Angelo Ranaldo : Citation Profile


Are you Angelo Ranaldo?

Universität St. Gallen

15

H index

15

i10 index

1033

Citations

RESEARCH PRODUCTION:

26

Articles

55

Papers

RESEARCH ACTIVITY:

   19 years (2002 - 2021). See details.
   Cites by year: 54
   Journals where Angelo Ranaldo has often published
   Relations with other researchers
   Recent citing documents: 147.    Total self citations: 25 (2.36 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pra161
   Updated: 2021-09-11    RAS profile: 2021-08-14    
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Relations with other researchers


Works with:

Vasios, Michalis (4)

Cenedese, Gino (3)

Breedon, Francis (3)

Wrampelmeyer, Jan (3)

Vause, Nicholas (3)

Rossi, Enzo (2)

Abdi, Farshid (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 (17)

Nguyen, Duc Khuong (15)

Rime, Dagfinn (14)

Nitschka, Thomas (13)

lucey, brian (12)

Breedon, Francis (10)

Vitale, Paolo (10)

Chuliá, Helena (9)

Caporin, Massimiliano (9)

Fuhrer, Lucas (9)

Hautsch, Nikolaus (8)

Cites to:

Bollerslev, Tim (36)

Andersen, Torben (26)

Acharya, Viral (21)

Diebold, Francis (21)

Sarno, Lucio (19)

Gürkaynak, Refet (18)

KRISHNAMURTHY, ARVIND (16)

Lyons, Richard (16)

Caporin, Massimiliano (14)

Evans, Martin (14)

Martin, Antoine (14)

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
Journal of Financial Economics3

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
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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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.

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2020Informed trading, limit order book and implementation shortfall: equilibrium and asymptotics. (2020). Waelbroeck, Henri ; Ccetin, Umut. In: Papers. RePEc:arx:papers:2003.04425.

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

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2020Portfolio Optimization with 2D Relative-Attentional Gated Transformer. (2020). Khushi, Matloob ; Kim, Taewan. In: Papers. RePEc:arx:papers:2101.03138.

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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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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.

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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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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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2020FX spot and swap market liquidity spillovers. (2020). Sushko, Vladyslav ; Krohn, Ingomar. In: BIS Working Papers. RePEc:bis:biswps:836.

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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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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.

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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.

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2020Covered Interest Parity in long-dated securities. (2020). Syrstad, Olav. In: Working Paper. RePEc:bno:worpap:2020_11.

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2020Price-setting in the foreign exchange swap market: Evidence from order flow. (2020). Viswanath-Natraj, Ganesh ; Syrstad, Olav. In: Working Paper. RePEc:bno:worpap:2020_16.

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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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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.

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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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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.

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

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2020Shorting in Broad Daylight: Short Sales and Venue Choice. (2020). Sokobin, Jonathan S ; Samadi, Mehrdad ; Reed, Adam V. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:55:y:2020:i:7:p:2246-2269_6.

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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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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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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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.

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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.

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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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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.

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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.

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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.

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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.

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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.

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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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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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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.

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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.

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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.

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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.

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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.

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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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2021On the predictability of the distribution of excess returns in currency markets. (2021). Cho, Dooyeon. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:511-530.

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2021A DCC-type approach for realized covariance modeling with score-driven dynamics. (2021). Corsi, Fulvio ; Buccheri, Giuseppe ; Vassallo, Danilo. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:569-586.

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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.

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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.

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2021The impact of RMB’s SDR inclusion on price discovery in onshore-offshore markets. (2021). Xu, KE ; Chen, Yu-Lun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:127:y:2021:i:c:s0378426621000820.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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2021Is the renminbi a safe-haven currency? Evidence from conditional coskewness and cokurtosis. (2021). Zhou, Yinggang ; Chen, Hongyi ; Cheng, Xin. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:113:y:2021:i:c:s0261560621000085.

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2021How much does economic news influence bilateral exchange rates?. (2021). Bannigidadmath, Deepa ; Narayan, Paresh Kumar. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:115:y:2021:i:c:s0261560621000619.

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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.

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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.

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2021Energy commodities and advanced stock markets: A post-crisis approach. (2021). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309181.

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2021Where lies the silver lining when uncertainty hang dark clouds over the global financial markets?. (2021). Adediran, Idris ; Lakhani, Kanwal Hammad ; Yinusa, Olalekan D. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309624.

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2021Connectedness between cryptocurrencies and foreign exchange markets: Implication for risk management. (2021). Ghorbel, Ahmed ; Bensaida, Ahmed ; Chemkha, Rahma. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:59:y:2021:i:c:s1042444x20300554.

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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.

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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.

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2021Extreme linkages between foreign exchange and general financial markets. (2021). Korsakul, Nattawadee ; Chen, Wei-Peng ; Wu, Chih-Chiang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:65:y:2021:i:c:s0927538x20306740.

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2021Turnover premia in Chinas stock markets. (2021). Yeh, Chung-Ying ; Chen, Wei ; Zhang, Bing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:65:y:2021:i:c:s0927538x20306995.

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2021Noise as a liquidity measure: Evidence from the JGB market. (2021). Hattori, Takahiro. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000226.

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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.

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2021Who knows more and makes more? A perspective of order submission decisions across investor types. (2021). Chen, Hung-Ju ; Hung, Pi-Hsia ; Lien, Donald. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:381-398.

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2021Foreign exchange market efficiency and the global financial crisis: Fundamental versus technical information. (2021). Yamani, Ehab. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:74-89.

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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.

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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.
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paper51
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.
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paper98
2009The Time-Varying Systematic Risk of Carry Trade Strategies.(2009) In: CEPR Discussion Papers.
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paper
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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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: 98
paper
2019Euro repo market functioning: collateral is king In: BIS Quarterly Review.
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article0
2008Wolf in Sheeps Clothing: The Active Investment Strategies behind Index Performance In: European Financial Management.
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article5
2013Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums In: Journal of Finance.
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article129
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: 129
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: 129
paper
2018Judgement Day: algorithmic trading around the Swiss franc cap removal In: Bank of England working papers.
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paper2
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: 2
paper
2019Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal.(2019) In: Working Papers on Finance.
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paper
2018OTC premia In: Bank of England working papers.
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paper1
2020OTC premia.(2020) In: Journal of Financial Economics.
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article
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.
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paper3
2021Regulatory effects on short-term interest rates.(2021) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 3
article
2008Does FOMC News Increase Global FX Trading? In: CEPR Discussion Papers.
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paper7
2011Does FOMC news increase global FX trading?.(2011) In: Journal of Banking & Finance.
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article
2008Does FOMC News Increase Global FX Trading?.(2008) In: Working Papers.
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2009Safe Haven Currencies In: CEPR Discussion Papers.
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paper166
2010Safe Haven Currencies.(2010) In: Review of Finance.
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article
2007Safe Haven Currencies.(2007) In: Working Papers.
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This paper has another version. Agregated cites: 166
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: 166
paper
2013Risk spillovers in international equity portfolios In: Journal of Empirical Finance.
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article4
2012Risk spillovers in international equity portfolios.(2012) In: Working Papers.
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paper
2012Risk Spillovers in International Equity Portfolios.(2012) In: Working Papers on Finance.
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2004Order aggressiveness in limit order book markets In: Journal of Financial Markets.
[Full Text][Citation analysis]
article166
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.
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paper
2013On the predictability of stock prices: A case for high and low prices In: Journal of Banking & Finance.
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article18
2011On the Predictability of Stock Prices: A Case for High and Low Prices..(2011) In: Marco Fanno Working Papers.
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paper
2011On the Predictability of Stock Prices: a Case for High and Low Prices.(2011) In: Working Papers.
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paper
2012On the Predictability of Stock Prices: a Case for High and Low Prices.(2012) In: Working Papers on Finance.
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This paper has another version. Agregated cites: 18
paper
2021Asymmetric information risk in FX markets In: Journal of Financial Economics.
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article1
2018Asymmetric Information Risk in FX Markets.(2018) In: Working Papers on Finance.
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This paper has another version. Agregated cites: 1
paper
2010The reaction of asset markets to Swiss National Bank communication In: Journal of International Money and Finance.
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article58
2007The reaction of asset markets to Swiss National Bank communication.(2007) In: Working Papers.
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This paper has another version. Agregated cites: 58
paper
2002Market Dynamics Around Public Information Arrivals In: FAME Research Paper Series.
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paper1
2005Realized Bond-Stock Correlation: Macroeconomic Announcement Effects In: Finance Research Group Working Papers.
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paper29
2006Realized Bond-Stock Correlation: Macroeconomic Announcement Effects.(2006) In: Working Papers.
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This paper has another version. Agregated cites: 29
paper
2007Realized bond—stock correlation: Macroeconomic announcement effects.(2007) In: Journal of Futures Markets.
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article
2009Editorial In: Financial Markets and Portfolio Management.
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article0
2009The implementation of SNB monetary policy In: Financial Markets and Portfolio Management.
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article6
2009The Implementation of SNB Monetary Policy.(2009) In: University of St. Gallen Department of Economics working paper series 2009.
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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.
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article2
2013Intraday Patterns in FX Returns and Order Flow In: Journal of Money, Credit and Banking.
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article22
2012Intraday Patterns in FX Returns and Order Flow.(2012) In: Working Papers.
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2012Intraday Patterns in FX Returns and Order Flow.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 22
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2011Intraday patterns in FX returns and order flow.(2011) In: Working Papers.
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2013Intraday Patterns in FX Returns and Order Flow.(2013) In: Journal of Money, Credit and Banking.
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article
2015Understanding FX Liquidity In: Review of Financial Studies.
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article66
2015Understanding FX Liquidity.(2015) In: Working Papers on Finance.
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This paper has another version. Agregated cites: 66
paper
2016The Euro Interbank Repo Market In: Review of Financial Studies.
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article70
2015The Euro Interbank Repo Market.(2015) In: Working Papers on Finance.
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This paper has another version. Agregated cites: 70
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2017A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices In: Review of Financial Studies.
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article30
2016Uniform-price auctions for Swiss government bonds: Origin and evolution In: Economic Studies.
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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.
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paper4
2009Forecasting realized (co)variances with a block structure Wishart autoregressive model In: Working Papers.
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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.
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paper26
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: 26
paper
2012A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices In: The European Journal of Finance.
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article5
2015Precious metals under the microscope: a high-frequency analysis In: Quantitative Finance.
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article9
2014Precious Metals Under the Microscope: A High-Frequency Analysis.(2014) In: Working Papers on Finance.
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paper
2018Unsecured and Secured Funding In: Tinbergen Institute Discussion Papers.
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paper3
2016Unsecured and Secured Funding.(2016) In: Working Papers on Finance.
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paper
2013Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals In: Working Papers on Finance.
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paper0
2013Monetary Policy Effects on Long-term Rates and Stock Prices In: Working Papers on Finance.
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paper1
2016Funding Illiquidity In: Working Papers on Finance.
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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.
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paper0
2017The Forward Premium in Short-Term Rates In: Working Papers on Finance.
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paper0
2019Trading Volume, Illiquidity and Commonalities in FX Markets In: Working Papers on Finance.
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paper2
2020Liquidity Risk and Funding Cost In: Working Papers on Finance.
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paper0
2019Safe Asset Carry Trade In: Working Papers on Finance.
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paper0
2020Monetary policy disconnect In: Working Papers on Finance.
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