Angelo Ranaldo : Citation Profile

Are you Angelo Ranaldo?

Swiss Finance Institute (50% share)
Universität Basel (50% share)

16

H index

20

i10 index

1543

Citations

RESEARCH PRODUCTION:

33

Articles

77

Papers

2

Chapters

RESEARCH ACTIVITY:

   22 years (2002 - 2024). See details.
   Cites by year: 70
   Journals where Angelo Ranaldo has often published
   Relations with other researchers
   Recent citing documents: 163.    Total self citations: 36 (2.28 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pra161
   Updated: 2024-12-03    RAS profile: 2024-08-16    
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Relations with other researchers

Works with:

Huang, Wenqian (6)

Davies, Ryan (4)

Schuerhoff, Norman (4)

Caporin, Massimiliano (4)

Schwarz, Marco (4)

Verousis, Thanos (4)

Zhang, S. Sarah (4)

Colliard, Jean-Edouard (4)

Dimpfl, Thomas (4)

Chernov, Mikhail (4)

Lof, Matthijs (4)

Frijns, Bart (4)

Smales, Lee (4)

Vilkov, Grigory (4)

Schenk-Hoppé, Klaus (4)

Pasquariello, Paolo (4)

Nielsson, Ulf (4)

Shachar, Or (4)

Menkveld, Albert (4)

Ødegaard, Bernt (4)

Hautsch, Nikolaus (4)

Ait-Sahalia, Yacine (4)

Hurlin, Christophe (4)

Brownlees, Christian (4)

Johannesson, Magnus (4)

Frömmel, Michael (4)

Harris, Jeffrey (4)

Jalkh, Naji (4)

Sarno, Lucio (4)

Foucault, Thierry (4)

Rinne, Kalle (4)

FERROUHI, EL MEHDI (4)

Wolff, Christian (4)

Gehrig, Thomas (4)

Dreber, Anna (4)

CAPELLE-BLANCARD, Gunther (4)

Korajczyk, Robert (4)

Pastor, Lubos (4)

Jurkatis, Simon (4)

Renault, Thomas (4)

Deev, Oleg (4)

Sojli, Elvira (4)

Bos, Charles (4)

Füllbrunn, Sascha (4)

Liew, Chee (4)

Deku, Solomon (4)

Horenstein, Alex (4)

Walther, Thomas (4)

Talavera, Oleksandr (4)

Reitz, Stefan (4)

Palan, Stefan (4)

Stefanova, Denitsa (4)

Ferrara, Gerardo (3)

Aloosh, Arash (3)

Roy, Saurabh (3)

Eugster, Nicolas (3)

Xia, Shuo (3)

Mihet, Roxana (3)

Wilhelmsson, Anders (3)

Güçbilmez, Ufuk (3)

Taylor, Nick (3)

Santucci de Magistris, Paolo (3)

Bohorquez Correa, Santiago (3)

Degryse, Hans (3)

Koetter, Michael (3)

Voigt, Stefan (3)

Xiu, Dacheng (3)

Alexeev, Vitali (3)

Neszveda, Gabor (3)

Holzmeister, Felix (3)

Söderlind, Paul (2)

Dumitrescu, Ariadna (2)

Duijm, Patty (2)

Lopez-Lira, Alejandro (2)

Moinas, Sophie (2)

Bjønnes, Geir (2)

PASCUAL, ROBERTO (2)

Scaillet, Olivier (2)

LINTON, OLIVER (2)

Abudy, Menachem (2)

He, Xuezhong (Tony) (2)

Kearney, Fearghal (2)

van Kervel, Vincent (2)

Breedon, Francis (2)

Heath, Davidson (2)

Adrian, Tobias (2)

Gil-Bazo, Javier (2)

Regis, Luca (2)

Vogel, Sebastian (2)

Zhou, Chen (2)

Tonks, Ian (2)

Park, Andreas (2)

Hjalmarsson, Erik (2)

Roy, Saurabh (2)

Lajaunie, Quentin (2)

Gorbenko, Arseny (2)

Kassner, Bernhard (2)

Putnins, Talis (2)

Prokopczuk, Marcel (2)

Wong, Wing-Keung (2)

Theissen, Erik (2)

Patton, Andrew (2)

Bechtel, Alexander (2)

Vasios, Michalis (2)

Chow, Nikolai Sheung-Chi (2)

Gerritsen, Dirk (2)

Bouri, Elie (2)

Rakowski, David (2)

Patel, Vinay (2)

Pelizzon, Loriana (2)

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

Is cited by:

Sensoy, Ahmet (21)

Nguyen, Duc Khuong (18)

Rime, Dagfinn (15)

Nitschka, Thomas (14)

lucey, brian (13)

Sakemoto, Ryuta (12)

Breedon, Francis (11)

Vitale, Paolo (11)

Sushko, Vladyslav (11)

Chuliá, Helena (10)

Claessens, Stijn (10)

Cites to:

Bollerslev, Tim (38)

Sarno, Lucio (31)

Andersen, Torben (28)

Lyons, Richard (24)

Acharya, Viral (23)

Diebold, Francis (23)

Evans, Martin (22)

Gürkaynak, Refet (21)

Söderlind, Paul (20)

KRISHNAMURTHY, ARVIND (20)

Wrampelmeyer, Jan (18)

Main data

Where Angelo Ranaldo has published?

Journals with more than one article published# docs
Journal of Financial Economics4
The Review of Financial Studies4
Journal of Banking & Finance4
Financial Markets and Portfolio Management3
BIS Quarterly Review2
Review of Finance2
Journal of Money, Credit and Banking2

Working Papers Series with more than one paper published# docs
Working Papers on Finance / University of St. Gallen, School of Finance22
Working Papers / Swiss National Bank14
Swiss Finance Institute Research Paper Series / Swiss Finance Institute14
CEPR Discussion Papers / C.E.P.R. Discussion Papers3
Papers / arXiv.org2
University of St. Gallen Department of Economics working paper series 2009 / Department of Economics, University of St. Gallen2

Recent works citing Angelo Ranaldo (2024 and 2023)

YearTitle of citing document
2023A spectral approach to stock market performance. (2023). Escañuela Romana, Ignacio ; Nieves, Clara Escanuela. In: Papers. RePEc:arx:papers:2305.05762.

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2024The Costs of Swapping on the Uniswap Protocol. (2023). Wan, Xin ; Markovich, Sarit ; Chan, Benjamin Y ; Adams, Austin. In: Papers. RePEc:arx:papers:2309.13648.

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2024Decoding Social Sentiment in DAO: A Comparative Analysis of Blockchain Governance Communities. (2023). Wu, Xintong ; Quan, Yutong ; Zhang, Luyao ; Deng, Wanlin. In: Papers. RePEc:arx:papers:2311.14676.

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2024Clearing time randomization and transaction fees for auction market design. (2024). Xu, Tianrui ; Mastrolia, Thibaut. In: Papers. RePEc:arx:papers:2405.09764.

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2023Currency risk premiums redux?. (2023). Sarno, Lucio ; Nucera, Federico C ; Zinna, Gabriele. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1415_23.

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2023The effects of two-way lending between financial conglomerates in bilateral repo markets. (2023). Florez-Acosta, Jorge ; Caon, Carlos ; Gomez, Karoll. In: Borradores de Economia. RePEc:bdr:borrec:1246.

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2023French sovereign debt liquidity: main factors, recent developments and resilience during the Covid crisis. (2023). Benoit, Nguyen ; Theophile, Legrand ; Ernest, Lecomte ; Arthur, Rossi. In: Bulletin de la Banque de France. RePEc:bfr:bullbf:2023:246:01.

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2023Can Central Banks Be Heard Over the Sound of Gunfire?. (2023). Talavera, Oleksandr ; Nikolsko-Rzhevskyy, Alex ; Gao, GE. In: Discussion Papers. RePEc:bir:birmec:23-09.

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2023The foreign exchange market. (2023). Sushko, Vladyslav ; Rime, Dagfinn ; Chaboud, Alain. In: BIS Working Papers. RePEc:bis:biswps:1094.

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2024ECB monetary policy communication events: Do they move euro area yields?. (2024). Vasiliauskait, Deimant ; Kaminskas, Rokas ; Jurkas, Linas. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:76:y:2024:i:2:p:596-625.

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2023Risk reduction using trailing stop?loss rules. (2021). Visaltanachoti, Nuttawat ; Marshall, Ben R ; Dai, Bochuan ; Nguyen, Nhut H. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:4:p:1334-1352.

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2023Interbank money market concerns and actors’ strategies—A systematic review of 21st century literature. (2023). Dugdale, Julie ; Reaidy, Paul J ; Madies, Philippe ; Alaeddini, Morteza. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:2:p:573-654.

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2023Regulatory Reforms and Price Heterogeneity in an OTC Derivative Market. (2023). Sone, Taihei ; Oda, Takemasa ; Miyakawa, Daisuke. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp23e12.

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2023Volatility Connectedness on the Central European Forex Markets. (2023). Kočenda, Evžen ; Albrecht, Peter ; Kocenda, Even ; Koenda, Even. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10728.

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2023Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula. (2023). Ortega, Esther Ruiz ; Rodriguez, Carlos Vladimir ; Gonzalez-Rivera, Gloria. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:37968.

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2023Safe Asset Scarcity and Re-use in the European Repo Market. (2023). van Lelyveld, Iman ; Inhoffen, Justus. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2050.

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2023Safe Asset Scarcity and Re-use in the European Repo Market. (2023). Lelyveld, Iman ; van Lelyveld, Iman ; Inhoffen, Justus. In: Working Papers. RePEc:dnb:dnbwpp:787.

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2024Enhancing repo market transparency: the EU Securities Financing Transactions Regulation. (2024). Wedow, Michael ; Hermes, Felix ; Odonnell, Charles ; Mirza, Harun ; Grill, Michael ; Bassi, Claudio. In: Occasional Paper Series. RePEc:ecb:ecbops:2024342.

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2023Window dressing of regulatory metrics: evidence from repo markets. (2023). Waibel, Martin ; Grill, Michael ; Behn, Markus ; Bassi, Claudio. In: Working Paper Series. RePEc:ecb:ecbwps:20232771.

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2023Loss sharing in central clearinghouses: winners and losers. (2023). Kubitza, Christian ; Sherman, Mila Getmansky ; Pelizzon, Loriana. In: Working Paper Series. RePEc:ecb:ecbwps:20232873.

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2023Do algorithmic traders exploit volatility?. (2023). Marathe, Rahul R ; Prasanna, Krishna P ; Arumugam, Devika. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022001009.

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2023A literature review on extreme price movements with reversal. (2023). Steffen, Viktoria. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000205.

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2023Dividend hibernation and future earnings: When no dividend news is good news. (2023). Khorsand, Bardia ; Drienko, JO. In: Journal of Corporate Finance. RePEc:eee:corfin:v:83:y:2023:i:c:s0929119923001517.

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2023A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market. (2023). Xing, Haipeng ; Chen, Xinyun ; Li, Zhicheng. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003194.

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2023Trend-based forecast of cryptocurrency returns. (2023). Tao, Yubo ; Tan, Xilong. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001359.

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2023On the role of interest rate differentials in the dynamic asymmetry of exchange rates. (2023). Ulm, M ; Hambuckers, J. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003668.

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2023Hedge and safe-haven properties of FAANA against gold, US Treasury, bitcoin, and US Dollar/CHF during the pandemic period. (2023). Yousaf, Imran ; GUPTA, RANGAN ; Bouri, Elie ; Plakandaras, Vasilios. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001796.

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2023Can monthly-return rank order reveal a hidden dimension of momentum? The post-cost evidence from the U.S. stock markets. (2023). Yeomans, Julian Scott ; Luukka, Pasi ; Ahmed, Sheraz ; Patari, Eero. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000074.

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2023Spillover shifts in the FX market: Implication for the behavior of a safe haven currency. (2023). Lee, Seojin ; Kim, Youngmin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000086.

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2023Do the carry trades respond to geopolitical risks? Evidence from BRICS countries. (2023). Yilmaz, Muhammed Hasan ; Guney, Ibrahim Ethem ; Emirmahmutoglu, Furkan ; Cepni, Oguzhan. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s0939362522000620.

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2023Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies. (2023). Vo, Xuan Vinh ; Zeitun, Rami ; Katsiampa, Paraskevi ; Ur, Mobeen. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000838.

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2023Household indebtedness, financial frictions and the transmission of monetary policy to consumption: Evidence from China. (2023). Funke, Michael ; Zhong, Doudou ; Li, Xiang. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000917.

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2023Stock liquidity during COVID-19 crisis: A cross-country analysis of developed and emerging economies, and economic policy uncertainty. (2023). Khandaker, Sarod ; Trinh, Hai Hong ; Baghdadi, Ghasan ; al Farooque, Omar. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000304.

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2024Mutual fund tournaments: State-dependent risk taking with transaction costs. (2024). Luo, Ronghua ; Wang, Liang ; Zhao, LU. In: Emerging Markets Review. RePEc:eee:ememar:v:59:y:2024:i:c:s1566014124000141.

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2023Limit order revisions across investor sophistication. (2023). Chen, Chin-Ho ; Chiu, Junmao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:74-90.

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2023Forecasting realized volatility with machine learning: Panel data perspective. (2023). Liu, Zhi ; He, Lidan ; Bai, LU ; Zhu, Haibin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:251-271.

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2023Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach. (2023). Javed, Farrukh ; Nguyen, Hoang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:272-292.

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2023A seesaw effect in the cryptocurrency market: Understanding the return cross predictability of cryptocurrencies. (2023). Yan, Shu ; Jia, yuecheng ; Liu, Yuzheng ; Wu, Yangru. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000956.

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2023Co-illiquidity management. (2023). Rzenik, Aleksandra ; Massa, Massimo ; Hvidkjar, Soren. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000968.

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2023Does oil price uncertainty affect corporate innovation?. (2023). Aktas, Elvan ; Wang, Xinyu ; Amin, Md Ruhul. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988323000117.

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2023Sustainability and stability: Will ESG investment reduce the return and volatility spillover effects across the Chinese financial market?. (2023). Luo, Liangqing ; Ping, Weiying ; Guo, Tongji ; Liu, Min. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s014098832300172x.

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2023Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets. (2023). Zhu, You ; Uddin, Gazi Salah ; Xie, Chi ; Feng, Yusen ; Wan, LI ; Wang, Gang-Jin. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000340.

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2023Market-wide illiquidity and the distribution of non-parametric stochastic discount factors. (2023). Rubio, Gonzalo ; Pascual, Roberto ; Nieto, Belen ; Abad, David. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001667.

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2023State transformation of information spillover in asset markets and effective dynamic hedging strategies. (2023). Tsai, I-Chun ; Lin, Che-Chun ; Wang, Yu-Min. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002880.

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2023A new way of measuring effects of financial crisis on contagion in currency markets. (2023). Cook, Samantha ; Wit, Ernst-Jan Camiel ; Rigana, Katerina. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923002806.

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2024Political risks, excess and carry trade returns in global markets. (2024). Blenman, Lloyd P ; Kesse, Kwabena. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004222.

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2024Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic. (2024). Al-Faryan, Mamdouh Abdulaziz Sa ; Ur, Mobeen ; Kashif, Muhammad ; Palwishah, Rana. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004350.

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2024Non-standard errors in the cryptocurrency world. (2024). Zaremba, Adam ; Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383.

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2024Volatility connectedness on the central European forex markets. (2024). Kočenda, Evžen ; Koenda, Even ; Albrecht, Peter. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s105752192400111x.

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2024Seeking a shock haven: Hedging extreme upward oil price changes. (2024). HU, YANG ; Conlon, Thomas ; Corbet, Shaen ; Hou, Yang ; Oxley, Les. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001777.

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2024Options illiquidity in an over-the-counter market. (2024). Ahn, Jungkyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002357.

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2024Is there an optimal level of leverage? The case of banks and non-bank institutions in Europe. (2024). Urga, Giovanni ; Pellini, Elisabetta ; Cincinelli, Peter. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002552.

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2023The relationship between global risk aversion and returns from safe-haven assets. (2023). Teplova, Tamara ; Choi, Sun-Yong ; Bossman, Ahmed ; Umar, Zaghum. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006213.

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2023Network characteristics and stock liquidity:Evidence from the UK. (2023). Yang, Xiaoguang ; Huang, Chuangxia ; Jin, Cheng. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322008017.

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2023Macro news effects on exchange rates: Difference between carry trade target and safe-haven currencies. (2023). Hu, Bing ; Lin, Zhitao ; Wang, Wenhao. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000533.

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2023How digital technology improves the high-quality development of enterprises and capital markets: A liquidity perspective. (2023). Liu, Boyang. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000570.

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2023Time-varying market efficiency of safe-haven assets. (2023). Leirvik, Thomas ; Okoroafor, Ugochi C. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323003963.

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2024Extremely stablecoins. (2024). Fernandez-Mejia, Julian. In: Finance Research Letters. RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324002988.

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2024Revisiting seasonality in cryptocurrencies. (2024). Mueller, Lukas. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004598.

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2024The impact of the capital gains tax on the Korean derivatives market. (2024). Khemakhem, Emna ; Capelle-Blancard, Gunther. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004641.

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2023Price bands and their effects on equity markets: Evidence from a natural experiment. (2023). Singh, Ajai ; Seth, Rama ; Gatchev, Vladimir A ; Vishwanatha, S R. In: Journal of Financial Markets. RePEc:eee:finmar:v:66:y:2023:i:c:s1386418123000381.

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2023Order splitting and interacting with a counterparty. (2023). van Kervel, Vincent ; Kwan, Amy ; Westerholm, Joakim P. In: Journal of Financial Markets. RePEc:eee:finmar:v:66:y:2023:i:c:s1386418123000484.

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2024Disentangling the supply and announcement effects of open market operations. (2024). Bulusu, Narayan. In: Journal of Financial Markets. RePEc:eee:finmar:v:67:y:2024:i:c:s1386418123000691.

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2024How does the repo market behave under stress? Evidence from the COVID-19 crisis. (2024). Maria, Luitgard Anna ; Lepore, Caterina ; Huser, Anne-Caroline. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s1572308923000931.

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2023International capital flow pressures and global factors. (2023). Krogstrup, Signe ; Goldberg, Linda S. In: Journal of International Economics. RePEc:eee:inecon:v:146:y:2023:i:c:s0022199623000351.

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2024UIP deviations: Insights from event studies. (2024). Romero, Damian ; Claro, Sebastian ; Ceballos, Luis ; Albagli, Elias. In: Journal of International Economics. RePEc:eee:inecon:v:148:y:2024:i:c:s0022199624000011.

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2024Is gold a safe haven for the U.S. dollar during extreme conditions?. (2024). Azimli, Asil. In: International Economics. RePEc:eee:inteco:v:177:y:2024:i:c:s2110701724000015.

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2023Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561.

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2023Deviations from covered interest parity in the emerging markets after the global financial crisis. (2023). Geyikçi, Utku ; Ozyildirim, Suheyla ; Geyiki, Utku Bora. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000331.

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2024Detecting the risk of cross-product manipulation in the EUREX fixed income futures market. (2024). Mere, Peter ; Guo, Andy ; Dilshani, Kaveesha ; Stenfors, Alexis. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:92:y:2024:i:c:s1042443124000507.

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2023Customer concentration and stock liquidity. (2023). Le, Anh-Tuan ; Huang, Henry Hongren ; Do, Trung K. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001401.

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2024Frictions in scaling up central bank balance sheet policies: How Eurosystem asset purchases impact the repo market. (2024). Hudepohl, Tom ; de Souza, Tomas Carrera. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002285.

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2024Geopolitical risk and currency returns. (2024). Zhang, Xueyong ; Liu, XI. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000177.

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2023The global factor structure of exchange rates. (2023). Vedolin, Andrea ; Trojani, Fabio ; Korsaye, Sofonias Alemu. In: Journal of Financial Economics. RePEc:eee:jfinec:v:148:y:2023:i:1:p:21-46.

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2023What matters in a characteristic?. (2023). Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:1:p:52-72.

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2023A credit-based theory of the currency risk premium. (2023). , Ella ; Jeanneret, Alexandre ; della Corte, Pasquale. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:473-496.

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2024Monetary policy transmission in segmented markets. (2024). Zhang, Anthony Lee ; Ma, Yiming ; Eisenschmidt, Jens. In: Journal of Financial Economics. RePEc:eee:jfinec:v:151:y:2024:i:c:s0304405x23001782.

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2024Central bank asset purchases and lending: Impact on search frictions. (2024). Tobe, Reiko ; Uno, Jun. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:58:y:2024:i:c:s1042957324000032.

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2024Window dressing of regulatory metrics: Evidence from repo markets. (2024). Waibel, Martin ; Grill, Michael ; Behn, Markus ; Bassi, Claudio. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:58:y:2024:i:c:s1042957324000147.

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2023Perceived monetary policy uncertainty. (2023). Beckmann, Joscha ; Czudaj, Robert L. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:130:y:2023:i:c:s0261560622001644.

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2023An investment-based explanation of currency excess returns. (2023). Smallwood, Aaron D ; Yamani, Ehab ; Jamali, Ibrahim. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000311.

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2023Central bank communication and public trust: The case of ECB speeches. (2023). Rossi, Enzo ; Do, IN. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001171.

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2024The out-of-sample performance of carry trades. (2024). Li, Yan ; Wang, Zigan ; Taylor, Mark P ; Hsu, Po-Hsuan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000299.

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2023Determinants and dynamic interactions of trader positions in the gold futures market. (2023). Mo, Wan-Shin ; Chen, Yu-Lun. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000338.

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2023Global financial crisis, funding constraints, and liquidity of VIX futures. (2023). Tsai, Wei-Che ; Lien, Donald ; Chiu, Junmao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x23001725.

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2023Risk-off shocks and spillovers in safe havens. (2023). Beirne, John ; Sugandi, Eric. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x23001737.

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2024To fix or not to fix: The representativeness of the WM/R methodology that underpins the FX benchmark rates. A pre-registered report. (2024). Lepone, Andrew ; Galati, Luca ; Benenchia, Matteo. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:84:y:2024:i:c:s0927538x24000623.

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2023Macro-prudential policy, its alignment with monetary policy and house price growth: A cross-country study. (2023). Xu, Xiangyun ; Shi, YU ; Xie, Lijuan ; Zhong, Changbiao. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:51-62.

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2024Pricing and mispricing of accounting fundamentals: Global evidence. (2024). Kostlmeier, Siegfried. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:71-87.

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2023Corporate governance and price differences between dual-class shares in Korea. (2023). Yoon, Pyung-Sig ; Mi, Hyang ; Lim, Byungkwon. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:304-319.

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2023Blockchain market and eco-friendly financial assets: Dynamic price correlation, connectedness and spillovers with portfolio implications. (2023). Adekoya, Oluwasegun ; Abakah, Emmanuel ; Abdullah, Mohammad ; Bonsu, Christiana Osei ; Aikins, Emmanuel Joel. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:218-243.

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2024Does unconventional monetary policy improve credit support for the industry chain? The mechanism of trade credit. (2024). Ding, Zengcai ; Huang, Jinbo ; Du, Zhidi ; Bai, Hengrui ; Li, Zhongfei ; Zhou, Tao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:180-192.

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2024Are stablecoins better safe havens or hedges against global stock markets than other assets? Comparative analysis during the COVID-19 pandemic. (2024). Jiang, Mingxuan ; Yuan, Ying ; Feng, Jingyu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:275-301.

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More than 100 citations found, this list is not complete...

Works by Angelo Ranaldo:

YearTitleTypeCited
2007Extreme Coexceedances in New EU Member States’ Stock Markets In: CREATES Research Papers.
[Full Text][Citation analysis]		paper55
2009Extreme coexceedances in new EU member states stock markets.(2009) In: Journal of Banking & Finance.
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This paper has nother version. Agregated cites: 55		article
2008Extreme Coexceedances in New EU Member States Stock Markets.(2008) In: Working Papers.
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This paper has nother version. Agregated cites: 55		paper
2009The Time-Varying Systematic Risk of Carry Trade Strategies In: CREATES Research Papers.
[Full Text][Citation analysis]		paper121
2009The Time-Varying Systematic Risk of Carry Trade Strategies.(2009) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 121		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 nother version. Agregated cites: 121		article
2010The Time-Varying Systematic Risk of Carry Trade Strategies.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 121		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 nother version. Agregated cites: 121		paper
2024On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges In: Papers.
[Full Text][Citation analysis]		paper3
2022On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges.(2022) In: Swiss Finance Institute Research Paper Series.
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This paper has nother version. Agregated cites: 3		paper
2023NFT Bubbles In: Papers.
[Full Text][Citation analysis]		paper0
2023NFT Bubbles.(2023) In: Swiss Finance Institute Research Paper Series.
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This paper has nother version. Agregated cites: 0		paper
2019Euro repo market functioning: collateral is king In: BIS Quarterly Review.
[Full Text][Citation analysis]		article13
2023Bank positions in FX swaps: insights from CLS In: BIS Quarterly Review.
[Full Text][Citation analysis]		article1
2008Wolf in Sheeps Clothing: The Active Investment Strategies behind Index Performance In: European Financial Management.
[Full Text][Citation analysis]		article7
2013Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums In: Journal of Finance.
[Full Text][Citation analysis]		article176
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 nother version. Agregated cites: 176		paper
2010Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 176		paper
2018Judgement Day: algorithmic trading around the Swiss franc cap removal In: Bank of England working papers.
[Full Text][Citation analysis]		paper9
2023Judgment day: Algorithmic trading around the Swiss franc cap removal.(2023) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2018Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal.(2018) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2019Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal.(2019) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		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 nother version. Agregated cites: 1		article
2018OTC Premia.(2018) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2019Regulatory effects on short-term interest rates In: Bank of England working papers.
[Full Text][Citation analysis]		paper13
2021Regulatory effects on short-term interest rates.(2021) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
2022Collateral cycles In: Bank of England working papers.
[Full Text][Citation analysis]		paper0
2022Collateral Cycles.(2022) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2022Foreign Exchange Swaps and Cross-Currency Swaps In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper2
2023Foreign exchange swaps and cross-currency swaps.(2023) In: Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		chapter
2022Constrained Liquidity Provision in Currency Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2022Non-Fungible Tokens In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2023Non-Fungible Tokens.(2023) In: Palgrave Studies in Financial Services Technology.
[Citation analysis]
This paper has nother version. Agregated cites: 0		chapter
2022Realized Illiquidity In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2023Money Market Disconnect In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper2
2023Money Market Disconnect.(2023) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2023Foreign Exchange Swap Liquidity In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2023HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2024Pension Liquidity Risk In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2024Pension Liquidity Risk.(2024) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2024Blockchain Currency Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2024Hunting for Dollars In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2008Does FOMC News Increase Global FX Trading? In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper9
2011Does FOMC news increase global FX trading?.(2011) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2008Does FOMC News Increase Global FX Trading?.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2009Safe Haven Currencies In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper259
2010Safe Haven Currencies.(2010) In: Review of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 259		article
2007Safe Haven Currencies.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 259		paper
2007Safe Haven Currencies.(2007) In: University of St. Gallen Department of Economics working paper series 2007.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 259		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 nother version. Agregated cites: 4		paper
2012Risk Spillovers in International Equity Portfolios.(2012) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2004Order aggressiveness in limit order book markets In: Journal of Financial Markets.
[Full Text][Citation analysis]		article187
2009Segmentation and time-of-day patterns in foreign exchange markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article17
2007Segmentation and Time-of-Day Patterns in Foreign Exchange Markets.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2013On the predictability of stock prices: A case for high and low prices In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article27
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 nother version. Agregated cites: 27		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 nother version. Agregated cites: 27		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 nother version. Agregated cites: 27		paper
2021Asymmetric information risk in FX markets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article22
2018Asymmetric Information Risk in FX Markets.(2018) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2022Liquidity in the global currency market In: Journal of Financial Economics.
[Full Text][Citation analysis]		article3
2010The reaction of asset markets to Swiss National Bank communication In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article71
2007The reaction of asset markets to Swiss National Bank communication.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 71		paper
2024Nonstandard errors In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper9
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2002Market Dynamics Around Public Information Arrivals In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper3
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper5
2005Realized Bond-Stock Correlation: Macroeconomic Announcement Effects In: Finance Research Group Working Papers.
[Full Text][Citation analysis]		paper34
2006Realized Bond-Stock Correlation: Macroeconomic Announcement Effects.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		paper
2007Realized bond—stock correlation: Macroeconomic announcement effects.(2007) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		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]		article10
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 nother version. Agregated cites: 10		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]		article26
2012Intraday Patterns in FX Returns and Order Flow.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2011Intraday patterns in FX returns and order flow.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2013Intraday Patterns in FX Returns and Order Flow.(2013) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		article
2023Safe Asset Carry Trade In: The Review of Asset Pricing Studies.
[Full Text][Citation analysis]		article1
2019Safe Asset Carry Trade.(2019) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2023Liquidity Risk and Funding Cost In: Review of Finance.
[Full Text][Citation analysis]		article3
2020Liquidity Risk and Funding Cost.(2020) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2015Understanding FX Liquidity In: The Review of Financial Studies.
[Full Text][Citation analysis]		article93
2015Understanding FX Liquidity.(2015) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 93		paper
2016The Euro Interbank Repo Market In: The Review of Financial Studies.
[Full Text][Citation analysis]		article111
2015The Euro Interbank Repo Market.(2015) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 111		paper
2017A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices In: The Review of Financial Studies.
[Full Text][Citation analysis]		article111
2012Intraday Patterns in FX Returns and Order Flow In: Working Papers.
[Full Text][Citation analysis]		paper0
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 nother version. Agregated cites: 3		paper
2006Intraday Market Dynamics Around Public Information Arrivals In: Working Papers.
[Full Text][Citation analysis]		paper5
2009Forecasting realized (co)variances with a block structure Wishart autoregressive model In: Working Papers.
[Full Text][Citation analysis]		paper24
2012Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model.(2012) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 24		paper
2010Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity In: Working Papers.
[Full Text][Citation analysis]		paper61
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 nother version. Agregated cites: 61		paper
2012A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices In: The European Journal of Finance.
[Full Text][Citation analysis]		article5
2015Precious metals under the microscope: a high-frequency analysis In: Quantitative Finance.
[Full Text][Citation analysis]		article16
2014Precious Metals Under the Microscope: A High-Frequency Analysis.(2014) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2018Unsecured and Secured Funding In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper8
2016Unsecured and Secured Funding.(2016) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2022Unsecured and Secured Funding.(2022) In: Journal of Money, Credit and Banking.
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This paper has nother version. Agregated cites: 8		article
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.
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2019Trading Volume, Illiquidity and Commonalities in FX Markets In: Working Papers on Finance.
[Full Text][Citation analysis]		paper2
2020Monetary policy disconnect In: Working Papers on Finance.
[Full Text][Citation analysis]		paper1
In: .
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