus gold bullion. (2021). Schweikert, Karsten ; Prange, Philipp ; Baur, Dirk G. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000159. Full description at Econpapers || Download paper | |
2021 | International tail risk connectedness: Network and determinants. (2021). Lambe, Brendan John ; Nguyen, Linh Hoang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000512. Full description at Econpapers || Download paper | |
2021 | To hedge or not to hedge: Carry trade dynamics in the emerging economies. (2021). Ozyildirim, Suheyla ; Geyiki, Utku Bora. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000779. Full description at Econpapers || Download paper | |
2021 | Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengeti, Suleyman. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000962. Full description at Econpapers || Download paper | |
2021 | The conditional volatility premium on currency portfolios. (2021). Sakemoto, Ryuta ; Byrne, Joseph P. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s104244312100130x. Full description at Econpapers || Download paper | |
2022 | Currency carry trade: The decline in performance after the 2008 Global Financial Crisis. (2022). Zhang, QI ; Qi, Zhen ; Paseka, Alexander ; Fan, Zhenzhen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001670. Full description at Econpapers || Download paper | |
2022 | Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?. (2022). Vo, Xuan Vinh ; Alkhataybeh, Ahmad ; El-Nader, Ghaith ; al Rababa, Abdel Razzaq ; Ur, Mobeen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001992. Full description at Econpapers || Download paper | |
2022 | Informativeness of trades around macroeconomic announcements in the foreign exchange market. (2022). Gau, Yin-Feng ; Wu, Zhen-Xing. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000245. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2007 | Extreme Coexceedances in New EU Member States’ Stock Markets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 55 |
2009 | Extreme coexceedances in new EU member states stock markets.(2009) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 55 | article | |
2008 | Extreme Coexceedances in New EU Member States Stock Markets.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 55 | paper | |
2009 | The Time-Varying Systematic Risk of Carry Trade Strategies In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 116 |
2009 | The Time-Varying Systematic Risk of Carry Trade Strategies.(2009) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 116 | paper | |
2011 | The Time-Varying Systematic Risk of Carry Trade Strategies.(2011) In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 116 | article | |
2010 | The Time-Varying Systematic Risk of Carry Trade Strategies.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 116 | paper | |
2009 | The Time-Varying Systematic Risk of Carry Trade Strategies.(2009) In: University of St. Gallen Department of Economics working paper series 2009. [Full Text][Citation analysis] This paper has another version. Agregated cites: 116 | paper | |
2022 | On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges In: Papers. [Full Text][Citation analysis] | paper | 0 |
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2019 | Euro repo market functioning: collateral is king In: BIS Quarterly Review. [Full Text][Citation analysis] | article | 5 |
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2010 | Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 161 | paper | |
2018 | Judgement Day: algorithmic trading around the Swiss franc cap removal In: Bank of England working papers. [Full Text][Citation analysis] | paper | 7 |
2018 | Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal.(2018) In: Working Papers on Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2019 | Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal.(2019) In: Working Papers on Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
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2018 | OTC Premia.(2018) In: Working Papers on Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2019 | Regulatory effects on short-term interest rates In: Bank of England working papers. [Full Text][Citation analysis] | paper | 7 |
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2022 | Collateral cycles In: Bank of England working papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Collateral Cycles.(2022) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2022 | Foreign Exchange Swaps and Cross-Currency Swaps In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
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2008 | Does FOMC News Increase Global FX Trading? In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 9 |
2011 | Does FOMC news increase global FX trading?.(2011) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
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2009 | Safe Haven Currencies In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 228 |
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2007 | Safe Haven Currencies.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 228 | paper | |
2007 | Safe Haven Currencies.(2007) In: University of St. Gallen Department of Economics working paper series 2007. [Full Text][Citation analysis] This paper has another version. Agregated cites: 228 | paper | |
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2004 | Order aggressiveness in limit order book markets In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 179 |
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2007 | Segmentation and Time-of-Day Patterns in Foreign Exchange Markets.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
2013 | On the predictability of stock prices: A case for high and low prices In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 24 |
2011 | On the Predictability of Stock Prices: A Case for High and Low Prices..(2011) In: Marco Fanno Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
2011 | On the Predictability of Stock Prices: a Case for High and Low Prices.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
2012 | On the Predictability of Stock Prices: a Case for High and Low Prices.(2012) In: Working Papers on Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
2021 | Asymmetric information risk in FX markets In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 14 |
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2002 | Market Dynamics Around Public Information Arrivals In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
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2005 | Realized Bond-Stock Correlation: Macroeconomic Announcement Effects In: Finance Research Group Working Papers. [Full Text][Citation analysis] | paper | 33 |
2006 | Realized Bond-Stock Correlation: Macroeconomic Announcement Effects.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
2007 | Realized bond—stock correlation: Macroeconomic announcement effects.(2007) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | article | |
2009 | Editorial In: Financial Markets and Portfolio Management. [Full Text][Citation analysis] | article | 0 |
2009 | The implementation of SNB monetary policy In: Financial Markets and Portfolio Management. [Full Text][Citation analysis] | article | 8 |
2009 | The 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: 8 | paper | |
2011 | Do 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] | article | 2 |
2013 | Intraday Patterns in FX Returns and Order Flow In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 26 |
2012 | Intraday Patterns in FX Returns and Order Flow.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
2012 | Intraday Patterns in FX Returns and Order Flow.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
2011 | Intraday patterns in FX returns and order flow.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
2013 | Intraday Patterns in FX Returns and Order Flow.(2013) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | article | |
2015 | Understanding FX Liquidity In: Review of Financial Studies. [Full Text][Citation analysis] | article | 81 |
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2016 | The Euro Interbank Repo Market In: Review of Financial Studies. [Full Text][Citation analysis] | article | 89 |
2015 | The Euro Interbank Repo Market.(2015) In: Working Papers on Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 89 | paper | |
2017 | A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices In: Review of Financial Studies. [Full Text][Citation analysis] | article | 76 |
2016 | Uniform-price auctions for Swiss government bonds: Origin and evolution In: Economic Studies. [Full Text][Citation analysis] | paper | 3 |
2016 | Uniform-price Auctions for Swiss Government Bonds: Origin and Evolution.(2016) In: Working Papers on Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2006 | Intraday Market Dynamics Around Public Information Arrivals In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
2009 | Forecasting realized (co)variances with a block structure Wishart autoregressive model In: Working Papers. [Full Text][Citation analysis] | paper | 23 |
2012 | Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model.(2012) In: Working Papers on Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2010 | Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity In: Working Papers. [Full Text][Citation analysis] | paper | 56 |
2012 | Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity.(2012) In: Working Papers on Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 56 | paper | |
2012 | A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices In: The European Journal of Finance. [Full Text][Citation analysis] | article | 5 |
2015 | Precious metals under the microscope: a high-frequency analysis In: Quantitative Finance. [Full Text][Citation analysis] | article | 15 |
2014 | Precious 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: 15 | paper | |
2018 | Unsecured and Secured Funding In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
2016 | Unsecured and Secured Funding.(2016) In: Working Papers on Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2022 | Unsecured and Secured Funding.(2022) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2013 | Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals In: Working Papers on Finance. [Full Text][Citation analysis] | paper | 0 |
2013 | Monetary Policy Effects on Long-term Rates and Stock Prices In: Working Papers on Finance. [Full Text][Citation analysis] | paper | 1 |
2016 | Funding Illiquidity In: Working Papers on Finance. [Full Text][Citation analysis] | paper | 7 |
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 e In: Working Papers on Finance. [Full Text][Citation analysis] | paper | 0 |
2017 | The Forward Premium in Short-Term Rates In: Working Papers on Finance. [Full Text][Citation analysis] | paper | 0 |
2019 | Trading Volume, Illiquidity and Commonalities in FX Markets In: Working Papers on Finance. [Full Text][Citation analysis] | paper | 2 |
2020 | Liquidity Risk and Funding Cost In: Working Papers on Finance. [Full Text][Citation analysis] | paper | 0 |
2019 | Safe Asset Carry Trade In: Working Papers on Finance. [Full Text][Citation analysis] | paper | 0 |
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