Angelo Ranaldo : Citation Profile

Are you Angelo Ranaldo?

Universität St. Gallen (50% share)
Swiss Finance Institute (50% share)

15

H index

17

i10 index

1344

Citations

RESEARCH PRODUCTION:

28

Articles

66

Papers

RESEARCH ACTIVITY:

   20 years (2002 - 2022). See details.
   Cites by year: 67
   Journals where Angelo Ranaldo has often published
   Relations with other researchers
   Recent citing documents: 223.    Total self citations: 32 (2.33 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pra161
   Updated: 2023-03-02    RAS profile: 2023-01-22    
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Relations with other researchers

Works with:

Vasios, Michalis (4)

Breedon, Francis (3)

Vause, Nicholas (3)

Cenedese, Gino (3)

Ferrara, Gerardo (3)

Liew, Chee (2)

Jones, Charles (2)

Zhou, Chen (2)

Horenstein, Alex (2)

Alexeev, Vitali (2)

PASCUAL, ROBERTO (2)

Pelizzon, Loriana (2)

Scaillet, Olivier (2)

Dumitrescu, Ariadna (2)

Roy, Saurabh (2)

Walther, Thomas (2)

Abudy, Menachem (2)

Tonks, Ian (2)

Reitz, Stefan (2)

Moinas, Sophie (2)

Hautsch, Nikolaus (2)

Theissen, Erik (2)

Lajaunie, Quentin (2)

Bohorquez Correa, Santiago (2)

Vogel, Sebastian (2)

Jalkh, Naji (2)

Kearney, Fearghal (2)

Adrian, Tobias (2)

Jurkatis, Simon (2)

van Kervel, Vincent (2)

Dimpfl, Thomas (2)

Dreber, Anna (2)

Menkveld, Albert (2)

LINTON, OLIVER (2)

Foucault, Thierry (2)

Harris, Jeffrey (2)

Santucci de Magistris, Paolo (2)

Bos, Charles (2)

Xia, Shuo (2)

Holzmeister, Felix (2)

Ait-Sahalia, Yacine (2)

Stefanova, Denitsa (2)

Nielsson, Ulf (2)

Pastor, Lubos (2)

Xiu, Dacheng (2)

Prokopczuk, Marcel (2)

He, Xuezhong (Tony) (2)

Davies, Ryan (2)

Heath, Davidson (2)

Park, Andreas (2)

Taylor, Nick (2)

Verousis, Thanos (2)

CAPELLE-BLANCARD, Gunther (2)

Palan, Stefan (2)

Colliard, Jean-Edouard (2)

Deku, Solomon (2)

Chow, Nikolai Sheung-Chi (2)

Chernov, Mikhail (2)

FERROUHI, EL MEHDI (2)

Lof, Matthijs (2)

Talavera, Oleksandr (2)

Johannesson, Magnus (2)

Rinne, Kalle (2)

Bouri, Elie (2)

Wolff, Christian (2)

Rakowski, David (2)

Gehrig, Thomas (2)

Lopez-Lira, Alejandro (2)

Brownlees, Christian (2)

Schenk-Hoppé, Klaus (2)

Wong, Wing-Keung (2)

Patel, Vinay (2)

Putnins, Talis (2)

Hjalmarsson, Erik (2)

Sarno, Lucio (2)

Frijns, Bart (2)

Wilhelmsson, Anders (2)

Deev, Oleg (2)

Gerritsen, Dirk (2)

Schwarz, Marco (2)

Patton, Andrew (2)

Caporin, Massimiliano (2)

Regis, Luca (2)

Vilkov, Grigory (2)

Pasquariello, Paolo (2)

Kassner, Bernhard (2)

Mihet, Roxana (2)

Sojli, Elvira (2)

Abdi, Farshid (2)

Hurlin, Christophe (2)

Smales, Lee (2)

Gorbenko, Arseny (2)

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

Is cited by:

Sensoy, Ahmet (21)

Nguyen, Duc Khuong (18)

Rime, Dagfinn (15)

Nitschka, Thomas (14)

Sakemoto, Ryuta (12)

lucey, brian (12)

Breedon, Francis (11)

Vitale, Paolo (11)

Kose, Ayhan (10)

Claessens, Stijn (10)

Chuliá, Helena (10)

Cites to:

Bollerslev, Tim (38)

Sarno, Lucio (28)

Andersen, Torben (28)

Acharya, Viral (25)

KRISHNAMURTHY, ARVIND (24)

Diebold, Francis (23)

Lyons, Richard (21)

Gürkaynak, Refet (21)

Evans, Martin (19)

Hoerova, Marie (18)

Wrampelmeyer, Jan (18)

Main data

Where Angelo Ranaldo has published?

Journals with more than one article published# docs
Journal of Financial Economics4
Journal of Banking & Finance4
Financial Markets and Portfolio Management3
Review of Financial Studies3
Journal of Money, Credit and Banking2

Working Papers Series with more than one paper published# docs
Working Papers on Finance / University of St. Gallen, School of Finance22
Working Papers / Swiss National Bank14
Swiss Finance Institute Research Paper Series / Swiss Finance Institute7
CEPR Discussion Papers / C.E.P.R. Discussion Papers3
University of St. Gallen Department of Economics working paper series 2009 / Department of Economics, University of St. Gallen2

Recent works citing Angelo Ranaldo (2022 and 2021)

YearTitle of citing document
2021Loss Sharing in Central Clearinghouses: Winners and Losers. (2021). Sherman, Mila Getmansky ; Pelizzon, Loriana ; Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:066.

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2021Forecasting open-high-low-close data contained in candlestick chart. (2021). Wang, Shanshan ; Huang, Wenyang. In: Papers. RePEc:arx:papers:2104.00581.

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2021Foreign exchange markets: price response and spread impact. (2021). Henao, Juan Camilo ; Guhr, Thomas. In: Papers. RePEc:arx:papers:2104.09309.

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2021Liquidity 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.

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2021Modelling 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.

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2021Behavioral Bias Benefits: Beating Benchmarks By Bundling Bouncy Baskets. (2021). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2109.03740.

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2021Using 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.

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2022Industry Characteristics and Financial Risk Spillovers. (2022). Chiua, Wan-Chien ; Wang, Chih-Wei ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.02263.

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2022Imitate 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.

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2021Monetary 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.

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2021Monetary 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.

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2021Foreign Exchange Fixings and Returns Around the Clock. (2021). Whelan, Paul ; Mueller, Philippe ; Krohn, Ingomar. In: Staff Working Papers. RePEc:bca:bocawp:21-48.

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2022Lending Relationships and Currency Hedging. (2022). Araujo, Gustavo ; Oliveira, Raquel F ; Schiozer, Rafael ; Leo, Sergio . In: Working Papers Series. RePEc:bcb:wpaper:565.

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2021A 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.

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2021Identifying deposits outflows in real-time. (2021). Rainone, Edoardo. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1319_21.

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2021Los 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.

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2022What 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.

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2021Measuring 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.

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2021Behavioural 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.

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2021Gender, 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.

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2021Is 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.

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2021The 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.

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2022Doubly heterogeneous monetary spillovers. (2022). Shah, Nihar. In: International Finance. RePEc:bla:intfin:v:25:y:2022:i:2:p:126-150.

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2021Intraday 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.

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2021Liquidity 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.

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2021Risk 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.

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2022Euro 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.

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2022Liquidity 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.

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2022Common 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.

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2021Do 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.

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2022Foreign 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.

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2021Peer 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.

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2021How 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.

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2021The repo market under Basel III. (2021). Katsoulis, Petros ; Gerba, Eddie. In: Bank of England working papers. RePEc:boe:boeewp:0954.

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2021The 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.

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2021A Factor Model for Cryptocurrency Returns. (2021). Babiak, Mykola ; Bianchi, Daniele. In: CERGE-EI Working Papers. RePEc:cer:papers:wp710.

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2022Trading Volume and Liquidity Provision in Cryptocurrency Markets. (2022). Dickerson, Alexander ; Babiak, Mykola ; Bianchi, Daniele. In: CERGE-EI Working Papers. RePEc:cer:papers:wp730.

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2022Can Time-Varying Currency Risk Hedging Explain Exchange Rates?. (2022). Hau, Harald ; Brauer, Leonie. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10065.

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2021Currency Anomalies. (2021). Bartram, Söhnke ; Garratt, Anthony ; Djuranovik, Leslie . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15653.

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2021(In)efficient repo markets. (2021). Schuerhoff, Norman ; Schurhoff, Norman ; Mancini, Loriano ; Dieler, Tobias. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15782.

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2022The 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.

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2021Hedge and safe haven status of Bitcoin: copula-DCC approach. (2021). Zhuo, Juanjuan ; Kumamoto, Masao. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00425.

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2021Asset 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.

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2021Non-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
2021Assessing 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.

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2021Global risk and the dollar. (2021). Müller, Gernot ; Georgiadis, Georgios ; Schumann, Ben. In: Working Paper Series. RePEc:ecb:ecbwps:20212628.

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2022Liquidation value and loan pricing. (2022). Schepens, Glenn ; Sigaux, Jean-David ; Barbiero, Francesca. In: Working Paper Series. RePEc:ecb:ecbwps:20222645.

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2022Monetary policy transmission in segmented markets. (2022). Zhang, Anthony Lee ; Ma, Yiming ; Eisenschmidt, Jens. In: Working Paper Series. RePEc:ecb:ecbwps:20222706.

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2023Window 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.

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2021Fraud 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.

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2021Is 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.

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2021The 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.

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2022Rigid 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.

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2022Determining 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.

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2022Order 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.

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2022Measuring 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.

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2022Asymptotic 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.

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2022On 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.

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2022Deep 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.

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2022Low 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.

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2021Trading 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.

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2022Do 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.

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2022Uncovered 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.

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2022Small 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.

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2022Diversifier 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.

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2021The 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.

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2021The 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.

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2022Senior 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.

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2022Does 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.

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2022Risk 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.

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2022Exchange 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.

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2022Are 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.

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2022The 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.

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2021Understanding Bitcoin liquidity. (2021). Scharnowski, Stefan. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319311286.

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2021Analyzing 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.

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2021What 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.

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2021Illiquidity 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.

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2021Commonality 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.

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2022Liquidity 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.

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2022Exploring 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.

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2022Euro 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.

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2022Price 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.

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2022Commodity tail-risk and exchange rates. (2022). Rillo, Giovanni ; Bondatti, Massimiliano. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612322001994.

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2022The dollar’s ”Convenience Yield”. (2022). Robe, Michel A. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001477.

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2022The 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.

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2022Are 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.

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2021Can 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.

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2021Are 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.

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2022Safe 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.

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2021Covered 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.

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2021Currency 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.

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2022Currency 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.

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2021The 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.

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2021Flight 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.

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2021International 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.

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2021To 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.

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2021Dynamics 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.

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2021The 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.

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2022Currency 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.

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2022Modelling 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.

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2022Informativeness 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.

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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]		paper55
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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2009The Time-Varying Systematic Risk of Carry Trade Strategies In: CREATES Research Papers.
[Full Text][Citation analysis]		paper116
2009The Time-Varying Systematic Risk of Carry Trade Strategies.(2009) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 116		paper
2011The 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
2010The 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
2009The 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
2022On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges In: Papers.
[Full Text][Citation analysis]		paper0
2022On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges.(2022) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2019Euro repo market functioning: collateral is king In: BIS Quarterly Review.
[Full Text][Citation analysis]		article5
2008Wolf in Sheeps Clothing: The Active Investment Strategies behind Index Performance In: European Financial Management.
[Full Text][Citation analysis]		article7
2013Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums In: Journal of Finance.
[Full Text][Citation analysis]		article161
2009Liquidity 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: 161		paper
2010Liquidity 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
2018Judgement Day: algorithmic trading around the Swiss franc cap removal In: Bank of England working papers.
[Full Text][Citation analysis]		paper7
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: 7		paper
2019Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal.(2019) In: Working Papers on Finance.
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2018OTC premia In: Bank of England working papers.
[Full Text][Citation analysis]		paper1
2020OTC premia.(2020) In: Journal of Financial Economics.
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2018OTC Premia.(2018) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2019Regulatory effects on short-term interest rates In: Bank of England working papers.
[Full Text][Citation analysis]		paper7
2021Regulatory effects on short-term interest rates.(2021) In: Journal of Financial Economics.
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2022Collateral cycles In: Bank of England working papers.
[Full Text][Citation analysis]		paper0
2022Collateral Cycles.(2022) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
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2022Foreign Exchange Swaps and Cross-Currency Swaps In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper1
2022Constrained Liquidity Provision in Currency Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2022Non-Fungible Tokens In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2022Realized Illiquidity In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2008Does FOMC News Increase Global FX Trading? In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper9
2011Does 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
2008Does FOMC News Increase Global FX Trading?.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 9		paper
2009Safe Haven Currencies In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper228
2010Safe Haven Currencies.(2010) In: Review of Finance.
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This paper has another version. Agregated cites: 228		article
2007Safe Haven Currencies.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 228		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: 228		paper
2013Risk spillovers in international equity portfolios In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article4
2012Risk spillovers in international equity portfolios.(2012) In: Working Papers.
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2012Risk Spillovers in International Equity Portfolios.(2012) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2004Order aggressiveness in limit order book markets In: Journal of Financial Markets.
[Full Text][Citation analysis]		article179
2009Segmentation and time-of-day patterns in foreign exchange markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article17
2007Segmentation 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
2013On the predictability of stock prices: A case for high and low prices In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article24
2011On 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
2011On the Predictability of Stock Prices: a Case for High and Low Prices.(2011) In: Working Papers.
[Full Text][Citation analysis]
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2012On 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
2021Asymmetric information risk in FX markets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article14
2018Asymmetric Information Risk in FX Markets.(2018) In: Working Papers on Finance.
[Full Text][Citation analysis]
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2022Liquidity in the global currency market In: Journal of Financial Economics.
[Full Text][Citation analysis]		article1
2010The reaction of asset markets to Swiss National Bank communication In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article64
2007The reaction of asset markets to Swiss National Bank communication.(2007) In: Working Papers.
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2002Market Dynamics Around Public Information Arrivals In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper3
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper2
2021Non-Standard Errors.(2021) In: Working Papers.
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2005Realized Bond-Stock Correlation: Macroeconomic Announcement Effects In: Finance Research Group Working Papers.
[Full Text][Citation analysis]		paper33
2006Realized Bond-Stock Correlation: Macroeconomic Announcement Effects.(2006) In: Working Papers.
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2007Realized bond—stock correlation: Macroeconomic announcement effects.(2007) In: Journal of Futures Markets.
[Full Text][Citation analysis]
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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]		article8
2009The Implementation of SNB Monetary Policy.(2009) In: University of St. Gallen Department of Economics working paper series 2009.
[Full Text][Citation analysis]
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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]		article26
2012Intraday Patterns in FX Returns and Order Flow.(2012) In: Working Papers.
[Full Text][Citation analysis]
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2012Intraday Patterns in FX Returns and Order Flow.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26		paper
2011Intraday patterns in FX returns and order flow.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26		paper
2013Intraday 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
2015Understanding FX Liquidity In: Review of Financial Studies.
[Full Text][Citation analysis]		article81
2015Understanding FX Liquidity.(2015) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 81		paper
2016The Euro Interbank Repo Market In: Review of Financial Studies.
[Full Text][Citation analysis]		article89
2015The Euro Interbank Repo Market.(2015) In: Working Papers on Finance.
[Full Text][Citation analysis]
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2017A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices In: Review of Financial Studies.
[Full Text][Citation analysis]		article76
2016Uniform-price auctions for Swiss government bonds: Origin and evolution In: Economic Studies.
[Full Text][Citation analysis]		paper3
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: 3		paper
2006Intraday Market Dynamics Around Public Information Arrivals In: Working Papers.
[Full Text][Citation analysis]		paper5
2009Forecasting realized (co)variances with a block structure Wishart autoregressive model In: Working Papers.
[Full Text][Citation analysis]		paper23
2012Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model.(2012) In: Working Papers on Finance.
[Full Text][Citation analysis]
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2010Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity In: Working Papers.
[Full Text][Citation analysis]		paper56
2012Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity.(2012) In: Working Papers on Finance.
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2012A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices In: The European Journal of Finance.
[Full Text][Citation analysis]		article5
2015Precious metals under the microscope: a high-frequency analysis In: Quantitative Finance.
[Full Text][Citation analysis]		article15
2014Precious Metals Under the Microscope: A High-Frequency Analysis.(2014) In: Working Papers on Finance.
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2018Unsecured and Secured Funding In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper6
2016Unsecured and Secured Funding.(2016) In: Working Papers on Finance.
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2022Unsecured and Secured Funding.(2022) In: Journal of Money, Credit and Banking.
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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
2016Funding Illiquidity In: Working Papers on Finance.
[Full Text][Citation analysis]		paper7
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
2017The Forward Premium in Short-Term Rates In: Working Papers on Finance.
[Full Text][Citation analysis]		paper0
2019Trading Volume, Illiquidity and Commonalities in FX Markets In: Working Papers on Finance.
[Full Text][Citation analysis]		paper2
2020Liquidity Risk and Funding Cost In: Working Papers on Finance.
[Full Text][Citation analysis]		paper0
2019Safe Asset Carry Trade In: Working Papers on Finance.
[Full Text][Citation analysis]		paper0
2020Monetary policy disconnect In: Working Papers on Finance.
[Full Text][Citation analysis]		paper1
In: .
[Full Text][Citation analysis]		paper0

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