15
H index
15
i10 index
979
Citations
Universität St. Gallen | 15 H index 15 i10 index 979 Citations RESEARCH PRODUCTION: 24 Articles 55 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 Banking & Finance | 4 |
Review of Financial Studies | 3 |
Financial Markets and Portfolio Management | 3 |
Working Papers Series with more than one paper published | # docs |
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Working Papers on Finance / University of St. Gallen, School of Finance | 22 |
Working Papers / Swiss National Bank | 14 |
University of St. Gallen Department of Economics working paper series 2009 / Department of Economics, University of St. Gallen | 2 |
Year | Title of citing document | |
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2020 | Benchmark Dataset for Mid-Price Forecasting of Limit Order Book Data with Machine Learning Methods. (2018). Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Magris, Martin ; Ntakaris, Adamantios. In: Papers. RePEc:arx:papers:1705.03233. Full description at Econpapers || Download paper | |
2020 | Informed trading, limit order book and implementation shortfall: equilibrium and asymptotics. (2020). Waelbroeck, Henri ; Ccetin, Umut. In: Papers. RePEc:arx:papers:2003.04425. Full description at Econpapers || Download paper | |
2020 | XVA Valuation under Market Illiquidity. (2020). Sturm, Stephan ; Pang, Weijie . In: Papers. RePEc:arx:papers:2011.03543. Full description at Econpapers || Download paper | |
2020 | Portfolio Optimization with 2D Relative-Attentional Gated Transformer. (2020). Khushi, Matloob ; Kim, Taewan. In: Papers. RePEc:arx:papers:2101.03138. Full description at Econpapers || Download paper | |
2020 | Tweeting on Monetary Policy and Market Sentiments: The Central Bank Surprise Index. (2020). Romelli, Davide ; masciandaro, donato ; Rubera, Gaia. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20134. 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 | |
2020 | FX spot and swap market liquidity spillovers. (2020). Sushko, Vladyslav ; Krohn, Ingomar. In: BIS Working Papers. RePEc:bis:biswps:836. Full description at Econpapers || Download paper | |
2020 | Moving markets? Government bond investors and microeconomic policy changes. (2020). Wibbels, Erik ; Paniagua, Victoria ; Mosley, Layna. In: Economics and Politics. RePEc:bla:ecopol:v:32:y:2020:i:2:p:197-249. Full description at Econpapers || Download paper | |
2020 | Safehavenness of the Chinese renminbi. (2020). Fong, Tom ; Tong, Alfred Yun. In: International Finance. RePEc:bla:intfin:v:23:y:2020:i:2:p:215-233. Full description at Econpapers || Download paper | |
2020 | The Short-Run Impact of Interest Rates on Exchange Rates: Results for the Swiss franc Against the Euro and US Dollar from Daily Data 2001-2011. (2020). Kugler, Peter. In: Working papers. RePEc:bsl:wpaper:2020/01. Full description at Econpapers || Download paper | |
2020 | Retaining Alpha: The Effect of Trade Size and Rebalancing Frequency on FX Strategy Returns. (2020). Melvin, Michael ; Pan, Wenqiang ; Wikstrom, Petra. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8143. Full description at Econpapers || Download paper | |
2020 | The Overnight Drift. (2020). Boyarchenko, Nina ; Larsen, Lars C ; Whelan, Paul. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14462. Full description at Econpapers || Download paper | |
2020 | Attention to the tail(s): global financial conditions and exchange rate risks. (2020). Sokol, Andrej ; Eguren-Martin, Fernando. In: Working Paper Series. RePEc:ecb:ecbwps:20202387. Full description at Econpapers || Download paper | |
2020 | Money markets, central bank balance sheet and regulation. (2020). Sigaux, Jean-David ; Hoerova, Marie ; Eisenschmidt, Jens ; Schepens, Glenn ; Linzert, Tobias ; Corradin, Stefano. In: Working Paper Series. RePEc:ecb:ecbwps:20202483. Full description at Econpapers || Download paper | |
2020 | A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage. (2020). Gradojevic, Nikola ; Genay, Ramazan ; Erdemlioglu, Deniz. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:57-73. Full description at Econpapers || Download paper | |
2020 | Time-varying dependence in European equity markets: A contagion and investor sentiment driven analysis. (2020). Pochea, Maria Miruna ; Nioi, Mihai. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:133-147. Full description at Econpapers || Download paper | |
2020 | Chinas liberalizing stock market, crude oil, and safe-haven assets: A linkage study based on a novel multivariate wavelet-vine copula approach. (2020). Li, Min ; Zhong, Rui ; Wang, Hao ; Ji, Hao. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:187-204. Full description at Econpapers || Download paper | |
2020 | Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries. (2020). Broto, Carmen ; Lamas, Matias. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:217-229. Full description at Econpapers || Download paper | |
2020 | States of psychological anchors and price behavior of Japanese yen futures. (2020). Wang, Yu-Chun ; Lu, Yang-Cheng ; Lee, Yun-Huan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302912. Full description at Econpapers || Download paper | |
2020 | Swiss National Bank communication and investors’ uncertainty. (2020). Huning, Hendrik. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819301366. Full description at Econpapers || Download paper | |
2020 | Industry risk transmission channels and the spillover effects of specific determinants in China’s stock market: A spatial econometrics approach. (2020). Jin, Xiu ; Chen, NA. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819301986. Full description at Econpapers || Download paper | |
2020 | Liquidity and firm value in an emerging market: Nonlinearity, political connections and corporate ownership. (2020). Lim, Kian-Ping ; Goh, Kim-Leng ; Chia, Yee-Ee. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300668. Full description at Econpapers || Download paper | |
2020 | Retail investors’ trading and stock market liquidity. (2020). Abudy, Menachem Meni. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301741. Full description at Econpapers || Download paper | |
2020 | Variance disparity and market frictions. (2020). Park, Yang-Ho. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:326-348. Full description at Econpapers || Download paper | |
2020 | Liquidity and volatility in the U.S. Treasury market. (2020). Fleming, Michael ; Engle, Robert ; Ghysels, Eric ; Nguyen, Giang. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:207-229. Full description at Econpapers || Download paper | |
2020 | Intraday-of-the-week effects: What do the exchange rate data tell us?. (2020). Narayan, Paresh Kumar ; Khademalomoom, Siroos. In: Emerging Markets Review. RePEc:eee:ememar:v:43:y:2020:i:c:s1566014119302031. Full description at Econpapers || Download paper | |
2020 | What is the best proxy for liquidity in the presence of extreme illiquidity?. (2020). Będowska-Sójka, Barbara ; Echaust, Krzysztof ; Bdowska-Sojka, Barbara. In: Emerging Markets Review. RePEc:eee:ememar:v:43:y:2020:i:c:s1566014119302080. Full description at Econpapers || Download paper | |
2020 | More shareholders, higher liquidity? Evidence from an emerging stock market. (2020). Goh, Kim-Leng ; Lim, Kian-Ping ; Chia, Yee-Ee. In: Emerging Markets Review. RePEc:eee:ememar:v:44:y:2020:i:c:s1566014118305016. Full description at Econpapers || Download paper | |
2020 | A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends.. (2020). Golpe, Antonio ; Bravo, Jose Manuel ; Vides, Jose Carlos ; Iglesias, Jesus. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s014098831930341x. Full description at Econpapers || Download paper | |
2020 | Are hedge funds active market liquidity timers?. (2020). Li, Chenlu ; Tee, Kai-Hong. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521918306641. Full description at Econpapers || Download paper | |
2020 | Liquidity commonality and high frequency trading: Evidence from the French stock market. (2020). Fontaine, Patrice ; Anagnostidis, Panagiotis. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521919305320. Full description at Econpapers || Download paper | |
2020 | Liquidity, implied volatility and tail risk: A comparison of liquidity measures. (2020). Righi, Marcelo Brutti ; Ramos, Henrique Pinto. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301071. Full description at Econpapers || Download paper | |
2020 | Uncovering the time-varying relationship between commonality in liquidity and volatility. (2020). Uribe, Jorge ; Chuliá, Helena ; Koser, Christoph ; Chulia, Helena. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301101. Full description at Econpapers || Download paper | |
2020 | Searching for safe-haven assets during the COVID-19 pandemic. (2020). Zhang, Dayong ; Ji, Qiang ; Zhao, Yuqian. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301708. Full description at Econpapers || Download paper | |
2020 | Does Bitcoin still own the dominant power? An intraday analysis. (2020). Ngene, Geoffrey M ; Wang, Jinghua. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301952. Full description at Econpapers || Download paper | |
2020 | Stock-bond return correlations: Moving away from “one-frequency-fits-all” by extending the DCC-MIDAS approach. (2020). Iania, Leonardo ; Allard, Anne-Florence ; Smedts, Kristien. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920302015. Full description at Econpapers || Download paper | |
2020 | Multiple duration analyses of dynamic limit order placement strategies and aggressiveness in a low-latency market environment. (2020). LE, Thai-Ha ; Tu, Anh ; Fong, Kingsley Y ; Liu, Wai-Man. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302192. Full description at Econpapers || Download paper | |
2020 | Commonality in liquidity across options and stock futures markets. (2020). ap Gwilym, Owain ; Williams, Gwion ; Benzennou, Bouchra. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318305762. Full description at Econpapers || Download paper | |
2020 | The timing of the flight to gold: An intra-day analysis of gold and the S&P500. (2020). Kuck, Konstantin ; Baur, Dirk G. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319301448. Full description at Econpapers || Download paper | |
2020 | The leverage ratio and liquidity in the gilt and gilt repo markets. (2020). Elliott, David ; Bicu-Lieb, Andreea ; Chen, Louisa. In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s1386418118302039. Full description at Econpapers || Download paper | |
2020 | Tales of tails: Jumps in currency markets. (2020). Wang, Minho ; Lee, Suzanne S. In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s138641811830243x. Full description at Econpapers || Download paper | |
2020 | In law we trust: Lawyer CEOs and stock liquidity. (2020). Pham, Mia Hang. In: Journal of Financial Markets. RePEc:eee:finmar:v:50:y:2020:i:c:s1386418120300173. Full description at Econpapers || Download paper | |
2020 | Retaining alpha: The effect of trade size and rebalancing frequency on FX strategy returns. (2020). Pan, Wenqiang ; Melvin, Michael ; Wikstrom, Petra. In: Journal of Financial Markets. RePEc:eee:finmar:v:51:y:2020:i:c:s1386418120300148. Full description at Econpapers || Download paper | |
2020 | Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets. (2020). Szersze, Pawe J ; Aramonte, Sirio. In: Journal of Financial Markets. RePEc:eee:finmar:v:51:y:2020:i:c:s1386418120300288. Full description at Econpapers || Download paper | |
2020 | The role of carry trades on the effectiveness of Japans quantitative easing. (2020). Chuffart, Thomas ; Dell'Eva, Cyril. In: International Economics. RePEc:eee:inteco:v:161:y:2020:i:c:p:30-40. Full description at Econpapers || Download paper | |
2020 | Volatility and dynamic currency hedging. (2020). McDonald, Judith Ann ; Min, Hong-Ghi ; Cho, Jae-Beom. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s104244311930321x. Full description at Econpapers || Download paper | |
2020 | Liquidity connectedness and output synchronisation. (2020). Inekwe, John. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:66:y:2020:i:c:s1042443120300925. Full description at Econpapers || Download paper | |
2020 | Examining stress in Asian currencies: A perspective offered by high frequency financial market data. (2020). Treepongkaruna, Sirimon ; Matei, Marius ; Dungey, Mardi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120300846. Full description at Econpapers || Download paper | |
2020 | From CIP-deviations to a market for risk premia: A dynamic investigation of cross-currency basis swaps. (2020). Gabauer, David ; Chatziantoniou, Ioannis ; Stenfors, Alexis. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:69:y:2020:i:c:s1042443120301293. Full description at Econpapers || Download paper | |
2020 | Market in Financial Instruments Directive (MiFID), stock price informativeness and liquidity. (2020). Poshakwale, Sunil ; Agarwal, Vineet ; Aghanya, Daniel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426619303036. Full description at Econpapers || Download paper | |
2020 | On the term structure of liquidity in the European sovereign bond market. (2020). Papavassiliou, Vassilios ; Osullivan, Conall. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:114:y:2020:i:c:s0378426620300455. Full description at Econpapers || Download paper | |
2020 | Domestic versus foreign listing: Does a CEOs educational experience matter?. (2020). Bai, Xiaoou ; Xia, Wei. In: Journal of Business Venturing. RePEc:eee:jbvent:v:35:y:2020:i:1:s0883902618300910. Full description at Econpapers || Download paper | |
2020 | Economic momentum and currency returns. (2020). Hasseltoft, Henrik ; Dahlquist, Magnus. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:1:p:152-167. Full description at Econpapers || Download paper | |
2020 | Global currency hedging with common risk factors. (2020). Riddiough, Steven J ; Opie, Wei. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:3:p:780-805. Full description at Econpapers || Download paper | |
2020 | The importance of being special: Repo markets during the crisis. (2020). Maddaloni, Angela ; Corradin, Stefano. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:2:p:392-429. Full description at Econpapers || Download paper | |
2020 | The scarcity effect of QE on repo rates: Evidence from the euro area. (2020). Vari, Miklos ; Rahmouni-Rousseau, Imene ; Nguyen, Benoit ; Arrata, William. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:3:p:837-856. Full description at Econpapers || Download paper | |
2020 | The price effects of liquidity shocks: A study of the SEC’s tick size experiment. (2020). Yao, Chen ; Song, Shiyun ; Albuquerque, Rui. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:3:p:700-724. Full description at Econpapers || Download paper | |
2021 | Attractive and non-attractive currencies. (2021). Marsh, Ian W ; James, Jessica ; Dupuy, Philippe. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302096. Full description at Econpapers || Download paper | |
2021 | Can risk explain the profitability of technical trading in currency markets?. (2021). Neely, Christopher ; Famiglietti, Matthew T ; Weller, Paul ; Ivanova, Yuliya . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302412. Full description at Econpapers || Download paper | |
2020 | Testing for multiple bubbles in the copper price: Periodically collapsing behavior. (2020). Wang, Xiao-Qing ; Su, Chi-Wei ; Lobon, Oana-Ramona ; Moldovan, Nicoleta-Claudia ; Tao, Ran ; Zhu, Haotian. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719301825. Full description at Econpapers || Download paper | |
2020 | Dynamics and correlation of platinum-group metals spot prices. (2020). Bao, Dun. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420720301975. Full description at Econpapers || Download paper | |
2020 | Limit order submission risks, order choice, and tick size. (2020). Yamamoto, Ryuichi. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:59:y:2020:i:c:s0927538x19302732. Full description at Econpapers || Download paper | |
2020 | Price discovery, order submission, and tick size during preopen period. (2020). Yamamoto, Ryuichi ; Xiao, Xijuan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:63:y:2020:i:c:s0927538x20302067. Full description at Econpapers || Download paper | |
2021 | Information content of liquidity and volatility measures. (2021). Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara ; Kliber, Agata. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:563:y:2021:i:c:s0378437120307627. Full description at Econpapers || Download paper | |
2020 | The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach. (2020). Iglesias, Jesus ; Golpe, Antonio A ; Vides, Jose Carlos. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:124-137. Full description at Econpapers || Download paper | |
2020 | Are there any other safe haven assets? Evidence for “exotic” and alternative assets. (2020). Kenourgios, Dimitris ; Dimitriou, Dimitrios ; Simos, Theodore. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:614-628. Full description at Econpapers || Download paper | |
2020 | Measuring the multi-faceted dimension of liquidity in financial markets: A literature review. (2020). Diaz, Antonio ; Escribano, Ana. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918311024. Full description at Econpapers || Download paper | |
2020 | Liquidity risk and stock performance during the financial crisis. (2020). Dang, Tung ; Hue, Thi Minh. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919302831. Full description at Econpapers || Download paper | |
2020 | Are stablecoins truly diversifiers, hedges, or safe havens against traditional cryptocurrencies as their name suggests?. (2020). Ma, Xin-Yu ; Wang, Gang-Jin ; Wu, Hao-Yu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919311146. Full description at Econpapers || Download paper | |
2020 | Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic. (2020). Corbet, Shaen ; Conlon, Thomas ; McGee, Richard J. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920304438. Full description at Econpapers || Download paper | |
2020 | The effect of global and regional stock market shocks on safe haven assets. (2020). GUPTA, RANGAN ; Demirer, Riza ; Balcilar, Mehmet ; Wohar, Mark E. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:54:y:2020:i:c:p:297-308. Full description at Econpapers || Download paper | |
2020 | Modelling bid-ask spread conditional distributions using hierarchical correlation reconstruction. (2020). Gurgul, Henryk ; Duda, Jarosaw ; Syrek, Robert. In: Statistics in Transition New Series. RePEc:exl:29stat:v:21:y:2020:i:5:p:99-118. Full description at Econpapers || Download paper | |
2020 | Zeroing in on the Expected Returns of Anomalies. (2020). Chen, Andrew ; Velikov, Mihail. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-39. Full description at Econpapers || Download paper | |
2020 | The Overnight Drift. (2020). Boyarchenko, Nina ; Whelan, Paul ; Larsen, Lars C. In: Staff Reports. RePEc:fip:fednsr:87539. Full description at Econpapers || Download paper | |
2020 | Shaking Stability: COVID-19 Impact on the Visegrad Group Countries’ Financial Markets. (2020). Laputkova, Adriana ; Beneova, Irena ; Kotyza, Pavel ; Wielechowski, Micha ; Czech, Katarzyna. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:15:p:6282-:d:394421. Full description at Econpapers || Download paper | |
2020 | Diversifier or More? Hedge and Safe Haven Properties of Green Bonds During COVID-19. (2020). Nepal, Rabindra ; Jamasb, Tooraj ; Farid, Saqib ; Naeem, Muhammad Abubakr ; Arif, Muhammad. In: Working Papers. RePEc:hhs:cbsnow:2021_001. Full description at Econpapers || Download paper | |
2020 | Dollar carry timing. (2020). de Oliveira Souza, Thiago. In: Discussion Papers of Business and Economics. RePEc:hhs:sdueko:2020_010. Full description at Econpapers || Download paper | |
2020 | Flight-to-quality in the stock–bond return relation: a regime-switching copula approach. (2020). Tachibana, Minoru. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:4:d:10.1007_s11408-020-00361-5. Full description at Econpapers || Download paper | |
2020 | Central Bank Communication and Financial Market Comovements in the Euro Area. (2020). Horvath, Roman ; Gertler, Pavel ; Jonaova, Julia . In: Open Economies Review. RePEc:kap:openec:v:31:y:2020:i:2:d:10.1007_s11079-019-09561-7. Full description at Econpapers || Download paper | |
2020 | Price limit changes, order decisions, and stock price movements: an empirical analysis of the Taiwan Stock Exchange. (2020). Lien, Donald ; Pan, Chiu-Ting ; Hung, Pi-Hsia. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:1:d:10.1007_s11156-019-00842-3. Full description at Econpapers || Download paper | |
2020 | Foreign Exchange Order Flow as a Risk Factor. (2020). cerrato, mario ; Burnside, Craig ; Zhang, Zhekai. In: NBER Working Papers. RePEc:nbr:nberwo:27199. Full description at Econpapers || Download paper | |
2020 | US or Domestic Monetary Policy: Which Matters More for Financial Stability?. (2020). Cecchetti, Stephen ; Sahay, Ratna ; Narita, Machiko ; Mancini-Griffoli, Tommaso. In: IMF Economic Review. RePEc:pal:imfecr:v:68:y:2020:i:1:d:10.1057_s41308-020-00108-2. Full description at Econpapers || Download paper | |
2021 | Stealth Trading in FX Markets. (2021). Stenfors, Alexis ; Susai, Masayuki. In: Working Papers in Economics & Finance. RePEc:pbs:ecofin:2021-02. Full description at Econpapers || Download paper | |
2020 | Modelling Cryptocurrency High-Low Prices using Fractional Cointegrating VAR. (2020). YAYA, OLAOLUWA ; Ogbonna, Ahamuefula ; Adewuyi, Adeolu O ; Vo, Xuan Vinh. In: MPRA Paper. RePEc:pra:mprapa:102190. Full description at Econpapers || Download paper | |
2020 | Exchange Rates and Liquidity Risk. (2020). Evans, Martin. In: MPRA Paper. RePEc:pra:mprapa:102702. 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 ; Serdengecti, Suleyman. In: MPRA Paper. RePEc:pra:mprapa:105162. Full description at Econpapers || Download paper | |
2020 | Carry trade and capital market returns in South Africa. (2020). Bonga-Bonga, Lumengo ; Rangoanana, Motena Sefora. In: MPRA Paper. RePEc:pra:mprapa:98607. Full description at Econpapers || Download paper | |
2020 | . Full description at Econpapers || Download paper | |
2020 | Gravity Among Central Bank Balance Sheets: Monetary Policy Spill-Over on FX Volatility. (2020). Meszaros, Mercedesz ; Kiss, Gabor David. In: Econometric Research in Finance. RePEc:sgh:erfinj:v:5:y:2020:i:1:p:33-57. Full description at Econpapers || Download paper | |
2020 | The impact of SNB monetary policy on the Swiss franc and longer-term interest rates. (2020). Zehnder, Tanja ; Maag, Thomas ; Frei, Lukas ; Fink, Fabian. In: Working Papers. RePEc:snb:snbwpa:2020-01. Full description at Econpapers || Download paper | |
2020 | The effect of monetary policy on the Swiss franc: an SVAR approach. (2020). Grisse, Christian. In: Working Papers. RePEc:snb:snbwpa:2020-02. Full description at Econpapers || Download paper | |
2020 | Spillovers to exchange rates from monetary and macroeconomic communications events. (2020). Wolff, Vincent ; Rossi, Enzo. In: Working Papers. RePEc:snb:snbwpa:2020-18. Full description at Econpapers || Download paper | |
2020 | Short-term determinants of bilateral exchange rates: A decomposition model for the Swiss franc. (2020). Gloede, Oliver ; Frei, Lukas ; Fink, Fabian. In: Working Papers. RePEc:snb:snbwpa:2020-21. Full description at Econpapers || Download paper | |
2020 | Greek sovereign crisis and European exchange rates: effects of news releases and their providers. (2020). Garefalakis, Alexandros ; Floros, Christos ; Vortelinos, Dimitrios ; Gkillas, Konstantinos ; Sariannidis, Nikolaos. In: Annals of Operations Research. RePEc:spr:annopr:v:294:y:2020:i:1:d:10.1007_s10479-019-03199-x. Full description at Econpapers || Download paper | |
2021 | Dynamic limit order placement strategies: survival analysis with a multiple-spell duration model. (2021). LE, Thai-Ha ; Fong, Kingsley Y ; Liu, Wai-Man ; Tu, Anh. In: Annals of Operations Research. RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-019-03384-y. Full description at Econpapers || Download paper | |
2020 | Technical analysis based on high and low stock prices forecasts: evidence for Brazil using a fractionally cointegrated VAR model. (2020). MacIel, Leandro . In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1603-8. Full description at Econpapers || Download paper | |
2020 | Currency Regimes, Volatility Risks, and Carry Trades: The Option Value of Government Currency Intervention in Emerging Markets. (2020). Guo, Wenliang. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:10:y:2020:i:3:f:10_3_4. Full description at Econpapers || Download paper | |
2020 | Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods. (2020). Pelizzon, Loriana ; Yuferova, Darya ; Uno, Jun ; Subrahmanyam, Marti G ; Bellia, Mario. In: Working Papers. RePEc:ven:wpaper:2020:09. Full description at Econpapers || Download paper | |
2020 | Spillover effects of unconventional monetary policy on capital markets in the shadow of the Eurozone: A sample of non-Eurozone countries. (2020). Kiss, Gábor Dávid ; David, Kiss Gabor ; Mercedesz, Meszaros. In: Review of Economic Perspectives. RePEc:vrs:reoecp:v:20:y:2020:i:2:p:171-195:n:3. Full description at Econpapers || Download paper | |
2020 | Arbitrage opportunities, liquidity provision, and trader types in an index option market. (2020). Chiu, Junmao ; Chen, ChinHo ; Chung, Huimin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:3:p:279-307. Full description at Econpapers || Download paper | |
2020 | Foreign exchange interventions under a one-sided target zone regime and the Swiss franc. (2020). Hertrich, Markus. In: Discussion Papers. RePEc:zbw:bubdps:212020. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2007 | Extreme Coexceedances in New EU Member States’ Stock Markets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 51 |
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: 51 | 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: 51 | paper | |
2009 | The Time-Varying Systematic Risk of Carry Trade Strategies In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 93 |
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: 93 | 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: 93 | 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: 93 | 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: 93 | paper | |
2019 | Euro repo market functioning: collateral is king In: BIS Quarterly Review. [Full Text][Citation analysis] | article | 0 |
2008 | Wolf in Sheeps Clothing: The Active Investment Strategies behind Index Performance In: European Financial Management. [Full Text][Citation analysis] | article | 5 |
2013 | Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums In: Journal of Finance. [Full Text][Citation analysis] | article | 121 |
2009 | Liquidity in the Foreign Exchange Market: Measurement, Commonality,and Risk Premiums.(2009) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 121 | paper | |
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: 121 | paper | |
2018 | Judgement Day: algorithmic trading around the Swiss franc cap removal In: Bank of England working papers. [Full Text][Citation analysis] | paper | 2 |
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: 2 | 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: 2 | paper | |
2018 | OTC premia In: Bank of England working papers. [Full Text][Citation analysis] | paper | 1 |
2020 | OTC premia.(2020) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
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 | 2 |
2008 | Does FOMC News Increase Global FX Trading? In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
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: 7 | article | |
2008 | Does FOMC News Increase Global FX Trading?.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2009 | Safe Haven Currencies In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 156 |
2010 | Safe Haven Currencies.(2010) In: Review of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 156 | article | |
2007 | Safe Haven Currencies.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 156 | 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: 156 | paper | |
2013 | Risk spillovers in international equity portfolios In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 4 |
2012 | Risk spillovers in international equity portfolios.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2012 | Risk Spillovers in International Equity Portfolios.(2012) In: Working Papers on Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2004 | Order aggressiveness in limit order book markets In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 164 |
2009 | Segmentation and time-of-day patterns in foreign exchange markets In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 16 |
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: 16 | 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 | 15 |
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: 15 | 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: 15 | 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: 15 | paper | |
2010 | The reaction of asset markets to Swiss National Bank communication In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 56 |
2007 | The reaction of asset markets to Swiss National Bank communication.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 56 | paper | |
2002 | Market Dynamics Around Public Information Arrivals In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2005 | Realized Bond-Stock Correlation: Macroeconomic Announcement Effects In: Finance Research Group Working Papers. [Full Text][Citation analysis] | paper | 29 |
2006 | Realized Bond-Stock Correlation: Macroeconomic Announcement Effects.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | 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: 29 | 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 | 6 |
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: 6 | 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 | 20 |
2012 | Intraday Patterns in FX Returns and Order Flow.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | 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: 20 | 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: 20 | 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: 20 | article | |
2015 | Understanding FX Liquidity In: Review of Financial Studies. [Full Text][Citation analysis] | article | 59 |
2015 | Understanding FX Liquidity.(2015) In: Working Papers on Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 59 | paper | |
2016 | The Euro Interbank Repo Market In: Review of Financial Studies. [Full Text][Citation analysis] | article | 69 |
2015 | The Euro Interbank Repo Market.(2015) In: Working Papers on Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 69 | 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 | 22 |
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 | 4 |
2009 | Forecasting realized (co)variances with a block structure Wishart autoregressive model In: Working Papers. [Full Text][Citation analysis] | paper | 22 |
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: 22 | paper | |
2010 | Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity In: Working Papers. [Full Text][Citation analysis] | paper | 25 |
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: 25 | 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 | 4 |
2015 | Precious metals under the microscope: a high-frequency analysis In: Quantitative Finance. [Full Text][Citation analysis] | article | 9 |
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: 9 | paper | |
2018 | Unsecured and Secured Funding In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2016 | Unsecured and Secured Funding.(2016) In: Working Papers on Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
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 |
2018 | Asymmetric Information Risk in FX Markets 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 | 0 |
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 |
2020 | Monetary policy disconnect In: Working Papers on Finance. [Full Text][Citation analysis] | paper | 0 |
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