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 0 0 127 1 1 11 582
Asymmetric Information Risk in FX Markets 0 0 0 59 2 2 8 168
Blockchain Currency Markets 1 1 7 23 1 1 8 12
Collateral Cycles 0 0 0 10 1 2 5 24
Collateral cycles 0 0 0 13 1 2 5 34
Constrained Dealers and Market Efficiency 0 0 0 3 0 0 1 15
Constrained Liquidity Provision in Currency Markets 0 0 2 20 0 0 2 36
Constrained Liquidity Provision in Currency Markets 0 1 1 1 0 1 3 3
Constrained liquidity provision in currency markets 0 1 2 11 0 1 5 12
Does FOMC News Increase Global FX Trading? 0 0 0 79 0 1 2 270
Does FOMC News Increase Global FX Trading? 0 0 0 50 0 0 1 433
Extreme Coexceedances in New EU Member States' Stock Markets 0 0 0 31 0 0 1 157
Extreme Coexceedances in New EU Member States’ Stock Markets 0 0 0 39 0 0 0 190
Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model 0 0 1 12 0 0 5 101
Forecasting realized (co)variances with a block structure Wishart autoregressive model 0 0 0 82 0 0 0 253
Foreign Exchange Swap Liquidity 0 0 6 41 0 1 18 69
Foreign Exchange Swaps and Cross-Currency Swaps 1 1 8 43 1 5 23 101
Funding Illiquidity 0 0 0 99 0 0 3 163
HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading 0 0 3 7 3 3 10 19
Hunting for Dollars 0 1 8 8 2 4 20 20
Intraday Market Dynamics Around Public Information Arrivals 0 0 0 37 0 0 0 143
Intraday Patterns in FX Returns and Order Flow 0 0 2 13 1 2 5 36
Intraday patterns in FX returns and order flow 0 0 0 146 0 0 1 355
Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal 0 0 0 22 0 1 2 80
Judgement Day: algorithmic trading around the Swiss franc cap removal 0 0 1 33 1 3 5 116
Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal 0 0 0 16 0 0 5 57
Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity 0 0 2 86 1 5 18 349
Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity 0 0 3 152 0 0 6 587
Liquidity Risk and Funding Cost 0 0 0 54 0 0 5 107
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums 1 2 4 153 1 2 6 474
Liquidity in the Foreign Exchange Market: Measurement, Commonality,and Risk Premiums 0 0 0 5 0 0 1 29
Market Dynamics Around Public Information Arrivals 0 0 0 64 0 0 1 339
Monetary Policy Effects on Long-term Rates and Stock Prices 0 0 0 96 0 0 2 210
Monetary policy disconnect 0 0 3 54 0 2 10 200
Money Market Disconnect 0 0 1 55 0 2 9 92
NFT Bubbles 0 0 0 16 0 0 1 15
NFT Bubbles 0 1 3 116 4 12 37 320
Non-Fungible Tokens 0 0 2 23 0 0 2 15
Non-Standard Errors 0 2 3 44 0 6 46 438
Non-Standard Errors 0 0 3 27 2 4 30 147
Nonstandard Errors 1 1 3 3 1 6 20 20
Nonstandard errors 0 0 8 11 1 2 40 45
OTC Premia 0 0 0 8 0 0 1 71
OTC premia 0 0 0 37 0 0 1 146
On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges 0 0 2 20 0 3 13 62
On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges 0 0 2 33 2 6 34 84
On the Predictability of Stock Prices: A Case for High and Low Prices 0 0 1 58 0 0 1 269
On the Predictability of Stock Prices: a Case for High and Low Prices 0 1 1 19 1 4 6 128
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 0 83 0 0 1 160
Pension Liquidity Risk 0 0 0 9 0 0 2 8
Pension Liquidity Risk 1 1 3 13 2 4 15 21
Precious Metals Under the Microscope: A High-Frequency Analysis 0 0 1 47 0 1 5 152
Realized Bond-Stock Correlation: Macroeconomic Announcement Effects 0 0 3 71 0 0 3 275
Realized Bond-Stock Correlation: Macroeconomic Announcement Effects 0 0 0 121 0 0 2 458
Realized Illiquidity 0 0 1 18 1 1 6 33
Regulatory effects on short-term interest rates 0 0 0 39 1 2 3 96
Risk Spillovers in International Equity Portfolios 0 0 1 11 1 2 5 77
Risk spillovers in international equity portfolios 0 0 0 57 0 0 3 191
Safe Asset Carry Trade 0 0 0 47 0 1 5 111
Safe Haven Currencies 0 0 1 229 0 2 6 737
Safe Haven Currencies 0 0 0 97 1 3 8 473
Safe Haven Currencies 0 2 5 188 0 6 18 676
Segmentation and Time-of-Day Patterns in Foreign Exchange Markets 0 0 1 80 0 0 2 295
Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals 0 0 1 75 0 0 2 202
Swiss treasury bond auctions: An update 1 11 11 11 4 24 24 24
The Demand for Safe Assets 0 1 3 3 2 6 13 13
The Euro Interbank Repo Market 0 0 5 187 0 1 12 441
The Forward Premium in Short-Term Rates 0 0 2 42 0 0 8 165
The Implementation of SNB Monetary Policy 0 0 0 113 0 0 0 285
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 102 0 0 0 268
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 169 0 1 2 434
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 76 0 0 0 333
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 1 77 2 2 3 319
The demand for safe assets 0 0 2 2 1 8 13 13
The reaction of asset markets to Swiss National Bank communication 0 0 3 58 1 1 6 220
Trading Volume, Illiquidity and Commonalities in FX Markets 0 0 2 63 0 0 9 170
Understanding FX Liquidity 0 0 2 179 1 1 9 455
Uniform-price Auctions for Swiss Government Bonds: Origin and Evolution 0 0 0 6 1 1 4 56
Uniform-price auctions for Swiss government bonds: Origin and evolution 0 0 0 18 0 0 2 113
Unsecured and Secured Funding 0 0 1 54 0 1 2 178
Unsecured and Secured Funding 0 0 0 102 0 0 5 467
Total Working Papers 6 27 131 4,606 45 152 637 15,515
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 1 2 7 74 1 4 37 254
A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices 0 0 0 9 0 0 0 49
Asymmetric information risk in FX markets 0 0 4 27 0 0 12 115
Bank positions in FX swaps: insights from CLS 0 0 1 2 2 7 19 36
Constrained liquidity provision in currency markets 0 0 0 0 0 0 0 0
Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland 0 0 0 57 0 0 1 160
Does FOMC news increase global FX trading? 0 0 2 85 0 11 14 279
Editorial 0 0 0 2 1 1 2 34
Euro repo market functioning: collateral is king 0 0 1 17 0 0 9 114
Extreme coexceedances in new EU member states' stock markets 0 0 0 66 0 0 1 246
Intraday Patterns in FX Returns and Order Flow 0 0 1 10 1 1 8 59
Intraday Patterns in FX Returns and Order Flow 0 0 2 52 1 1 6 175
Judgment day: Algorithmic trading around the Swiss franc cap removal 0 0 1 12 1 2 4 29
Liquidity Risk and Funding Cost 0 0 0 0 0 0 2 3
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums 1 1 3 94 1 2 6 303
Liquidity in the global currency market 0 2 10 34 2 6 35 101
Money Market Disconnect 0 0 0 0 0 0 5 5
Nonstandard Errors 1 6 33 37 5 17 118 123
OTC premia 0 0 1 9 2 2 6 89
On the predictability of stock prices: A case for high and low prices 0 0 1 46 0 3 5 185
Order aggressiveness in limit order book markets 0 0 7 450 0 1 14 1,012
Precious metals under the microscope: a high-frequency analysis 0 0 0 12 0 0 0 58
Realized bond—stock correlation: Macroeconomic announcement effects 0 0 2 13 0 0 4 50
Regulatory effects on short-term interest rates 0 0 1 31 0 0 7 81
Risk spillovers in international equity portfolios 0 0 0 8 0 1 3 99
Safe Asset Carry Trade 0 0 0 2 1 2 2 7
Safe Haven Currencies 3 9 29 476 15 29 98 1,276
Segmentation and time-of-day patterns in foreign exchange markets 0 0 0 67 0 0 5 218
The Euro Interbank Repo Market 1 1 10 142 3 4 26 454
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 74 0 0 0 202
The implementation of SNB monetary policy 1 1 1 24 1 2 3 98
The reaction of asset markets to Swiss National Bank communication 2 2 8 121 3 3 14 489
Understanding FX Liquidity 0 0 1 55 0 1 7 209
Unsecured and Secured Funding 0 1 3 12 0 3 11 50
Wolf in Sheep's Clothing: The Active Investment Strategies behind Index Performance 0 0 0 24 0 0 0 130
Total Journal Articles 10 25 129 2,144 40 103 484 6,792

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 0 2 11 34 1 9 43 93
Non-Fungible Tokens 0 0 0 0 0 0 2 5
Total Chapters 0 2 11 34 1 9 45 98

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Statistics updated 2025-06-06