Angelo Ranaldo : Citation Profile

Are you Angelo Ranaldo?

Universität St. Gallen

11

H index

13

i10 index

780

Citations

RESEARCH PRODUCTION:

20

Articles

51

Papers

RESEARCH ACTIVITY:

   16 years (2002 - 2018). See details.
   Cites by year: 48
   Journals where Angelo Ranaldo has often published
   Relations with other researchers
   Recent citing documents: 146.    Total self citations: 21 (2.62 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pra161
   Updated: 2019-10-06    RAS profile: 2019-06-07    
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Relations with other researchers

Works with:

Wrampelmeyer, Jan (5)

Söderlind, Paul (2)

Caporin, Massimiliano (2)

Cenedese, Gino (2)

Breedon, Francis (2)

Karnaukh, Nina (2)

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

Is cited by:

Nitschka, Thomas (13)

Rime, Dagfinn (12)

Caporin, Massimiliano (9)

Hautsch, Nikolaus (8)

Fuhrer, Lucas (8)

McAleer, Michael (8)

Breedon, Francis (8)

McMahon, Michael (8)

Hansen, Stephen (8)

Vitale, Paolo (8)

Schmeling, Maik (7)

Cites to:

Bollerslev, Tim (35)

Andersen, Torben (26)

Diebold, Francis (22)

Sarno, Lucio (21)

Lyons, Richard (17)

Evans, Martin (15)

Rime, Dagfinn (14)

Schrimpf, Andreas (13)

Swanson, Eric (13)

Gürkaynak, Refet (12)

Caporin, Massimiliano (12)

Main data

Where Angelo Ranaldo has published?

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

Working Papers Series with more than one paper published# docs
Working Papers on Finance / University of St. Gallen, School of Finance18
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 (2019 and 2018)

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

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2019Resuscitating the co-fractional model of Granger (1986). (2019). de Magistris, Paolo Santucci ; Carlini, Federico. In: CREATES Research Papers. RePEc:aah:create:2019-02.

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

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

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2018Always look on the bright side? Central counterparties and interbank markets during the financial crisis. (2018). Affinito, Massimiliano ; Piazza, Matteo . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1181_18.

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

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

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

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

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2018Sterilized Interventions in the Form of Foreign Currency Repos: VECM Analysis Using Russian Data. (2018). Shulgin, Andrei. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:77:y:2018:i:2:p:68-80.

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2018What drives flight to quality?. (2018). Opitz, Sebastian ; Szimayer, Alexander. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:529-571.

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2017Extreme Returns in the European financial crisis. (2017). Chouliaras, Andreas ; Grammatikos, Theoharry. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:4:p:728-760.

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2019Subordinate Resolution ‐‐ An Empirical Analysis of European Union Subsidiary Banks. (2019). Cotter, John ; Conlon, Thomas. In: Journal of Common Market Studies. RePEc:bla:jcmkts:v:57:y:2019:i:4:p:857-876.

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2018Measuring Exchange Rate, Price, and Output Dynamics at the Effective Lower Bound. (2018). Kaufmann, Daniel ; Baeurle, Gregor ; Baurle, Gregor. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:80:y:2018:i:6:p:1243-1266.

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2018Informal one‐sided target zone model and the Swiss franc*. (2018). Moessner, Richhild ; Funke, Michael ; Chen, Yufu . In: Review of International Economics. RePEc:bla:reviec:v:26:y:2018:i:5:p:1130-1153.

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2018Repo market functioning: the role of capital regulation. (2018). Van Horen, Neeltje ; Kotidis, Antonis. In: Bank of England working papers. RePEc:boe:boeewp:0746.

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

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2018Home Ownership and Monetary Policy Transmission. (2018). Koeniger, Winfried ; Ramelet, Marc-Antoine. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7361.

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2018Funding Constraints and Market Illiquidity in the European Treasury Bond Market. (2018). Moinas, Sophie ; Valente, Giorgio ; Nguyen, Minh. In: EconPol Working Paper. RePEc:ces:econwp:_13.

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2018Repo market functioning: The role of capital regulation. (2018). Van Horen, Neeltje ; Kotidis, Antonis. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13090.

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2017Measures of Global Uncertainty and Carry-Trade Excess Returns. (2000). Mark, Nelson ; Berg, Kimberly A. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2017_002.

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2017Liquidity in FX spot and forward markets. (2001). Sushko, Vladyslav ; Krohn, Ingomar . In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2017_019.

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

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

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2019Fast trading and the virtue of entropy: evidence from the foreign exchange market. (2019). Mehl, Arnaud ; Lafarguette, Romain ; Corsetti, Giancarlo. In: Working Paper Series. RePEc:ecb:ecbwps:20192300.

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2017The effect of the US subprime crisis on Canadian banks. (2017). Bandyopadhyay, Satiprasad ; Kennedy, Duane ; Jha, Ranjini. In: Advances in accounting. RePEc:eee:advacc:v:36:y:2017:i:c:p:58-74.

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2019Optimal execution with regime-switching market resilience. (2019). Elliott, Robert J ; Zhu, Song-Ping ; Guo, Ivan ; Siu, Chi Chung. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:17-40.

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

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2019Can skewness predict currency excess returns?. (2019). Yin, Libo ; Han, Liyan ; Jiang, Xue. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:628-641.

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2019Uncertainty and currency performance: A quantile-on-quantile approach. (2019). Yin, Libo ; Liu, Yang ; Han, Liyan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:702-729.

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2018A tale of two risks in the EMU sovereign debt markets. (2018). Sensoy, Ahmet ; Akyildirim, Erdinc ; Nguyen, Duc Khuong. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:102-106.

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2018Intraday effect of news on emerging European forex markets: An event study analysis. (2018). Kočenda, Evžen ; Moravcova, Michala ; Koenda, Even. In: Economic Systems. RePEc:eee:ecosys:v:42:y:2018:i:4:p:597-615.

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

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

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

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

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2018Conditional co-skewness and safe-haven currencies: A regime switching approach. (2018). Chan, Kalok ; Zhou, Yinggang ; Yang, Jian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:58-80.

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

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2018New bid-ask spread estimators from daily high and low prices. (2018). Li, Zhiyong ; Adegbite, Emmanuel ; Lambe, Brendan . In: International Review of Financial Analysis. RePEc:eee:finana:v:60:y:2018:i:c:p:69-86.

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2019Currency carry trades and the conditional factor model. (2019). Sakemoto, Ryuta. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:198-208.

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

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2018Intraday patterns in foreign exchange returns and realized volatility. (2018). Zhang, Hao. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:99-104.

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

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

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2019The collateral channel of open market operations. (2019). Koulischer, Francois ; Cassola, Nuno. In: Journal of Financial Stability. RePEc:eee:finsta:v:41:y:2019:i:c:p:73-90.

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

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

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

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2018Do liquidity proxies measure liquidity accurately in ETFs?. (2018). Marshall, Ben ; Visaltanachoti, Nuttawat ; Nguyen, Nhut H. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:94-111.

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2019Unexploited currency carry trade profit opportunity. (2019). Suh, Sangwon. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:236-254.

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2019Carry trades and endogenous regime switches in exchange rate volatility. (2019). Cho, Dooyeon ; Lee, Na Kyeong ; Han, Heejoon. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:255-268.

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2019Intraday effects of the currency market. (2019). Narayan, Paresh Kumar ; Khademalomoom, Siroos. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:65-77.

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2019Liquidity withdrawal in the FX spot market: A cross-country study using high-frequency data. (2019). Stenfors, Alexis ; Susai, Masayuki. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:59:y:2019:i:c:p:36-57.

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

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2019Detecting currency manipulation: An application of a state-space model with Markov switching. (2019). Kim, Soohyon ; Park, Ki Young. In: Japan and the World Economy. RePEc:eee:japwor:v:49:y:2019:i:c:p:50-60.

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

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

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2018The impacts of asymmetric information and short sales on the illiquidity risk premium in the stock option market. (2018). Lin, Zih-Ying ; Wang, Yaw-Huei ; Chang, Chuang-Chang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:94:y:2018:i:c:p:152-165.

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2019Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading. (2019). Napoletano, Mauro ; Leal, Sandrine Jacob. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:157:y:2019:i:c:p:15-41.

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2018Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity. (2018). Chen, Yong ; Paye, Bradley S ; Eaton, Gregory W. In: Journal of Financial Economics. RePEc:eee:jfinec:v:130:y:2018:i:1:p:48-73.

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2018Home away from home? Foreign demand and London house prices. (2018). Badarinza, Cristian ; Ramadorai, Tarun. In: Journal of Financial Economics. RePEc:eee:jfinec:v:130:y:2018:i:3:p:532-555.

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2019The impact of jumps on carry trade returns. (2019). Wang, Minho ; Lee, Suzanne S. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:2:p:433-455.

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2019Private information in currency markets. (2019). Nishiotis, George ; Milidonis, Andreas ; Michaelides, Alexander. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:643-665.

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2019Should retail investors’ leverage be limited?. (2019). Simsek, Alp ; Heimer, Rawley . In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:3:p:1-21.

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

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

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

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

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

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

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2018Measures of global uncertainty and carry-trade excess returns. (2018). Berg, Kimberly ; Mark, Nelson C. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:88:y:2018:i:c:p:212-227.

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2018Uncertainty, currency excess returns, and risk reversals. (2018). Husted, Lucas ; Sun, BO ; Rogers, John. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:88:y:2018:i:c:p:228-241.

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2018Central bank transparency and the volatility of exchange rates. (2018). Eichler, Stefan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:89:y:2018:i:c:p:23-49.

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2018Currency downside risk, liquidity, and financial stability. (2018). Chulia, Helena ; Uribe, Jorge M ; Fernandez, Julian. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:89:y:2018:i:c:p:83-102.

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2019Effects of capital controls on foreign exchange liquidity. (2019). Cantu, Carlos. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:93:y:2019:i:c:p:201-222.

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2019The risk premium of gold. (2019). Simen, Chardin Wese ; Prokopczuk, Marcel ; Benno, Duc Binh. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:94:y:2019:i:c:p:140-159.

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2019Exchange rates, oil prices and world stock returns. (2019). Sakaki, Hamid ; Mollick, Andre Varella. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:585-602.

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

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2018Relationship between stock and currency markets conditional on the US stock returns: A vine copula approach. (2018). Tachibana, Minoru. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:46:y:2018:i:c:p:75-106.

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2019Diversification role of currency momentum for carry trade: Evidence from financial crises. (2019). Yamani, Ehab. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:49:y:2019:i:c:p:1-19.

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2019Speed and trading behavior in an order-driven market. (2019). Park, Seongkyu (Gilbert) ; Ryu, Doojin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:53:y:2019:i:c:p:145-164.

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2018Hidden Markov model analysis of extreme behaviors of foreign exchange rates. (2018). Liu, Wei-Han. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:1007-1019.

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2019Currency strategies based on momentum, carry trade and skewness. (2019). Jiang, Xue ; Yin, Libo ; Han, Liyan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:517:y:2019:i:c:p:121-131.

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

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2018Volatility spillovers between foreign exchange and stock markets in industrialized countries. (2018). Sosvilla-Rivero, Simon ; Morales-Zumaquero, Amalia . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:70:y:2018:i:c:p:121-136.

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

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

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

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

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2019Time-Variant Safe-Haven Currency Status and Determinants. (2019). Yuki, MASUJIMA . In: Discussion papers. RePEc:eti:dpaper:19048.

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2018The pricing of FX forward contracts: micro evidence from banks’ dollar hedging. (2018). Bräuning, Falk ; Abbassi, Puriya ; Brauning, Falk. In: Working Papers. RePEc:fip:fedbwp:18-6.

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

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2018Liquidity and volatility in the U.S. treasury market. (2018). Ghysels, Eric ; Fleming, Michael ; Engle, Robert ; Nguyen, Giang. In: Staff Reports. RePEc:fip:fednsr:590.

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

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2019Flighty liquidity. (2018). Shachar, Or ; Giannone, Domenico ; Boyarchenko, Nina. In: Staff Reports. RePEc:fip:fednsr:870.

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

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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]		paper48
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]		paper81
2009The Time-Varying Systematic Risk of Carry Trade Strategies.(2009) In: CEPR Discussion Papers.
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2011The Time-Varying Systematic Risk of Carry Trade Strategies.(2011) In: Journal of Financial and Quantitative Analysis.
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2010The Time-Varying Systematic Risk of Carry Trade Strategies.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 81		paper
2009The Time-Varying Systematic Risk of Carry Trade Strategies.(2009) In: University of St. Gallen Department of Economics working paper series 2009.
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This paper has another version. Agregated cites: 81		paper
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]		article93
2009Liquidity in the Foreign Exchange Market: Measurement, Commonality,and Risk Premiums.(2009) In: Swiss Finance Institute Research Paper Series.
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This paper has another version. Agregated cites: 93		paper
2010Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 93		paper
2018Judgement Day: algorithmic trading around the Swiss franc cap removal In: Bank of England working papers.
[Full Text][Citation analysis]		paper1
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: 1		paper
2018OTC premia In: Bank of England working papers.
[Full Text][Citation analysis]		paper0
2018OTC Premia.(2018) In: Working Papers on Finance.
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2019Regulatory effects on short-term interest rates In: Bank of England working papers.
[Full Text][Citation analysis]		paper0
2008Does FOMC News Increase Global FX Trading? In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper5
2011Does FOMC news increase global FX trading?.(2011) In: Journal of Banking & Finance.
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2008Does FOMC News Increase Global FX Trading?.(2008) In: Working Papers.
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2009Safe Haven Currencies In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper130
2010Safe Haven Currencies.(2010) In: Review of Finance.
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This paper has another version. Agregated cites: 130		article
2007Safe Haven Currencies.(2007) In: Working Papers.
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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: 130		paper
2013Risk spillovers in international equity portfolios In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article3
2012Risk spillovers in international equity portfolios.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 3		paper
2012Risk Spillovers in International Equity Portfolios.(2012) In: Working Papers on Finance.
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This paper has another version. Agregated cites: 3		paper
2004Order aggressiveness in limit order book markets In: Journal of Financial Markets.
[Full Text][Citation analysis]		article141
2009Segmentation and time-of-day patterns in foreign exchange markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article10
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: 10		paper
2013On the predictability of stock prices: A case for high and low prices In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article11
2011On the Predictability of Stock Prices: A Case for High and Low Prices..(2011) In: Marco Fanno Working Papers.
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This paper has another version. Agregated cites: 11		paper
2011On the Predictability of Stock Prices: a Case for High and Low Prices.(2011) In: Working Papers.
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2012On the Predictability of Stock Prices: a Case for High and Low Prices.(2012) In: Working Papers on Finance.
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2010The reaction of asset markets to Swiss National Bank communication In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article46
2007The reaction of asset markets to Swiss National Bank communication.(2007) In: Working Papers.
[Full Text][Citation analysis]
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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]		paper27
2006Realized Bond-Stock Correlation: Macroeconomic Announcement Effects.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		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: 27		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]		article8
2012Intraday Patterns in FX Returns and Order Flow.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2012Intraday Patterns in FX Returns and Order Flow.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2011Intraday patterns in FX returns and order flow.(2011) In: Working Papers.
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2015Understanding FX Liquidity In: Review of Financial Studies.
[Full Text][Citation analysis]		article39
2015Understanding FX Liquidity.(2015) In: Working Papers on Finance.
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2016The Euro Interbank Repo Market In: Review of Financial Studies.
[Full Text][Citation analysis]		article57
2015The Euro Interbank Repo Market.(2015) In: Working Papers on Finance.
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2016Uniform-price auctions for Swiss government bonds: Origin and evolution In: Economic Studies.
[Full Text][Citation analysis]		paper2
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: 2		paper
2006Intraday Market Dynamics Around Public Information Arrivals In: Working Papers.
[Full Text][Citation analysis]		paper4
2009Forecasting realized (co)variances with a block structure Wishart autoregressive model In: Working Papers.
[Full Text][Citation analysis]		paper22
2012Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model.(2012) In: Working Papers on Finance.
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This paper has another version. Agregated cites: 22		paper
2010Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity In: Working Papers.
[Full Text][Citation analysis]		paper20
2012Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity.(2012) In: Working Papers on Finance.
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This paper has another version. Agregated cites: 20		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]		article5
2014Precious Metals Under the Microscope: A High-Frequency Analysis.(2014) In: Working Papers on Finance.
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This paper has another version. Agregated cites: 5		paper
2018Unsecured and Secured Funding In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2016Unsecured and Secured Funding.(2016) In: Working Papers on Finance.
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This paper has another version. Agregated cites: 1		paper
2013Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals In: Working Papers on Finance.
[Full Text][Citation analysis]		paper0
2013Monetary Policy Effects on Long-term Rates and Stock Prices In: Working Papers on Finance.
[Full Text][Citation analysis]		paper1
2016Fragility of Money Markets In: Working Papers on Finance.
[Full Text][Citation analysis]		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
2017Explaining the Failure of the Expectations Hypothesis with Short-Term Rates In: Working Papers on Finance.
[Full Text][Citation analysis]		paper0
2018Heterogeneous Information Content of Global FX Trading In: Working Papers on Finance.
[Full Text][Citation analysis]		paper0
2018Trading Volume, Illiquidity and Commonalities in FX Markets In: Working Papers on Finance.
[Full Text][Citation analysis]		paper0

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