Access Statistics for Angelo Ranaldo

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A 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 estimates, it utilizes a wider information set, namely, close, high, and low prices, which are readily available. In the absence of end-of-day quote data, it generally provides the highest cross-sectional and average time-series correlations with the TAQ effective spread benchmark. Moreover, it delivers the most accurate estimates for less liquid stocks. Our estimator has many potential applications including an accurate measurement of transaction cost, systematic liquidity risk, and commonality in liquidity for U.S. stocks dating back almost one century 0 2 3 130 60 75 112 695
Asymmetric Information Risk in FX Markets 0 0 1 60 1 9 41 209
Blockchain Currency Markets 1 4 8 31 7 13 27 40
Collateral Cycles 0 0 0 10 0 2 18 42
Collateral cycles 0 0 1 14 0 2 16 50
Constrained Dealers and Market Efficiency 0 0 0 3 0 5 16 31
Constrained Liquidity Provision in Currency Markets 0 0 0 20 0 1 10 46
Constrained Liquidity Provision in Currency Markets 0 0 0 1 0 3 9 12
Constrained liquidity provision in currency markets 0 0 0 11 2 4 28 40
Does FOMC News Increase Global FX Trading? 0 0 0 79 1 6 24 294
Does FOMC News Increase Global FX Trading? 0 0 0 50 1 4 19 452
Extreme Coexceedances in New EU Member States' Stock Markets 0 0 0 31 1 2 16 174
Extreme Coexceedances in New EU Member States’ Stock Markets 0 0 0 39 1 1 14 204
Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model 0 0 0 12 1 2 10 111
Forecasting realized (co)variances with a block structure Wishart autoregressive model 0 0 0 82 1 3 12 265
Foreign Exchange Swap Liquidity 0 2 2 43 0 6 30 99
Foreign Exchange Swaps and Cross-Currency Swaps 0 2 12 55 0 7 32 135
Funding Illiquidity 0 0 1 100 1 4 31 194
HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading 0 1 2 10 2 14 36 56
Hunting for Dollars 0 0 2 10 1 6 24 44
Intraday Market Dynamics Around Public Information Arrivals 0 0 0 37 0 3 6 149
Intraday Patterns in FX Returns and Order Flow 0 0 4 17 9 18 45 81
Intraday patterns in FX returns and order flow 0 0 1 147 4 6 23 378
Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal 0 0 0 22 0 1 11 91
Judgement Day: algorithmic trading around the Swiss franc cap removal 0 0 1 34 1 6 13 129
Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal 0 0 0 16 0 4 22 79
Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity 0 1 5 91 0 5 26 376
Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity 0 0 2 154 1 3 34 621
Liquidity Risk and Funding Cost 0 0 0 54 1 7 18 125
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums 1 2 4 157 2 7 29 503
Liquidity in the Foreign Exchange Market: Measurement, Commonality,and Risk Premiums 0 0 0 5 1 6 18 47
Market Dynamics Around Public Information Arrivals 0 0 0 64 1 2 8 347
Monetary Policy Effects on Long-term Rates and Stock Prices 0 0 1 97 0 2 18 228
Monetary policy disconnect 0 0 2 56 0 1 12 212
Money Market Disconnect 0 0 0 55 0 2 19 112
NFT Bubbles 0 0 2 120 2 8 33 357
NFT Bubbles 0 0 0 16 1 3 8 23
Non-Fungible Tokens 0 0 0 23 0 2 12 27
Non-Standard Errors 0 0 0 27 3 5 21 171
Non-Standard Errors 0 0 0 44 2 12 43 483
Nonstandard Errors 0 0 1 4 1 4 25 45
Nonstandard errors 0 0 1 12 2 5 34 81
OTC Premia 0 1 1 9 0 5 15 87
OTC premia 0 0 1 38 1 6 29 175
On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges 0 1 2 35 1 16 79 166
On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges 0 0 0 20 2 6 26 89
On the Predictability of Stock Prices: A Case for High and Low Prices 0 0 0 58 0 8 33 302
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 1 20 0 3 13 141
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 0 83 0 0 22 182
Pension Liquidity Risk 0 1 1 14 0 7 34 56
Pension Liquidity Risk 0 0 2 11 0 4 24 33
Precious Metals Under the Microscope: A High-Frequency Analysis 0 0 0 47 2 5 18 171
Realized Bond-Stock Correlation: Macroeconomic Announcement Effects 0 0 1 122 1 4 19 477
Realized Bond-Stock Correlation: Macroeconomic Announcement Effects 0 0 0 71 0 3 18 293
Realized Illiquidity 0 1 4 23 7 10 23 59
Regulatory effects on short-term interest rates 0 0 0 39 0 4 16 113
Risk Spillovers in International Equity Portfolios 0 0 0 11 0 3 16 93
Risk spillovers in international equity portfolios 0 0 0 57 2 5 12 203
Safe Asset Carry Trade 0 0 0 47 0 3 31 142
Safe Haven Currencies 0 0 2 231 1 8 23 760
Safe Haven Currencies 0 4 8 196 1 10 38 715
Safe Haven Currencies 0 2 5 102 3 10 21 494
Segmentation and Time-of-Day Patterns in Foreign Exchange Markets 0 0 1 81 1 6 23 318
Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals 0 0 0 75 1 5 17 220
Swiss treasury bond auctions: An update 0 0 10 21 1 6 42 66
The Demand for Safe Assets 0 0 0 4 1 5 82 97
The Euro Interbank Repo Market 0 0 0 187 1 4 9 450
The Forward Premium in Short-Term Rates 0 0 0 42 0 0 6 171
The Implementation of SNB Monetary Policy 0 0 0 113 1 5 16 302
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 77 2 5 16 335
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 76 1 7 12 346
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 169 1 3 12 446
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 102 0 2 13 281
The demand for safe assets 0 0 1 3 0 3 15 29
The reaction of asset markets to Swiss National Bank communication 0 0 0 58 0 3 18 238
Trading Volume, Illiquidity and Commonalities in FX Markets 0 0 2 66 1 4 21 192
Understanding FX Liquidity 0 0 0 179 0 3 17 472
Uniform-price Auctions for Swiss Government Bonds: Origin and Evolution 0 0 0 6 0 5 24 80
Uniform-price auctions for Swiss government bonds: Origin and evolution 0 0 0 18 0 5 12 126
Unsecured and Secured Funding 0 0 1 103 1 8 19 486
Unsecured and Secured Funding 0 0 0 54 1 4 15 193
Total Working Papers 2 24 99 4,711 145 484 1,902 17,457
2 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices 0 0 1 75 7 14 39 296
A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices 0 0 0 9 0 3 5 54
Asymmetric information risk in FX markets 0 0 1 28 1 8 34 150
Bank positions in FX swaps: insights from CLS 1 2 15 17 3 15 79 117
Constrained liquidity provision in currency markets 0 0 3 3 1 14 47 48
Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland 0 0 0 57 0 4 12 172
Does FOMC news increase global FX trading? 0 0 1 86 1 6 23 304
Editorial 0 0 0 2 0 1 4 38
Euro repo market functioning: collateral is king 0 0 0 17 2 5 15 130
Extreme coexceedances in new EU member states' stock markets 0 0 0 66 1 2 10 256
Intraday Patterns in FX Returns and Order Flow 0 0 0 52 2 9 24 199
Intraday Patterns in FX Returns and Order Flow 0 0 4 14 2 6 23 82
Judgment day: Algorithmic trading around the Swiss franc cap removal 0 0 1 13 0 4 16 45
Liquidity Risk and Funding Cost 0 0 1 1 0 6 23 26
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums 0 2 3 98 1 9 31 336
Liquidity in the global currency market 0 2 13 48 2 13 69 176
Money Market Disconnect 0 0 1 1 0 2 17 22
Nonstandard Errors 1 1 7 45 4 8 53 180
OTC premia 0 1 1 10 2 6 39 128
On the predictability of stock prices: A case for high and low prices 0 0 2 49 3 9 24 211
Order aggressiveness in limit order book markets 0 1 1 451 1 5 17 1,030
Precious metals under the microscope: a high-frequency analysis 0 0 0 12 0 5 10 69
Realized bond—stock correlation: Macroeconomic announcement effects 0 0 0 13 0 5 11 61
Regulatory effects on short-term interest rates 0 0 0 31 1 3 18 99
Risk spillovers in international equity portfolios 0 0 0 8 1 1 9 108
Safe Asset Carry Trade 0 0 2 4 1 5 18 25
Safe Haven Currencies 3 14 45 524 9 41 149 1,438
Segmentation and time-of-day patterns in foreign exchange markets 0 0 1 68 3 10 30 248
The Euro Interbank Repo Market 1 1 2 144 1 1 13 467
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 74 0 3 24 227
The implementation of SNB monetary policy 0 0 0 24 0 2 9 107
The reaction of asset markets to Swiss National Bank communication 0 0 2 124 0 6 29 519
Understanding FX Liquidity 0 0 1 56 0 2 11 220
Unsecured and Secured Funding 0 0 5 17 0 3 26 77
Wolf in Sheep's Clothing: The Active Investment Strategies behind Index Performance 0 0 0 24 0 0 1 131
Total Journal Articles 6 24 113 2,265 49 236 962 7,796

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Foreign exchange swaps and cross-currency swaps 1 4 13 49 2 12 57 157
Non-Fungible Tokens 0 0 0 0 0 2 10 15
Total Chapters 1 4 13 49 2 14 67 172

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Statistics updated 2026-07-10