Angelo Ranaldo : Citation Profile

Are you Angelo Ranaldo?

Universität St. Gallen

15

H index

15

i10 index

979

Citations

RESEARCH PRODUCTION:

24

Articles

55

Papers

RESEARCH ACTIVITY:

   18 years (2002 - 2020). See details.
   Cites by year: 54
   Journals where Angelo Ranaldo has often published
   Relations with other researchers
   Recent citing documents: 103.    Total self citations: 24 (2.39 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pra161
   Updated: 2021-03-07    RAS profile: 2020-11-07    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Vasios, Michalis (4)

Wrampelmeyer, Jan (3)

Breedon, Francis (3)

Vause, Nicholas (3)

Cenedese, Gino (2)

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

Is cited by:

Rime, Dagfinn (14)

Nitschka, Thomas (13)

Vitale, Paolo (10)

Breedon, Francis (10)

Fuhrer, Lucas (9)

lucey, brian (9)

Caporin, Massimiliano (9)

Nguyen, Duc Khuong (9)

Chuliá, Helena (8)

McAleer, Michael (8)

Hansen, Stephen (8)

Cites to:

Bollerslev, Tim (36)

Andersen, Torben (26)

Acharya, Viral (21)

Diebold, Francis (21)

Sarno, Lucio (21)

Gürkaynak, Refet (18)

Lyons, Richard (16)

Martin, Antoine (14)

Schrimpf, Andreas (14)

Rime, Dagfinn (14)

Swanson, Eric (13)

Main data

Where Angelo Ranaldo has published?

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

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
University of St. Gallen Department of Economics working paper series 2009 / Department of Economics, University of St. Gallen2

Recent works citing Angelo Ranaldo (2021 and 2020)

YearTitle of citing document
2020Benchmark 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

2020Informed 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

2020XVA Valuation under Market Illiquidity. (2020). Sturm, Stephan ; Pang, Weijie . In: Papers. RePEc:arx:papers:2011.03543.

Full description at Econpapers || Download paper

2020Portfolio 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

2020Tweeting 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

2021Identifying 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

2020FX 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

2020Moving 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

2020Safehavenness 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

2020The 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

2020Retaining 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

2020The Overnight Drift. (2020). Boyarchenko, Nina ; Larsen, Lars C ; Whelan, Paul. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14462.

Full description at Econpapers || Download paper

2020Attention 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

2020Money 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

2020A 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

2020Time-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

2020Chinas 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

2020Is 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

2020States 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

2020Swiss 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

2020Industry 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

2020Liquidity 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

2020Retail 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

2020Variance 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

2020Liquidity 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

2020Intraday-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

2020What 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

2020More 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

2020A 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

2020Are 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

2020Liquidity 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

2020Liquidity, 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

2020Uncovering 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

2020Searching 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

2020Does 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

2020Stock-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

2020Multiple 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

2020Commonality 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

2020The 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

2020The 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

2020Tales 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

2020In 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

2020Retaining 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

2020Cross-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

2020The 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

2020Volatility 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

2020Liquidity 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

2020Examining 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

2020From 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

2020Market 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

2020On 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

2020Domestic 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

2020Economic 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

2020Global 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

2020The 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

2020The 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

2020The 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

2021Attractive 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

2021Can 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

2020Testing 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

2020Dynamics 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

2020Limit 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

2020Price 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

2021Information 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

2020The 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

2020Are 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

2020Measuring 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

2020Liquidity 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

2020Are 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

2020Are 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

2020The 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

2020Modelling 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

2020Zeroing 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

2020The Overnight Drift. (2020). Boyarchenko, Nina ; Whelan, Paul ; Larsen, Lars C. In: Staff Reports. RePEc:fip:fednsr:87539.

Full description at Econpapers || Download paper

2020Shaking 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

2020Diversifier 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

2020Dollar 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

2020Flight-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

2020Central 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

2020Price 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

2020Foreign 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

2020US 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

2021Stealth 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

2020Modelling 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

2020Exchange Rates and Liquidity Risk. (2020). Evans, Martin. In: MPRA Paper. RePEc:pra:mprapa:102702.

Full description at Econpapers || Download paper

2021Dynamics 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

2020Carry 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

2020Gravity 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

2020The 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

2020The 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

2020Spillovers 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

2020Short-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

2020Greek 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

2021Dynamic 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

2020Technical 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

2020Currency 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

2020Low-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

2020Spillover 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

2020Arbitrage 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

2020Foreign 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...

Works by Angelo Ranaldo:

YearTitleTypeCited
2007Extreme Coexceedances in New EU Member States’ Stock Markets In: CREATES Research Papers.
[Full Text][Citation analysis]		paper51
2009Extreme 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
2008Extreme 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
2009The Time-Varying Systematic Risk of Carry Trade Strategies In: CREATES Research Papers.
[Full Text][Citation analysis]		paper93
2009The 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
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: 93		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: 93		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: 93		paper
2019Euro repo market functioning: collateral is king In: BIS Quarterly Review.
[Full Text][Citation analysis]		article0
2008Wolf in Sheeps Clothing: The Active Investment Strategies behind Index Performance In: European Financial Management.
[Full Text][Citation analysis]		article5
2013Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums In: Journal of Finance.
[Full Text][Citation analysis]		article121
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: 121		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: 121		paper
2018Judgement Day: algorithmic trading around the Swiss franc cap removal In: Bank of England working papers.
[Full Text][Citation analysis]		paper2
2018Judgement 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
2019Judgment 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
2018OTC premia In: Bank of England working papers.
[Full Text][Citation analysis]		paper1
2020OTC premia.(2020) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
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]		paper2
2008Does FOMC News Increase Global FX Trading? In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper7
2011Does 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
2008Does FOMC News Increase Global FX Trading?.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2009Safe Haven Currencies In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper156
2010Safe Haven Currencies.(2010) In: Review of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 156		article
2007Safe Haven Currencies.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 156		paper
2007Safe 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
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
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]		article164
2009Segmentation and time-of-day patterns in foreign exchange markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article16
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: 16		paper
2013On the predictability of stock prices: A case for high and low prices In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article15
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: 15		paper
2011On 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
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: 15		paper
2010The reaction of asset markets to Swiss National Bank communication In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article56
2007The reaction of asset markets to Swiss National Bank communication.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 56		paper
2002Market Dynamics Around Public Information Arrivals In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper1
2005Realized Bond-Stock Correlation: Macroeconomic Announcement Effects In: Finance Research Group Working Papers.
[Full Text][Citation analysis]		paper29
2006Realized Bond-Stock Correlation: Macroeconomic Announcement Effects.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		paper
2007Realized bond—stock correlation: Macroeconomic announcement effects.(2007) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		article
2009Editorial In: Financial Markets and Portfolio Management.
[Full Text][Citation analysis]		article0
2009The implementation of SNB monetary policy In: Financial Markets and Portfolio Management.
[Full Text][Citation analysis]		article6
2009The Implementation of SNB Monetary Policy.(2009) In: University of St. Gallen Department of Economics working paper series 2009.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2011Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland In: Financial Markets and Portfolio Management.
[Full Text][Citation analysis]		article2
2013Intraday Patterns in FX Returns and Order Flow In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]		article20
2012Intraday Patterns in FX Returns and Order Flow.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20		paper
2012Intraday Patterns in FX Returns and Order Flow.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20		paper
2011Intraday patterns in FX returns and order flow.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20		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: 20		article
2015Understanding FX Liquidity In: Review of Financial Studies.
[Full Text][Citation analysis]		article59
2015Understanding FX Liquidity.(2015) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 59		paper
2016The Euro Interbank Repo Market In: Review of Financial Studies.
[Full Text][Citation analysis]		article69
2015The Euro Interbank Repo Market.(2015) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 69		paper
2017A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices In: Review of Financial Studies.
[Full Text][Citation analysis]		article22
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2006Intraday Market Dynamics Around Public Information Arrivals In: Working Papers.
[Full Text][Citation analysis]		paper4
2009Forecasting realized (co)variances with a block structure Wishart autoregressive model In: Working Papers.
[Full Text][Citation analysis]		paper22
2012Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model.(2012) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22		paper
2010Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity In: Working Papers.
[Full Text][Citation analysis]		paper25
2012Limits 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
2012A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices In: The European Journal of Finance.
[Full Text][Citation analysis]		article4
2015Precious metals under the microscope: a high-frequency analysis In: Quantitative Finance.
[Full Text][Citation analysis]		article9
2014Precious Metals Under the Microscope: A High-Frequency Analysis.(2014) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2018Unsecured and Secured Funding In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper3
2016Unsecured and Secured Funding.(2016) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2013Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals In: Working Papers on Finance.
[Full Text][Citation analysis]		paper0
2013Monetary Policy Effects on Long-term Rates and Stock Prices In: Working Papers on Finance.
[Full Text][Citation analysis]		paper1
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
2018Asymmetric Information Risk in FX Markets 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]		paper0
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]		paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2 2021. Contact: CitEc Team